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Trading volatility

This PM that is a regular here at the club told me a couple weeks ago he moved a significant portion to cash because the “market was going to crash” after the inauguration.  Comes in tonight….. markets at all time high.  He is wasted, belligerent, and in general pissy. cheeky

..........I learned the hard way last year what exploding delta feels like when you are short and naked

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i guess no one bought vix

"You want a quote? Haven’t I written enough already???"

RIP

"You want a quote? Haven’t I written enough already???"

RIP

"You want a quote? Haven’t I written enough already???"

RIP

ES is for kids.. the real game is rates futures

VIX March Futures at 13.    

13!!!  seriously? These things don’t expire for 5 weeks? You’re telling me for 5 weeks the VIX will stay under 13?  Trump?  Euroexits? Gotta be at least a little money to be made here.

We’ll see. If I could I’d enter a small position here. 

Go ahead Pistol…. buy an ATM call.  I’ll sell it to youwink

..........I learned the hard way last year what exploding delta feels like when you are short and naked

Not buying a call. Buying the actual futures contract itself.

"You want a quote? Haven’t I written enough already???"

RIP

June 2016 VIX futures selling under 12.50.  This is insane.  Expires in 4-5 weeks.

VIX at 9 spot for a couple days. While the contango is tempting there is sooooo much risk at these levels for those XIV junkies.

A tall house of cards, yet somehow the market engineers keep controlling the wind. laugh

I’ve still got some of my old pre-Trump ES short, selling ATM puts against that, when it gets taken out then I sell ATM calls to reestablish the short. Then to counterbalance that, a small VXX short that I churn (sell half now at lows, reestablish full short next time it spikes up a bit). A sloppy as hell “market neutral” mess, that together with my longs generates income in a sideways market (puts/call income, dividends, vix futures decay income). 

Boring markets…would like some chaos.

I wonder how this post-election US equity market actualized volatility compares to the history of other post-election periods. I can’t imagine another time in history it being as low as it is now.

"Between stimulus and response there is a space. In that space is our power to choose our response. In our response lies our growth and our freedom." -Viktor Frankl

Yawn, has there ever been a more boring market? Market dips some small amount, then a few guys buy the dip, starts going back up, then everyone says ‘hey it must be fine’, and everyone buys the dip, cautiously sneaks 1pt over the last record, repeat for years. 

I like that saying “vol doesn’t go away, it just gets stored up”. Well if that is true, there must be a mother-load stored up!?

purealpha wrote:

I like that saying “vol doesn’t go away, it just gets stored up”. Well if that is true, there must be a mother-load stored up!?

As much as I don’t like you, I agree with you. An August 2015 incident… but worse.

Was long UVXY at 9.63 since last Friday, sold at 11.25 this afternoon. I feel like more of these spikes are coming…

"Between stimulus and response there is a space. In that space is our power to choose our response. In our response lies our growth and our freedom." -Viktor Frankl

Sad I missed that intraday spike to VIX=15 the other day (also sad that we call a jump to 15 a spike, that used to be a normal level). I was sleeping, but had an alarm set on IBKR, dunno why it didn’t trigger…I totally would have shorted that ****.

purealpha wrote:

Sad I missed that intraday spike to VIX=15 the other day (also sad that we call a jump to 15 a spike, that used to be a normal level). I was sleeping, but had an alarm set on IBKR, dunno why it didn’t trigger…I totally would have shorted that ****.

By short, you mean buy SVXY? I did this but the vol isn’t nearly as pronounced as say if I could short UVXY. I suppose I could buy puts on UVXY or no?

I shorted more VXX Thurs, just for something to do. Been churning it, add some to the short now, sell some off next week or whenever it settles back down, but overall a short balance all year.

I am placing a 100k bet (won’t call it an investment) long vol here in the next week. Going to watch markets everyday and sure holding it I will probably lose consistently,  but when it doubles on some random day between now and year end, i’ll be waiting…sounds stupid right? well I am not alone. A trader on the street bought calls expiring in OCT strike of 25 and the amount was so much that he stands to profit 256 million dollars if that happens. 

Anyone have thoughts/ready to rip this apart? :)

market has been boring.

UVXY.. im in.

I don’t like a basis of approx $30 tho. Cotango will chew dat ass up. ill sit for a while.

I'll turn this damn bus around.

Mr.Cheese wrote:

market has been boring.

UVXY.. im in.

I don’t like a basis of approx $30 tho. Cotango will chew dat ass up. ill sit for a while.

What level compels you then? I just think that when we look at time series data going back to before 1900 and can see that volatility reallllly displays a pattern, how couldn’t a trader/investor not be somewhat interested…

Iprofit4sure wrote:

I am placing a 100k bet (won’t call it an investment) long vol here in the next week. Going to watch markets everyday and sure holding it I will probably lose consistently,  but when it doubles on some random day between now and year end, i’ll be waiting…sounds stupid right? well I am not alone. A trader on the street bought calls expiring in OCT strike of 25 and the amount was so much that he stands to profit 256 million dollars if that happens. 

Anyone have thoughts/ready to rip this apart? :)

For fun, feel free to comment whether you think I will “win” or “lose” between next week and year end. I’ll be curious to hear responses and what the consensus is

my intent is not to dissuade you.

i’m team “market repricing” all the way… I fear being early in that vehicle because of its negative roll yield.

it just experienced a reverse stock spilt in mid July. economic data and consumer confidence is strong. this thing can drop to sub $10. i don’t want to get caught at an elevated basis then recoup my original investment after a volatility event. ill start to take it more seriously if it drops into the $15-20 band

I'll turn this damn bus around.

Mr.Cheese wrote:

my intent is not to dissuade you.

i’m team “market repricing” all the way… I fear being early in that vehicle because of its negative roll yield.

it just experienced a reverse stock spilt in mid July. economic data and consumer confidence is strong. this thing can drop to sub $10. i don’t want to get caught at an elevated basis then recoup my original investment after a volatility event. ill start to take it more seriously if it drops into the $15-20 band

Is consumer confidence strong though because they are being offered personal lines of credit at an insane pace and are more than likely using it as an extension of their income? Defaults on bank card loans are at a 48 month high and wage growth is pretty poor from what I have read. I obviously like the trends in unemployment rate, but also what about auto manufacturers too. They are so badly upside down on leases and they are all coming due very soon. 

Hate to say it, but I am not sure if our human DNA is programmed to have “learned our lesson” from the greed that spurred the sub prime mortgage crisis. Generally, Americans being some of the worst, do not understand how credit works and this is a huge issue from a macro perspective. 

UVXY though could definitely head significantly lower from these levels. For sure agree there. However, I am not looking for a credit event/black swan between now and year end per say. Rumors of war and geopolitical instability should be enough to do the trick. If the former happens, and I hold a position (ie huge correction), might quit my job. I’d more than likely get laid off anyway haha

its your coffin man.

but…………..

i do like where Goldman is estimating the probability of a government shutdown. definitely will send short term tremors through the market like 2013. 

I'll turn this damn bus around.

Uh…..if what happens with the government shutdown is like anything what you are referring to that happened in the summer of 2013, I probably wouldn’t just quit my job, I’d retire. That would be 12x on a 6 figure investment. 

I just think that I am young, do not have a mortgage, or kids. So I am going to see how much I can stomach/put a check on my emotions. You have an article in regards to that probability? I’d like to read it. 

https://www.cnbc.com/2017/08/18/goldman-there-is-a-50-percent-chance-of-...

failure to raise the debt ceiling would be even worse.

I'll turn this damn bus around.

Mr.Cheese wrote:
market has been boring.

Yup. I shorted the last two Kim Jong-un related VXX spikes. This has gone on for 50yrs, and I’ll keep shorting every Kim-related non-event.

And if I ever end up being wrong, I’ll be evaporated by a missile strike and won’t have to pay the losses anyhow! laugh

purealpha wrote:

Mr.Cheese wrote:
market has been boring.

Yup. I shorted the last two Kim Jong-un related VXX spikes. This has gone on for 50yrs, and I’ll keep shorting every Kim-related non-event.

And if I ever end up being wrong, I’ll be evaporated by a missile strike and won’t have to pay the losses anyhow! laugh

Those events are no brainers to short but what about a slow and gradual increase in VIX? If you are short, it seems like you must have cash to keep shorting as it goes higher and higher. Theoretically, the amount the VIX can rise is infinite and the amount of cash I have is not. 

Do you sit on the sidelines always until a big event causing spikes happens first or do you stay in a long term short position and just keep shorting as it moves higher? Which is better?