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Scott Murray

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  • The VIX And The VXX ETF Have Probably Hit Their Short-Term Peaks [View article]
    "On your theory, during the volatility spike of 2008-09, the VIX should have suddenly collapsed in October"

    People are having a difficult time understanding the median performance of the vix during the monthly cycle. I'm going to write another article to clear this up.
    May 16 10:20 AM | 1 Like Like |Link to Comment
  • One-Stock Portfolio Diversification: Berkshire Hathaway [View article]
    This article details precisely why I've been steering in this direction over the past year. The future book value growth will guide the equity price higher now that the premium is virtually absent. Munger alluded to this at the annual meeting saying, "the first $200 billion was hard, the next $200 billion is going to be easy."
    May 15 12:56 AM | 1 Like Like |Link to Comment
  • The VIX And The VXX ETF Have Probably Hit Their Short-Term Peaks [View article]
    Your chances are higher starting with near-the-money puts on May 21st, as you skip 10 days of time decay in the options, and the least volatile days occur during that week. You can certainly argue that the last two days of opex week are the 7th and 8th least volatile days and starting a position then may work. I don't have enough evidence assembled to refute that. Download all the historic prices of the VXX and make your own conclusions.
    May 10 02:57 PM | 1 Like Like |Link to Comment
  • The VIX And The VXX ETF Have Probably Hit Their Short-Term Peaks [View article]
    I'm not seeing that, in fact when the vix futures expire on Tuesday (not Friday like standard options) June will be the front month and fall faster than July, making the spread wider.
    May 10 12:54 PM | 1 Like Like |Link to Comment
  • The VIX And The VXX ETF Have Probably Hit Their Short-Term Peaks [View article]
    There is some truth to your last comment, but it totally depends what vehicle you are using. As I mentioned above, and maybe I should have been clearer, the ETN's and ETF's track differently. While the TVIX has tracked NAV quite poorly, the UVXY has tracked it quite closely. The notes are a promise but not an obligation while the funds hold the actual futures. Luby explains that here:

    Instead of selling covered calls, I sell covered puts. When volatility is low, I sell puts on my short positions. Keep in mind that multiple years can pass without the vix even topping 20. See a vix chart between 2003 and 2007.
    May 10 12:30 PM | 1 Like Like |Link to Comment
  • If You Thought August Was Bad, Just Wait Until September [View article]

    I couldn't agree with you more. People trumpet September as a bad month, while doing zero research. The average return for September has been affected by a serious of historical events, like 9/11, WWII, and Katrina:
    Aug 28 10:05 PM | 1 Like Like |Link to Comment
  • Update: 10.9.09 [View instapost]
    Hey Salty,

    I can relate. I took a ride down with SPNG"E" that gave me windburn. Now it's in SEC purgatory, which means that when they are let it out next week, it will accelerate to the bottom like the guy with a cement block tied to his leg after he swindled Vinny.

    On Oct 09 05:17 PM saltydog wrote:

    > i might be mistaken,but if this stock was going to TANK, you would
    > think today was the time for it. i have arca biopharma that did not
    > get fda aproval and lost two thirds of its value so fast,my laptop
    > almost caught fire.
    > i am sticking with sppi...
    Oct 9 05:38 PM | 1 Like Like |Link to Comment
  • Update: 10.9.09 [View instapost]

    I don't know what you mean by "destroyed portfolios". This is the kind of hyperbole that I thought you were railing against. Any reasonable investor takes a small position with SPPI, in concert with a basket of other strategies/positions.
    Oct 9 04:56 PM | 1 Like Like |Link to Comment
  • Mentor Capital: Risk Mitigated Call Option on Cancer Immunotherapy [View article]
    I have to say, this is highly suspect. The Mentor financials are quite ambiguous to say the least. Mentor Capital was basically bankrupt in 2007, but suddenly garners an 80% management fee for a guaranteed 125 mm capital infusion in some "lead hedge fund"? Furthermore, where did the 2.2 mm come from to fund the QI investment? Even further, the 145 mm warrant infusion is primarily derived from $7 warrants. This type of circular logic is not only confusing, but fails the smell test to be sure. It's disappointing because I actually follow Mike's posts. There are a lot of promises going back and forth, and no meat on the bones here.
    Sep 2 12:53 AM | 1 Like Like |Link to Comment
  • SmartHeat: An Emerging Market Clean Energy Growth Play [View article]
    This is exactly the kind of position I look to put on long term. Outstanding growth rate, solid balance sheet, wonderful industry outlook. I owe you a beer for this one.
    Aug 27 07:31 PM | 1 Like Like |Link to Comment
  • General Growth Properties: Strong Q2 Is a Good Sign [View article]
    Thanks for the update Todd. Can you post the assumptions slide so it actually enlarges?
    Aug 6 04:38 PM | 1 Like Like |Link to Comment
  • 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