Reading The Right Tea Leaves To Gauge Market Volatility [View article]
Dear Dan,
I am really interested in the M1 factor, which could mean sort of liquidity to affect the market, could you provide me the link of raw M1 volatility data ?
all vol ETNs are path-dependent, means they are all vulnerable to "the compounding risk" your are referring (what you called "futures' volatility"). You could analyze the implied volatility and its effect to ETNs then you might have totally different view.
I might be fool , but it seems those who claim short VXX is better option than long XIV never made a trade VXX. How much margin capital do you have to set for the short ? Can you "all in" like trade XIV ? Do you really make the comparison (and consider the capital efficiency) in the real world ?
Backward Simulation For Volatility ETNs (2006-2011) [View instapost]
thank you, but as I check that today, I have not found any charts on page ps-3, but I do find the charts on ps-24, which is great since I can use that to claiberate the database I had on hand. Your information is pretty stumning because I do read the prospectus of TVIX and find nothing.
So You Want To Trade Volatility: Understanding Contango [View article]
it's mis-match since the decay doesn't come from time value dimishing, it's from contango rollling, so it's could be even worse for the mis-match risk hedging strategy.
So You Want To Trade Volatility: Understanding Contango [View article]
Dear Josh,
First of all, I admire your works and believe all the ETN issuers should attache what you have written in their prospectus, although we all know it's against their interest therefore impossible.
However, I do believe my instablog , Backward Simulation For Volatility ETNs (2006-2011), you can find here
does deserve part of your your future content for inverese VIX product. Most people tend to "subjectively comment" while I use the "objective figure" to present truth. Holding XIV for past 6.5 years still log 60% gain (which significantly beat SP500 index for the same period). Although 6.5 years doesn't mean forever, considering we went through Lehman Brothers collapse and Euro crisis, should it worth to be considered "extreme period" ?
I was thinking take SVXY next time, since the option issued provide more strategy implemented (i.e. short call), the only problem is the liquidity seems still thin.
Backward Simulation For Volatility ETNs (2006-2011) [View instapost]
Are you referring my another instablog ? the CPCE and CPCI index is what I track for put/call ratio (for ages), you could find some articles try to quantify the complacency with these 2 index.
Backward Simulation For Volatility ETNs (2006-2011) [View instapost]
Arshok, I agree with you, anyone who would like to trade XIV would know as much as he/ she could know about this financial instrument. As the matter of fact, the chart I put here should be viewed with much attention and that's part of XIV participants' preparation work (I wish I had this chart before). Post-Leman Brother seems to be a rare case, although we had just been through and then 2011 summer US Treasury lost AAA rating (that never happened in history), the black swan seems appear more and more often.
The XIV has a natural mechanism to counter "extreme tail risk", mainly because of the daily re-balance structure, I will plan to explain it in the future
Anyone skeptical about XIV performance, check my instablog, Backward Simulation For Volatility ETNs (2006-2011) for the cold hard evidence, http://seekingalpha.co...
So You Want To Trade Volatility: The Muhammad Ali Method [View article]
from your quote: Even with spot VIX trading in a range from 15-20 and constant contango benefiting XIV holders, the spikes and VIX backwardation that we are seeing year after year turns inverse plays into just as risky as long volatility vehicles -> You really should check my backward simulation for holding XIV for 6.5 years, Anyone skeptical about XIV performance, check my latest instablog for the cold hard evidence, http://t.co/Afbuw7XN , VXX TVIX XIV
Don't Be Puzzled By The Low VIX [View article]
Reading The Right Tea Leaves To Gauge Market Volatility [View article]
I am really interested in the M1 factor, which could mean sort of liquidity to affect the market, could you provide me the link of raw M1 volatility data ?
4 Charts Bears Do Not Want To See [View article]
Easy Gains From XIV [View article]
Easy Gains From XIV [View article]
Volatility Player Confessions: Salvaging An IRA [View article]
Backward Simulation For Volatility ETNs (2006-2011) [View instapost]
So You Want To Trade Volatility: Understanding Contango [View article]
VXX Hits New All-Time Low - How Far Down Can It Go? [View article]
So You Want To Trade Volatility: Understanding Contango [View article]
First of all, I admire your works and believe all the ETN issuers should attache what you have written in their prospectus, although we all know it's against their interest therefore impossible.
However, I do believe my instablog ,
Backward Simulation For Volatility ETNs (2006-2011), you can find here
http://bit.ly/MR6NF1
does deserve part of your your future content for inverese VIX product. Most people tend to "subjectively comment" while I use the "objective figure" to present truth. Holding XIV for past 6.5 years still log 60% gain (which significantly beat SP500 index for the same period). Although 6.5 years doesn't mean forever, considering we went through Lehman Brothers collapse and Euro crisis, should it worth to be considered "extreme period" ?
Trully, Hunter Hsu
Volatility Players: Decision Time [View article]
Backward Simulation For Volatility ETNs (2006-2011) [View instapost]
Nice to meet you
Backward Simulation For Volatility ETNs (2006-2011) [View instapost]
The XIV has a natural mechanism to counter "extreme tail risk", mainly because of the daily re-balance structure, I will plan to explain it in the future
Easy Gains From XIV [View article]
So You Want To Trade Volatility: The Muhammad Ali Method [View article]
-> You really should check my backward simulation for holding XIV for 6.5 years, Anyone skeptical about XIV performance, check my latest instablog for the cold hard evidence, http://t.co/Afbuw7XN , VXX TVIX XIV