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Scott Murray

 
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  • The VIX Is Not Broken, Contrary To Popular Belief [View article]
    I did not say that volatility options were insurance, I was referring to SPY options (see option chains above), and that you can better buy cheap volatility in them when the VIX is low and future volatility may be higher than historic volatility (like this week). I talk a lot about timing in my newsletter.
    May 17 04:24 PM | Likes Like |Link to Comment
  • The VIX Is Not Broken, Contrary To Popular Belief [View article]
    While a lot of these comments are true, I don't think that has anything to do with this particular article, nor do I suggest here buying VXX or their options. I go into extreme detail in my newsletter and on my site about the contango in these products.
    May 16 03:44 PM | Likes Like |Link to Comment
  • The VIX Is Not Broken, Contrary To Popular Belief [View article]
    VXX and related options do an enormous amount of volume even in this environment, so it is not going away.

    There are ways to build a better ETF, and I may suggest some in a future article.
    May 16 10:18 AM | Likes Like |Link to Comment
  • The VIX Is Not Broken, Contrary To Popular Belief [View article]
    I will tackle a few of these points in my next article. I believe there are ways to time spikes off of low vol, within a certain range of time. Not tomorrow or next week. Thx for the comments.
    May 16 10:17 AM | Likes Like |Link to Comment
  • The VIX Is Not Broken, Contrary To Popular Belief [View article]
    I appreciate that, thanks.
    May 16 10:10 AM | Likes Like |Link to Comment
  • VIX Short-Term Futures ETNs Present Rare Opportunities [View article]
    Good thoughts, just keep in mind that the VIX has seasonality too, and Dec/Jan tends to be the lowest of the year.

    Long term strategies, i.e. slow money, does phenomenally well in these products if you know how to structure them.
    May 7 01:55 PM | Likes Like |Link to Comment
  • VIX Short-Term Futures ETNs Present Rare Opportunities [View article]
    1. the roll always fluctuates, it all depends on the contango spread
    2. only on trading days
    3. see the ipath website, search vxx holdings
    4. each opex cycle has different patterns and the market has a say too of course
    5. part two is on my instablog because they didn't want to publish an options article
    See my site for more info on this topic, there's a lot of posts there on vxx
    May 7 01:53 PM | Likes Like |Link to Comment
  • VIX Short-Term Futures ETNs Present Rare Opportunities [View article]
    Agreed, and I love the bearish call spread, but the sweet science here is knowing when to put on the bullish put spreads and the bearish calls spread.

    Not the best time for bullish call spreads if you are looking past a few days, IMO.
    May 7 01:51 PM | Likes Like |Link to Comment
  • VIX Short-Term Futures ETNs Present Rare Opportunities [View article]
    There is only one real price target for VXX, and that is a fraction above zero over time. Although that path can be quite bumpy.
    May 7 01:49 PM | Likes Like |Link to Comment
  • VIX Short-Term Futures ETNs Present Rare Opportunities [View article]
    Yes, it is oversimplified. But your comment assumes a flat VIX, and that is a simplified assumption in and of itself, no?

    I say "roughly" in the article, but I am working on a sensitivity model incorporating moves in each future price.
    May 7 01:47 PM | Likes Like |Link to Comment
  • A Once In Few Years Opportunity Presents Itself [View article]
    Excellent case made for asymmetry in vol trades right now. I make the same case with a slightly different spin and trade structure:
    http://bit.ly/1fIsf1z
    May 4 01:07 PM | Likes 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
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