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Scott Murray

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  • VIX Falls As Bernanke Trumps Cyprus [View article]
    The never buy calls rule is a good one for the most part, but there are occasions when the value is there. These days the front month futures are trading around 14, and the fund is still holding mostly April, so any kind of spike in vol and the calls will pay nicely.

    Yet, with vol so low, I am preferring the index puts, on the IWM for example. High beta, low implied vol. These are far too cheap right now at around 13% IV, so that is where I am positioning. 2-300% possibilities in the May/June puts.
    Mar 29 09:28 AM | Likes Like |Link to Comment
  • VIX Falls As Bernanke Trumps Cyprus [View article]
    Thank you for the comments LC. You are right, I do sometimes hold too long.

    I'm trying to sell the model, so don't expect to see that anytime soon.....
    Mar 26 06:15 PM | Likes Like |Link to Comment
  • Gasoline Prices Keep Rising [View article]
    $4 is imminent with the APR futures trading 20+ cents higher. Get ready for the news stories.
    Feb 14 02:15 PM | Likes Like |Link to Comment
  • VIX Near-Term Futures In Lockstep With The VIX: Comparing Volatility Hedges [View article]
    VXX offers heavily traded options, so you can hedge/trade around a short position. XIV does not have traded options, and SVXY has an illiquid options market.

    Further, look at the relative performance of the two notes. XIV is always a couple weeks away from potentially being cut in half, whereas a short position in vxx from the beginning of this year does not have that risk. So you are always walking on eggshells with XIV, but as VXX is 80% off for the year, a quadruple from here doesn't even get it back to break-even for the year. Then you can choose to add to short positions on VIX spikes.
    Dec 2 08:25 PM | Likes Like |Link to Comment
  • VIX Near-Term Futures In Lockstep With The VIX: Comparing Volatility Hedges [View article]
    I didn't think you were criticizing, I was just clarifying my position relative to your comments. As a perma-short in VXX, I don't think our views are really that different. In retrospect, the long volatility comparison was put in there to demonstrate the price differences in long vol trades (arbitragable probably), but it could easily have been taken as a recommendation. I will be clearer in future articles.

    Nov 29 02:05 PM | Likes Like |Link to Comment
  • VIX Near-Term Futures In Lockstep With The VIX: Comparing Volatility Hedges [View article]
    I put up some trades on VolatilityAnalytics.com if you are interested as well. You may find that just being short VXX and selling/buying puts using the VIX ranges as a guide might be a less complex but profitable setup. That is primarily what I've been doing for quite some time.
    Nov 29 12:33 PM | Likes Like |Link to Comment
  • VIX Near-Term Futures In Lockstep With The VIX: Comparing Volatility Hedges [View article]
    3rd Eye,

    I was not suggesting that anyone use the VXX as a long hedge. I think the language "not as bad as it usually is", is not a glowing trade recommendation. The thrust of my story is more along the lines of those short VXX via long puts should use caution due to the current futures/spot relationship.
    Nov 29 12:28 PM | Likes Like |Link to Comment
  • VIX Near-Term Futures In Lockstep With The VIX: Comparing Volatility Hedges [View article]
    I haven't seen the futures trade at a discount to spot VIX yet this month, but yes, the normal premium in the front month has not been there. Today the front month premium is a mere .10 as of this writing.

    This article was delayed two days in publication. The VXX was holding 80% front month at that point, today it is 14/20, 70% until it rolls this afternoon. It almost gets comical between 3:15 and 4 pm as you can literally see the VXX-IV change tick by tick. It is not holding 60% Jan at this point. This can be seen here: http://bit.ly/U4EOlF

    One trade I've had on the past two weeks, is to be long Jan VXX $30 puts (I've had this leg on for over a month), and short weekly VXX puts at 29, 29.5 to try to hedge against a market move lower. Thus far, that has not worked, as the VIX has not made any significant move higher. As per my prior article, the odds of a VIX bottom for the year occurring in Dec are high, so a trip to 13 should not surprise anyone.
    Nov 29 10:48 AM | Likes Like |Link to Comment
  • VIX And VXX Fall As The Markets Fall: Confused? [View article]
    It's much easier to load up on 3x ETF options when the market breaks, than to get steamrolled by VIX futures day after day.
    Nov 10 11:38 AM | Likes Like |Link to Comment
  • VIX And VXX Fall As The Markets Fall: Confused? [View article]
    I wouldn't say likely, but more like a tail risk.
    Nov 10 11:37 AM | Likes Like |Link to Comment
  • VIX And VXX Fall As The Markets Fall: Confused? [View article]
    There are a lot of assumptions in there. Should I build a bunker, get some potato clocks, and load up on firearms? How will I be able to collect my CVOL profits when the global financial system crashes and I will need to trade bear skins for food?
    Nov 10 11:36 AM | 1 Like Like |Link to Comment
  • VIX And VXX Fall As The Markets Fall: Confused? [View article]
    The odds are pretty slim that the VIX will hit 60 in the next year. You are going to need the S&P earnings to fall from the current $100/share to $60, and the S&P 500 will have to fall from 1380 to 666. Meanwhile, CVOL has lost 95% this year.
    Nov 10 11:32 AM | Likes Like |Link to Comment
  • VIX And VXX Fall As The Markets Fall: Confused? [View article]
    There is significant time decay in the VIX futures, as they usually trade at a premium to the actual index volatility. As they get closer to the futures expiration date, they more closely represent the spot VIX. But the SPX options theoretically roll every day (1/20th or 1/25th of the VIN to the VIF depending on the OPEX cycle length) to the forward month for the VIX calculation, so time decay is really not a factor with those.
    Nov 10 11:25 AM | Likes Like |Link to Comment
  • VIX And VXX Fall As The Markets Fall: Confused? [View article]
    You can read all about how the VIX is constructed here:
    http://bit.ly/oi5nOs

    The negative number (VIF) next week only means that the front month takes more precedence for a week and if the next month is higher, then the VIX would not truly reflect anticipation of volatility. The main takeaway is that December is a low vol month due to seasonality, and that tends to hold the VIX down.
    Nov 10 11:17 AM | Likes Like |Link to Comment
  • The Presidential Election And VIX Behavior [View article]
    Market valuations in 2000 were at extreme levels. Not so today.
    Nov 9 03:45 PM | Likes Like |Link to Comment
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