Seeking Alpha

Scoe

Scoe
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  • The Best ETF Of Our Time (AKA How To Become A Billionaire Without Really Trying) [View article]
    I don't buy and hold...but that's beside the point.

    XIV has gone up so much in recent years because...

    ... bull market
    ... high beta
    ... volatility continually lower than expected

    In 2014, the tide turned. The bull market continued but volatility was higher than expected. XIV underperformed the stock market by a large margin on a beta-adj basis.

    XIV has no free lunch. Free lunches are arbitraged away. The long XIV trade became over-crowded.
    Jan 20, 2015. 11:34 AM | 1 Like Like |Link to Comment
  • The Best ETF Of Our Time (AKA How To Become A Billionaire Without Really Trying) [View article]

    The Best ETF Of Our Time (AKA How To Become A Billionaire Without Really Trying)...

    Since July 3, 2014

    SPY + 1.8%
    XIV -41%
    SVXY -41%

    How is that billionaire thing working out? Everything seems easy in a bull market.
    Jan 13, 2015. 04:57 PM | 2 Likes Like |Link to Comment
  • True Contango: The Real Reason To Short VXX Long Term [View article]
    XIV and SVXY are up about 1% or 2% for the year with a beta of around 4. SPY is up 10%. If they were good investments, they would be up more than 40%.

    Don't confused a leveraged product in a bull market with genius.
    Nov 2, 2014. 12:46 AM | 1 Like Like |Link to Comment
  • Why Is Buy-And-Hold So Hard To Follow? [View article]
    I'm with he frog too
    Nov 1, 2014. 11:40 PM | Likes Like |Link to Comment
  • Part VII: Non-Correlated Hedged Convexity Capture Bulldozes Through Market Chop [View article]
    Agreed. Same as TLT/SPY except assumes 3x decay will offset HTB fees and rebalancing costs and risks of owning leveraged ETP such as insolvency and called shorts
    Oct 21, 2014. 05:09 PM | 1 Like Like |Link to Comment
  • Shorting The VXX Looks Good Here For A Long-Term Trade [View article]
    "Then, If we enter a short trade we always trade with a tight stop loss of 2.8% and never hold through weekends."

    Since 2.8% happens a lot for VXX, when do you get back in ?
    Oct 16, 2014. 04:38 PM | Likes Like |Link to Comment
  • Shorting The VXX Looks Good Here For A Long-Term Trade [View article]
    Well, VXX up 30% since the last time I read an article saying "go short"

    http://seekingalpha.co...
    Oct 16, 2014. 01:19 PM | 2 Likes Like |Link to Comment
  • It's Time To Get Short Volatility [View article]
    Since this article was written, VXX up from 29 to 40 or +38%

    And a new article telling you to short now....
    http://seekingalpha.co...
    Oct 16, 2014. 01:13 PM | 1 Like Like |Link to Comment
  • It's Time To Get Short Volatility [View article]

    jacobtr

    "How did you calculate that? "

    Scoe

    "It's complicated"

    Jacob tr
    "Right. In other words, just trust me."

    Scoe

    In other words... it's proprietary and hard to explain and I have no incentive to do so...but they are some reliable sources out there with this data.
    Oct 16, 2014. 01:11 PM | 1 Like Like |Link to Comment
  • It's Time To Get Short Volatility [View article]
    Complicated
    Sep 30, 2014. 09:53 AM | Likes Like |Link to Comment
  • It's Time To Get Short Volatility [View article]
    No
    Sep 30, 2014. 09:53 AM | Likes Like |Link to Comment
  • It's Time To Get Short Volatility [View article]
    Historical XIV perspective....including before XIV was launched... (roughly reverse for VXX)

    Our analysis shows that XIV would have gained 2348% from Mar 2009 to July 2014 ... roughly 78% a year.

    Our analysis also shows that XIV would have lost 92% of it's value between Feb 2007 and March 2009.... roughly -71% a year rate

    Double edged sword.
    Sep 29, 2014. 09:14 PM | 1 Like Like |Link to Comment
  • It's Time To Get Short Volatility [View article]
    "There is no way to trade VIX products without a large amount of risk."

    Sure there is. All risk can be managed.
    Sep 29, 2014. 09:02 PM | 1 Like Like |Link to Comment
  • It's Time To Get Short Volatility [View article]
    Contango just reflects the expected future VIX. If contango is high, then futures traders expect VIX to go up (vice versa). When VIX is very low, traders reasonably expect it to go up.

    Contango doesn't cause VXX to rise or fall. VXX was invented almost at the exact start of the bull market in 2009. It has fallen a great deal in recent years because traders have expected volatility to return (contango) but it has not. Volatility has lagged expectations...VXX has fallen. VXX is very volatile so VXX has fallen a lot.

    The fact that VXX "almost always goes down" is just a mirror reflection of "The stock market almost always goes up". Both true since 2009... but remember "Past performance is ..." etc

    At this moment, Nov Vix Futures are trading the exact same as cash VIX ... at about 16.
    Sep 29, 2014. 12:44 PM | 1 Like Like |Link to Comment
  • It's Time To Get Short Volatility [View article]
    Contango hasn't caused VXX to drop. Fund expenses and a rising stock market have.

    In 2014, SPY is up 8.6%, VXX is down 30.7% and the beta of VXX has been -3.98. Being short VXX has only been profitable because the stock market has gone up, not because contango is eating away. VXX has had an alpha of near zero
    Sep 28, 2014. 04:20 PM | 2 Likes Like |Link to Comment
COMMENTS STATS
210 Comments
197 Likes