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itscalledcommonsense

itscalledcommonsense
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  • The Time To Buy SVXY Is Now, And Maybe Again Later [View article]
    Implied vol on options for anything volatility related is through the freaking roof. I would be very careful buying options and almost always do it via a spread.
    Sep 1, 2015. 03:40 PM | 1 Like Like |Link to Comment
  • The Time To Buy SVXY Is Now, And Maybe Again Later [View article]
    Admitting when you are wrong is big. Nice job.
    Sep 1, 2015. 01:21 PM | Likes Like |Link to Comment
  • The Time To Buy SVXY Is Now, And Maybe Again Later [View article]
    Me.
    Sep 1, 2015. 01:14 PM | Likes Like |Link to Comment
  • The China Conundrum: Why The Stock Market Miracle Is Not Over? [View article]
    You call yourself an analyst? Of investments?
    Sep 1, 2015. 10:28 AM | 1 Like Like |Link to Comment
  • Why Shorting Volatility Now May Be A Very Favorable Trade [View article]
    I will drink some more coffee then reread it.
    Sep 1, 2015. 09:26 AM | Likes Like |Link to Comment
  • Why Shorting Volatility Now May Be A Very Favorable Trade [View article]
    "There are quite many constructs to profit from volatility with low risks"

    Yeah, but shorting UVXY is not one of them.
    Sep 1, 2015. 07:33 AM | Likes Like |Link to Comment
  • The China Conundrum: Why The Stock Market Miracle Is Not Over? [View article]
    So, do you actually believe Chinese banking sector NPLs are ~1%?

    Do you actually believe that private debt to GDP > 200% can exist without having a detrimental effect on an economy? If so, how high do you think it can go?

    Do you actually believe that investment as % of GDP, for the world's second largest economy, is sustainable @ 50% and, more importantly, can be maintained without large amounts of waste?

    The problem China faces is classic debt fueled boom & now bust. It has happened a zillion times before, will happen a zillion times after, regardless of race, nation, etc. It is human nature.

    However, there are particular features of Chinese culture and society that make solving the issue problematic. #1 is the importance of appearance, saving face. This is a strong cultural bias that prevents problems from being dealt with. #2 is they have a leadership that is incentivized to cover up problems, rather than admitting mistakes, dealing with them and risk a loss of faith.

    China 2015 is an echo of Japan 1990. IMO the end of the crisis will be signaled by bank/debt/trust product restructuring. Until then growth will be hard to come by.
    Sep 1, 2015. 07:30 AM | 4 Likes Like |Link to Comment
  • Why Shorting Volatility Now May Be A Very Favorable Trade [View article]
    Oh, I missed the part about the long term strategy. Where was it? Maybe it's hidden in all the meaningless stuff about the economy, earnings and China?

    The strategy implied is Oh! VIX is up: SELL! That is a strategy, just not a good one.
    Sep 1, 2015. 06:07 AM | 1 Like Like |Link to Comment
  • The China Conundrum: Why The Stock Market Miracle Is Not Over? [View article]
    Thanks Mr. Bai.
    Sep 1, 2015. 06:01 AM | 1 Like Like |Link to Comment
  • Shorting Volatility Has Never Looked This Good [View article]
    short VXX long UVXY is a huge money loser over time
    Aug 31, 2015. 08:07 PM | Likes Like |Link to Comment
  • Why Shorting Volatility Now May Be A Very Favorable Trade [View article]
    Every day another article on why shorting vol is a great idea, every day another -5% for XIV...
    Aug 31, 2015. 06:11 PM | 1 Like Like |Link to Comment
  • Shorting Volatility Has Never Looked This Good [View article]
    You can't ex ante.
    Aug 31, 2015. 04:37 PM | Likes Like |Link to Comment
  • Shorting Volatility Has Never Looked This Good [View article]
    You just keep selling to maintain the appropriate risk.
    Aug 31, 2015. 01:59 PM | 1 Like Like |Link to Comment
  • Time To Short The VIX? [View article]
    It is what is called a basis trade. A futures contract expires at spot, by definition. The difference between spot and the future price is called basis. When there is a large basis you can buy or sell the future and sell or buy the spot and earn the basis over time. Since you cannot effectively buy or sell VIX itself you either have to do the basis trade w/o a corresponding trade in the spot or do an offsetting trade in something that trades similarly to spot VIX. S&P e-mini trade inverse to VIX with very high negative correlation so is an effective instrument to offset the VIX future.

    This trade doesn't work with VXX/XIV/etc. because those instruments are constant maturity, therefore the future price never actually converges to spot because you are always 30 days out with the ETFs. However, hedging the volatility ETFs with trades in the e-mini is very effective.

    VIX futures sensitivity to a change in the S&P changes with the number of days to expiration so the optimal hedge ratio depends on days to expiration. For VXX/XIV/etc the hedge ratio is calculated similar to:

    http://tinyurl.com/or6...
    Aug 31, 2015. 11:21 AM | 2 Likes Like |Link to Comment
  • Time To Short The VIX? [View article]
    When you buy XIV/SVXY you aren't shorting VIX itself, you are shorting VIX futures. A blend of the front two months futures in a ratio that gives a 30 day constant future. The highest value of that on Monday was ~26. So, if you bought XIV at the low you are really selling the VIX futures at 26. It doesn't matter that spot VIX was 53 because you didn't sell that.
    Aug 29, 2015. 04:51 PM | 2 Likes Like |Link to Comment
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