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  • RadioShack Is Poised To Fail [View article]
    Highly interesting article. The action of the hedge funds has not convinced the market. The short-lived stock surge at the end of August was triggered by rumors about hedge funds supporting the share. But this temporary price incline was totally reversed. Obviously, the market is not convinced.

    I agree with you that it is just a question of time until this company goes bankrupt. However, I think that short calls are too risky. A better option might be a bear put spread with limited downside risks.
    Oct 1, 2014. 05:16 AM | Likes Like |Link to Comment
  • Part VII: Non-Correlated Hedged Convexity Capture Bulldozes Through Market Chop [View article]
    Hi Harry,

    Do you use options instead of the ETFs themselves? I am wondering how you will benefit from convexity if you do not use the underlying ETFs. I guess you are using options instead, right?

    Thanks a lot, Harry.
    Apr 25, 2014. 08:56 AM | Likes Like |Link to Comment
  • The Ultimate Protection Hedge Against A Market Crash? [View article]
    Hello Dr. Allen,

    Thanks for the quick response. For those of us who are not very smart, I would really appreciate if you post each position of this option structure. I tried to rebuild it but failed.

    Many, many thanks!

    Best regards,
    TT
    Nov 6, 2012. 03:11 AM | Likes Like |Link to Comment
  • The Ultimate Protection Hedge Against A Market Crash? [View article]
    Dr. Terry Allen,

    Would you mind sharing with us the whole position?

    Thanks a lot!

    Regards,
    TT
    Nov 5, 2012. 02:37 PM | Likes Like |Link to Comment
  • Adaptive Asset Allocation: A True Revolution In Portfolio Management [View article]
    Congratulation Doug,

    This is by far one of the best SA articles that I have ever read...

    Thank you.
    May 22, 2012. 03:00 PM | Likes Like |Link to Comment
  • Using A Weekly Options Strategy On The IPath S&P Short-Term Futures - VXX [View article]
    I think it makes senses to combine VXX and SPY. There were some ideas in this forum, suggesting long puts on VXX and SPY. I would like to suggest an alternative:

    Long straddles on VXX and
    Short straddles on SPY.

    The overall theta of this position should be positive... So if the VXX and SPY do not move at all (which is hardly the case), the combined position makes money...

    Any thoughts? The idea is that the VXX has a downward drift and spikes up and moves more than the SPY falls...
    Apr 29, 2012. 03:36 PM | Likes Like |Link to Comment
  • Using A Weekly Options Strategy On The IPath S&P Short-Term Futures - VXX [View article]
    I sent you a message...
    Apr 16, 2012. 07:22 AM | Likes Like |Link to Comment
  • Using A Weekly Options Strategy On The IPath S&P Short-Term Futures - VXX [View article]
    Giorgio,

    If the SPY moves 2 standard deviations, you can be sure that the VXX will also move strongly. Of course, you will lose on IC on SPY... But you should win on the RIC on VXX...

    The question is just how to model these pairs... How do you time the entry into the IC on SPY and RIC on VXX? It is complex, but it is very stable and might give good results...
    Apr 12, 2012. 03:15 PM | 1 Like Like |Link to Comment
  • Using A Weekly Options Strategy On The IPath S&P Short-Term Futures - VXX [View article]
    Giorgio,

    What about combining VXX and SPY. RIC on VXX and IC on SPY?
    Apr 10, 2012. 02:43 PM | Likes Like |Link to Comment
  • Using A Weekly Options Strategy On The IPath S&P Short-Term Futures - VXX [View article]
    By the way, one thing that I forgot:

    I think one of main reasons why the RIC has been working well with VXX is the fact that VXX has been strongly trending. It is also working with GLD because GLD has also been trending for a long time...

    Hence, I guess UNG is a also a good candidate for weekly RICs... Can someone backtest this?

    Thanks.
    Apr 10, 2012. 05:05 AM | Likes Like |Link to Comment
  • Using A Weekly Options Strategy On The IPath S&P Short-Term Futures - VXX [View article]
    What about using VXX in combination with SPY?

    Go long a RIC on VXX and short a RIC on SPY each week... I think Kevin showed us that a short condor on QQQ works pretty well....

    In addition, I would use filters for the weekly VXX. As Giorgio pointed out, the strategy on VXX is not consistently profitable. Potential filters are:

    - Contango: The difference between front month and back month futures on VIX

    - The ratio between IV and realized vol.

    - Place the trade on Monday instead of Thursday. On Thursday, the market makers start pricing out the weekend by reducing IVs. This might hurt the strategy. Furthermore, market action is highest during Tuesday/Wednesday. Thursdays and Fridays tend to be less volatile...

    Just my two cents...
    Apr 10, 2012. 04:37 AM | Likes Like |Link to Comment
  • Using A Weekly Options Strategy On The IPath S&P Short-Term Futures - VXX [View article]
    Sorry Giorgio, there seems to be a small misunderstanding... My question cgoes to Andrew... sorry, my fault...
    Apr 5, 2012. 01:26 PM | Likes Like |Link to Comment
  • Using A Weekly Options Strategy On The IPath S&P Short-Term Futures - VXX [View article]
    What else do you do to put this trade besides calculating the beta in TOS? Is the beta calculated on the price itself or on returns in TOS?
    Apr 5, 2012. 04:51 AM | Likes Like |Link to Comment
  • Using A Weekly Options Strategy On The IPath S&P Short-Term Futures - VXX [View article]
    What about using alternative trade structures instead of long SPY put and long VXX put?

    I am asking this question because this structure is exposed to heavy time theta...
    Apr 4, 2012. 02:24 PM | Likes Like |Link to Comment
  • Using A Weekly Options Strategy On The IPath S&P Short-Term Futures - VXX [View article]
    I like your approach of VXX puts + SPY puts... But how do you determine the ratio and the strike prices? Do you simply buy ATM puts?
    Apr 3, 2012. 09:50 AM | Likes Like |Link to Comment
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