Question for my followers:

1) Would you subscribe?

2) What's a fair monthly fee for this?

Thanks much in advance!

]]>Question for my followers:

1) Would you subscribe?

2) What's a fair monthly fee for this?

Thanks much in advance!

]]>seekingalpha.com/instablog/5806521-macro...

I just tested how an investor would fare if (s)he bought at open and sold at close either SVXY or UVXY, switching between the two by using R.

The investor would be up by quite a bit while SVXY is down 60%.

Of course, I didn't follow my own model. I will write an article on that soon.

]]>seekingalpha.com/instablog/5806521-macro...

I just tested how an investor would fare if (s)he bought at open and sold at close either SVXY or UVXY, switching between the two by using R.

The investor would be up by quite a bit while SVXY is down 60%.

Of course, I didn't follow my own model. I will write an article on that soon.

]]>First there was the plane, then there were the tanks. I bought VXX puts on the first spike, and sold for about 25% gain. I again bought VXX puts on the second spike, and got creamed.

So I bought more, and now at the end of the day I am flat.

What just happened?

Well, this was a 5-sigma event. In the history of the VIX, there has been 13 days where VIX went up 32% or more. 13 days. Out of some close to 25 years of trading for the VIX. Odds of 0.2%.

In 9 of these days, next day VIX fell sharply by average of ~15%. In another 3 days, VIX was up by a max of ~1%.

But yes, there has be one case where vix rose 30 some percentage points in one day, and another 20 some percentage points the next day. That is 1 in 6500. Some odds.

So I am boldly predicting that tmrw 7/18 VIX will fall by 10-15%, VXX by 2-3%, and my puts will go up by 50-60%.

I feel bad to profit from human misery. But there it is.

Best of luck everyone for tmrw.

]]>First there was the plane, then there were the tanks. I bought VXX puts on the first spike, and sold for about 25% gain. I again bought VXX puts on the second spike, and got creamed.

So I bought more, and now at the end of the day I am flat.

What just happened?

Well, this was a 5-sigma event. In the history of the VIX, there has been 13 days where VIX went up 32% or more. 13 days. Out of some close to 25 years of trading for the VIX. Odds of 0.2%.

In 9 of these days, next day VIX fell sharply by average of ~15%. In another 3 days, VIX was up by a max of ~1%.

But yes, there has be one case where vix rose 30 some percentage points in one day, and another 20 some percentage points the next day. That is 1 in 6500. Some odds.

So I am boldly predicting that tmrw 7/18 VIX will fall by 10-15%, VXX by 2-3%, and my puts will go up by 50-60%.

I feel bad to profit from human misery. But there it is.

Best of luck everyone for tmrw.

]]>End year 10-year Treasuries | End year S&P500 |

2.40% | $2,404 |

2.45% | $2,337 |

2.50% | $2,273 |

2.55% | $2,212 |

2.60% | $2,155 |

2.65% | $2,101 |

2.70% | $2,049 |

2.75% | $2,000 |

2.80% | $1,953 |

2.85% | $1,908 |

2.90% | $1,866 |

2.95% | $1,825 |

3.00% | $1,786 |

At the current ~2.65% for the 10-year, S&P500 should still be at ~$2100 by end of year. However, notice the sensitivity to the interest rate. I hope the rates remain steady to trending low.

**Disclosure: **The author has no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

End year 10-year Treasuries | End year S&P500 |

2.40% | $2,404 |

2.45% | $2,337 |

2.50% | $2,273 |

2.55% | $2,212 |

2.60% | $2,155 |

2.65% | $2,101 |

2.70% | $2,049 |

2.75% | $2,000 |

2.80% | $1,953 |

2.85% | $1,908 |

2.90% | $1,866 |

2.95% | $1,825 |

3.00% | $1,786 |

At the current ~2.65% for the 10-year, S&P500 should still be at ~$2100 by end of year. However, notice the sensitivity to the interest rate. I hope the rates remain steady to trending low.

**Disclosure: **The author has no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

Time period: Jan to Jan (1 year)

Strike: At the Money

Put share: 50%

Call Share: 50%

IV: 53% (the current one)

Average annual return from 2005-2014 : 120%

Max annual Drawdown: __Amazingly, this strategy is not down even a single year.__

Year | Return |

2013 | 58.1% |

2012 | 290.8% |

2011 | 0.5% |

2010 | 303.3% |

2009 | 289.1% |

2008 | 76.1% |

2007 | 52.0% |

2006 | 121.2% |

2005 | 112.8% |

If I increase IV to 60%, average annual return is 95%, and max annual drawdown is -11%.

This is as lazy as a strategy can be. Basically no thinking involved.

**Disclosure: **The author is long SVXY.

Time period: Jan to Jan (1 year)

Strike: At the Money

Put share: 50%

Call Share: 50%

IV: 53% (the current one)

Average annual return from 2005-2014 : 120%

Max annual Drawdown: __Amazingly, this strategy is not down even a single year.__

Year | Return |

2013 | 58.1% |

2012 | 290.8% |

2011 | 0.5% |

2010 | 303.3% |

2009 | 289.1% |

2008 | 76.1% |

2007 | 52.0% |

2006 | 121.2% |

2005 | 112.8% |

If I increase IV to 60%, average annual return is 95%, and max annual drawdown is -11%.

This is as lazy as a strategy can be. Basically no thinking involved.

**Disclosure: **The author is long SVXY.

On each January, buy one year SVXY puts with strike 30% out of money, and one year SVXY calls with strike 40% out of money. Put 12.5% of entire portfolio in puts, 37.5% in calls, and the remaining in SVXY.

Average annual return from Jan 2005 to Jan 2014 is ~125%. Max annual drawdown is -48%. Strategy returns by year

Year | Return |

2013 | 84.2% |

2012 | 504.1% |

2011 | -48.3% |

2010 | 526.7% |

2009 | 501.1% |

2008 | -3.0% |

2007 | -17.4% |

2006 | 198.0% |

2005 | 183.0% |

So 3 down years and some massive up years.

**Disclosure: **The author is long SVXY.

On each January, buy one year SVXY puts with strike 30% out of money, and one year SVXY calls with strike 40% out of money. Put 12.5% of entire portfolio in puts, 37.5% in calls, and the remaining in SVXY.

Average annual return from Jan 2005 to Jan 2014 is ~125%. Max annual drawdown is -48%. Strategy returns by year

Year | Return |

2013 | 84.2% |

2012 | 504.1% |

2011 | -48.3% |

2010 | 526.7% |

2009 | 501.1% |

2008 | -3.0% |

2007 | -17.4% |

2006 | 198.0% |

2005 | 183.0% |

So 3 down years and some massive up years.

**Disclosure: **The author is long SVXY.