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Scoe

Scoe
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  • 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
  • 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, 2014. 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, 2014. 03:27 PM | 2 Likes Like |Link to Comment
COMMENTS STATS
208 Comments
194 Likes