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Darrylb

Darrylb
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  • UVXY & VIX 17 [View instapost]
    Rock, just wanted to thank you for sharing your thoughts and starting a new thread.
    Apr 16 03:38 PM | Likes Like |Link to Comment
  • UVXY – HOW TO TAME THE MOST SAVAGE BEAST [View instapost]
    Rock, thanks for sharing your views with us. I'm with you on 2014 being similar to 2007 for volatility funds.
    Mar 16 06:36 PM | 1 Like Like |Link to Comment
  • UVXY – HOW TO TAME THE MOST SAVAGE BEAST [View instapost]
    Rock, go to http://bit.ly/1feumTc. Then scroll down to "Limited margin for IRA's." There is a description and there are rules and restrictions listed also.
    Feb 23 04:42 PM | 2 Likes Like |Link to Comment
  • UVXY – HOW TO TAME THE MOST SAVAGE BEAST [View instapost]
    Jeezuz, that's just the power of compounding. Let's suppose VXX has a value of 100 and goes up 10% Monday, 10% Tuesday and then drops 20% Wednesday. The ending value is 96.80. It's down, so then SVXY has to be up right? Also assume a starting value of 100. It would go down 10% Monday, another 10% Tuesday and then up 20% Wednesday. Guess what, it's also down to 97.20. UVXY would be 86.4. Try this daily compounding with a calculator for more days and you'll see what happens.

    Rock, I saw your reply and Arshok's reply to the Fred Piard article and though you two delivered a brilliant response. VXO futures didn't exist then, so who can say what would or would not have happened. Your methodology might have had us in UVXY as the VXO was rising into the '87 event. I felt much better after reading your reply. You kept your cool and gave a well thought out response.
    Feb 23 01:45 PM | 1 Like Like |Link to Comment
  • UVXY – HOW TO TAME THE MOST SAVAGE BEAST [View instapost]
    Rock, great post! Thanks for sharing your work with us.
    Feb 19 06:18 PM | Likes Like |Link to Comment
  • What Now? [View instapost]
    The March Monday settlement is because of the Good Friday holiday. VIX futures expire 30 days before S&P500 option expiration, usually the 3rd Friday of the month. So 30 days before Thursday is a Monday.
    Feb 13 08:15 PM | 1 Like Like |Link to Comment
  • What Now? [View instapost]
    Hate to be picky, but my understanding is that the Feb futures cease trading at the close on the 18th. There is a cash settlement of Feb futures at the open Wed, the 19th, based on a polling of the SPX futures. March expiration is on a Tuesday morning this time.

    Really appreciate your work ROCK and I am looking forward to the new article.
    Feb 13 02:59 PM | 1 Like Like |Link to Comment
  • What Now? [View instapost]
    Hey John - greetings to Japan. I am using mean and Ivolatility.com for HV10. I believe you said you calculate your own HV10. This and the vratio10 will be interesting to watch next week.

    Darryl
    Feb 8 10:43 PM | 1 Like Like |Link to Comment
  • What Now? [View instapost]
    William, I did this once and my stop was about 5% although I actually used a trailing point amount. This was at a point when I felt that VIX had run up enough - before we had Rock. In this one case I was able to buy it back lower. Usually I try to set a sell limit based on closeness to the upper Bollinger band. I have observed that whenever XIV/SVXY has a day totally above the upper Bollinger band, sideways or down follows. With the way these things move, it's really tough to know how to avoid the big draw downs.
    Feb 8 06:30 PM | Likes Like |Link to Comment
  • What Now? [View instapost]
    Sweet trade RJL! I tried this myself with a higher strike, but nobody would take my offer. I'll also look to be doing this next week if SVXY rises.
    Feb 8 06:02 PM | Likes Like |Link to Comment
  • What Now? [View instapost]
    Ikkyu, my take on Cooper's VRP model (the #4 method in his paper) is to buy XIV if the 5 day average of VIX minus the 5 day average of the 10 day historical volatility (HV10) is >0, otherwise buy VXX. By my calculation, this has fallen to 0.00 (both 18.60) as of Friday's close. It went negative on June 25th last year, turning positive on July 8th and you would have lost money following the signal.

    I believe the idea is that when HV10 is greater than the VIX, the VIX will probably follow upward. Normally, VIX is 4 points of so over HV10.
    Feb 8 05:55 PM | Likes Like |Link to Comment
  • Fridays Market Selloff - Armageddon Or Opportunity  [View instapost]
    Rock, sorry about the VXV/VIX confusion. Your Instablog has created quite the following with lots of useful interaction. Thank you!
    Jan 28 09:52 PM | 1 Like Like |Link to Comment
  • Fridays Market Selloff - Armageddon Or Opportunity  [View instapost]
    You can create a chart of Vratio with stockcharts.com. Enter $VIX:$VXV as the symbol. Over the last year, it's mostly ranged from .80 to the occasional trip over 1.0, but went over 1.5 in 2011. What you are seeing is the ratio of 30 day volatility (VIX) to 3 month volatility (VXV.)
    Jan 28 06:23 PM | 1 Like Like |Link to Comment
  • Fridays Market Selloff - Armageddon Or Opportunity  [View instapost]
    James, yes this site has the correct data, but I don't see the spot VIX price. I use the cboe site, but the quotes are the same. Today's VIX close was 15.80 (down 1.62), Feb. futures settlement at 4:15 was 15.20 (down .90), but is lower in an afterhours session. They recently expanded the trading hours. March futures closed at 15.55 (down .70.) So everything is moving in the right direction and Rock was spot on with his buy signal. I believe the technical definition of contango is that the future price is greater than the spot price (regardless of the commodity.) By that definition, VIX is not yet in contango. What I was saying before is that if spot VIX did not move by expiration, the Feb.. futures would have to rise from 15.20 to 15.80 and March would probably rise too and that would tend to drive SVXY/XIV down. So at the moment, we are dependent on a drop in VIX to make money. To be precise, the actual VIX futures settlement occurs on Wednesday morning, Feb. 19th, but SVXY/VIX will be totally out on Tuesday, Feb. 18th's close. Hope this helps.
    Jan 28 05:53 PM | 2 Likes Like |Link to Comment
  • Fridays Market Selloff - Armageddon Or Opportunity  [View instapost]
    Jamesingram, VIX futures mature at 4 week or 5 week intervals. Feb is 4 weeks, but there is a holiday, so this is a 19 day cycle. Each day, 1/19th of March will be shorted and 1/19th of Feb. will be covered for SVXY and XIV. As I type this, VIX is still higher than Feb. and March futures. If VIX were to stay at this level, SVXY would probably lose money as the futures must match the spot at expiration, but the move is never linear. Futures trade until 4:15 and that is where the end of day IV (internal value) is calculated. This is why the closing value is different than the IV. I find that daily maintaining a spreadsheet of VIX, the 2 front month values, days into the expiration cycle, 10 day historical volatility and other data helps me to visualize what's happening under the hood of XIV/SVXY.
    Jan 28 01:22 PM | 3 Likes Like |Link to Comment
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