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Scoe

Scoe
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  • It's Time To Get Short Volatility [View article]
    Complicated
    Sep 30 09:53 AM | Likes Like |Link to Comment
  • It's Time To Get Short Volatility [View article]
    No
    Sep 30 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 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 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 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 04:20 PM | 2 Likes Like |Link to Comment
  • S&P Dow Jones: Whaley mistaken in criticism of VXX [View news story]
    VXX tracks the futures. The futures trade on the expected future value of the VIX.

    So, VXX tracks the expected future value of the VIX, not the spot VIX. Mathematically, there is no way for a traded product to actually track the VIX spot.

    VXX does fine at what it is designed to do. If you don't understand it, then don't invest. If you do understand it, it can provide lots of portfolio management options. Because of this, it has been very popular and successful.
    Jun 29 09:26 AM | 1 Like Like |Link to Comment
  • S&P Dow Jones: Whaley mistaken in criticism of VXX [View news story]
    Recently, VXX has had a beta of about -6 to the S&P. Since the VXX launch, SPY is up about 160%. So, if you take a highly leveraged opposite of an index that is up 160%, then you should have very little money left.

    The fact that VXX is down 99%+ doesn't mean it's flawed or that it will continue to go down. I go long VXX quite often and I'm still solvent. It's a tool for sophisticated portfolio management. Those who complain that it's a terrible investment shouldn't invest in what they don't understand.
    Jun 27 03:27 PM | 2 Likes Like |Link to Comment
  • A Rare Opportunity To Profit From Volatility [View article]
    We go long VXX quite often as part of our portfolio.

    From Jan 1 until mid March, we were long stocks and long VXX and did just fine.

    Just because VXX has tanked since it's launch in 2009 doesn't necessarily mean it will continue. It's been quite a bull market and went from extreme high VIX to extreme low VIX. Those conditions won't last forever.
    May 25 02:40 PM | Likes Like |Link to Comment
  • A Rare Opportunity To Profit From Volatility [View article]
    "The $20 put line in VIX lost someone $8m"

    Maybe. Maybe they made $9m on the flip side of a complex hedge.


    May 20 01:14 PM | 2 Likes Like |Link to Comment
  • VXX And High-Frequency Trading [View article]
    I read the article and still have no idea how VXX is "manipulated". Manipulating the bid/ask spreads of options? I don't see how that would be significant at all in an index that tracks options on 500 stocks. Specifics, please.
    Apr 16 03:25 PM | Likes Like |Link to Comment
  • Should We Allow Kyle Bass To Bet On The Economic Implosion Of Japan? [View article]

    I didn't miss this is econ 101....

    - when the private sector stops spending, someone has to step in in order to prevent the economy from collapsing

    I just rejected the idea that increasing gov't spending in bad times is a good idea.
    Mar 25 11:11 AM | Likes Like |Link to Comment
  • Tesla's Painful Journey Into The Valley Of Death [View article]
    Short term, they aren't the same but ultimately they are. The car has proven very nice and that has really helped the stock.
    Mar 1 03:03 PM | Likes Like |Link to Comment
  • Time For A Pairs Trade: Long LinkedIn, Short Twitter [View article]
    I agree with that but my "circle" is pretty big and I ask lots of people about it that I barely know. I'm an old geezer but I ask lots of kids.

    Many folks that I ask use Pandora. Almost all have a FB account but now usually claim they are never on there (liars...LOL). Maybe 10-20% use LNKD. But I simply have yet to meet or know a tweeter. I've tried it a couple of times and simply don't get it. That's what makes me think it's a niche system that runs in packs and doesn't have widespread appeal and will fade with time.

    My wife reminds me I'm the guy who said "Who on earth would want a cell phone" (1989).

    Why do you tweet? What do you use it for? What is unique about it that can't be done with other electronic communication?
    Feb 2 12:44 PM | Likes Like |Link to Comment
  • Time For A Pairs Trade: Long LinkedIn, Short Twitter [View article]
    "Why do you think your tiny anecdotal sample is relevant?"

    Because I know lots of people who...
    use makeup, skateboards, diapers, daytime TV and televised sports.

    I don't know anybody who tweets. Strikes me as a fad that can easily fall from favor or be copied.
    Jan 31 04:53 PM | 1 Like Like |Link to Comment
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