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Trading volatility

Iprofit4sure wrote:
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?

I just closed out most of my Kim-short in after-hours, usually I’m only in for days or a week. This year however I’ve been churning; kept a relatively small short balance that decays away, underneath the larger trades around vol events. 

Usual disclaimer: vol is dangerous, I spent years in industry building models and am kinda a bad a$$.

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purealpha wrote:

Iprofit4sure wrote:
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?

I just closed out most of my Kim-short in after-hours, usually I’m only in for days or a week. This year however I’ve been churning; kept a relatively small short balance that decays away, underneath the larger trades around vol events. 

Usual disclaimer: vol is dangerous, I spent years in industry building models and am kinda a bad a$$.

Well, I just found out that IB is limiting short UVXY positions to something like 33 percent of account equity balance. Is that the broker you use? Do you know of any brokers that have less strict requirements for shorting 2x leveraged ETPs? I have an IRA account but opened this IB one with 50k just to mess around, however, I want to use ALL of that money to short it, not like 16k. 

Iprofit4sure wrote:

Well, I just found out that IB is limiting short UVXY positions to something like 33 percent of account equity balance. Is that the broker you use? Do you know of any brokers that have less strict requirements for shorting 2x leveraged ETPs? I have an IRA account but opened this IB one with 50k just to mess around, however, I want to use ALL of that money to short it, not like 16k. 

Haha, isn’t that a little bit risky? Trolling? surprise

Yeah, I use IB. Wasn’t aware they had a 33% limit cause I normally do 5% or a bit higher. 

purealpha wrote:

Iprofit4sure wrote:

Well, I just found out that IB is limiting short UVXY positions to something like 33 percent of account equity balance. Is that the broker you use? Do you know of any brokers that have less strict requirements for shorting 2x leveraged ETPs? I have an IRA account but opened this IB one with 50k just to mess around, however, I want to use ALL of that money to short it, not like 16k. 

Haha, isn’t that a little bit risky? Trolling? surprise

Yeah, I use IB. Wasn’t aware they had a 33% limit cause I normally do 5% or a bit higher. 

This is fun money, I guess I could move 150 into the account, then that would let me use all of the 50 I want, or I might just check out SVXY. Thoughts on SVXY being long?

IB just introduced the limit like a month ago. I get where they are coming from. 

Surprised IB introduced that new rule.  Aren’t they known for ridiculous margin requirements on futures (as low as $500/ contract ffs)

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

^ On ES futures margin is something like 5%, so people can leverage up 20:1 and nuke their account. yes

Iprofit4sure wrote:
This is fun money, I guess I could move 150 into the account, then that would let me use all of the 50 I want, or I might just check out SVXY. Thoughts on SVXY being long?

A couple years ago when CN moved their currency 2% without warning, VXX spiked 60% or something, so if you were short that would be a $90K drawdown, and it took 6 months to recover. If someone were going to go crazy with play money, they could go long XIV (or whatever inverse vol fund), that way you can’t lose more than 100%. Since the broker is protected, perhaps there is no limit on inverse vol?

I shorted it!

purealpha wrote:

I shorted it!

Closed the short, easy money.

But holy f@#$ can we get some real vol though? This is children’s stuff. Back when I was a kid the S&P moved around like bitcoin!

Shorted vol again. cool

Update post memo release: doubled down.

What vehicle did you choose to do so?

Just good old fashioned VXX.

Shorted more…finally we get some market excitement! VIX at 35+. yes

I think right now is an opportune time to buy some puts on the vix. Today’s fear is higher than the greek default crisis or the PIIGS default crisis. Aside from the market being completely overbought, what news justifies these level of fear?

you’re a maniac PA. you get a 1987 type event and you’re creamed. VXX at 48 as we speak… at what point are you margin called?

anecdotally, just because all of you are jacked about shorting vol makes me think vol can go through the roof. no bets either way.

update. VXX now at 57.

Matt Likes Analysis wrote:
you’re a maniac PA. you get a 1987 type event and you’re creamed.

Nope. It’s already been discussed many times on this thread. It’s called financial/risk modeling!

Matt Likes Analysis wrote:
VXX at 48 as we speak… at what point are you margin called?

Since I’m long SPX puts it depends how low the S&P goes, with that offset it’s essentially mathematically impossible, but of course nothing is ever impossible. Hell, the idiots crowded into long-S&P probably have more risk than I do, they just don’t know it. I know my risk and have been positioning hedges for years. cool

whatsyourgovt wrote:
Aside from the market being completely overbought, what news justifies these level of fear?

USG is bankrupt, economic center moving East, US stock valuations totally made up (you can’t pump valuations with ZIRP/QE and have them not reverse when you raise rates). Americans try to ignore reality, but smart money knows in the back of their minds it’s a house of cards, just like they were ready to run like hell when subprime popped. I’m simultaneously short vol, and know just how bad things could really get when this bubble pops.

Iprofit4sure wrote:

purealpha wrote:

Iprofit4sure wrote:

Well, I just found out that IB is limiting short UVXY positions to something like 33 percent of account equity balance. Is that the broker you use? Do you know of any brokers that have less strict requirements for shorting 2x leveraged ETPs? I have an IRA account but opened this IB one with 50k just to mess around, however, I want to use ALL of that money to short it, not like 16k. 

Haha, isn’t that a little bit risky? Trolling? surprise

Yeah, I use IB. Wasn’t aware they had a 33% limit cause I normally do 5% or a bit higher. 

This is fun money, I guess I could move 150 into the account, then that would let me use all of the 50 I want, or I might just check out SVXY. Thoughts on SVXY being long?

IB just introduced the limit like a month ago. I get where they are coming from. 

Now I realllllllly get where they are coming from. RIP SVXY and XIV. Literally. Unreal. So glad I moved all into crypto in November. I will be better off for it in the long run. Hope you weren’t in those ETFs

Yeah, XIV got crushed in afterhours. I actually went in to look if I could long-it at $15, but IB is currently showing a margin requirement of 800%. That’s odd given that you can’t lose more than 100%, maybe that is the margin for both short/long. But that kinda makes it hard for the fund to recover when we can’t even buy!

purealpha wrote:

Yeah, XIV got crushed in afterhours. I actually went in to look if I could long-it at $15, but IB is currently showing a margin requirement of 800%. That’s odd given that you can’t lose more than 100%, maybe that is the margin for both short/long. But that kinda makes it hard for the fund to recover when we can’t even buy!

I heard the NAV is like 4 dollars now and has triggered the “termination clause” meaning all will be liquidated soon. Not the case?

Oh that’s right, the NAV on my screen is $4.22. Could be game over, probably Tuesday we find out.

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

RIP

XIV: trading halted, news pending!

OMG + WTF…

VIX just went from 50 to 23 in a half hour. Market has gone full-schizo! surprise 

Update: VXX halted! 

Update 2: holy **** look at the VIX term structure! It’s all ****ed up guys. 

lol that hedge fund with the alias fifty cent must have made millions!!. million bet on fifty cent options. club coming up on a tuesday!

http://www.businessinsider.com/vix-volatility-trader-50-cent-lost-197-mi... 

200 days and counting. hahahahyahaha

I love my cheese. I got to have my cheddar.

yeah crazy action. that was a quick correction. probably grind higher now. no flight to safety.

Okay, that annoying pink halt light on VXX has been removed, back in action!! laugh

Sweet, the market talking heads are blaming this crash on us volatility traders. Thanks, I take full credit. Bad boy, PA!

whatsyourgovt wrote:

I think right now is an opportune time to buy some puts on the vix. Today’s fear is higher than the greek default crisis or the PIIGS default crisis. Aside from the market being completely overbought, what news justifies these level of fear?

easy money. cash me out and meet me out front. 

surprise SUMFIN AIN’T RIGHT! surprise

VIX 50, then 23, now 46. In like an hour.

Iprofit4sure wrote:

I heard the NAV is like 4 dollars now and has triggered the “termination clause” meaning all will be liquidated soon. Not the case?

Looks like CS announced termination and XIV liquidation scheduled for February 20th. 

"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

There needs to be an SEC investigation into those Credit Suisse guys. Lots of questions. 

Black8Mamba23 wrote:

Iprofit4sure wrote:

I heard the NAV is like 4 dollars now and has triggered the “termination clause” meaning all will be liquidated soon. Not the case?

Looks like CS announced termination and XIV liquidation scheduled for February 20th. 

Insanity!!! No position but did consider a possible vol trade back in the fall. Terrible stuff. Highly doubt all those that lost will have any legal recourse on paper. 

Yeah, I looked at XIV way back on this thread, did a trade on it years ago but decided against it in favor of VXX. XIV was (past tense now!) like a derivative of a derivative of a derivative (too weird), and volatility drag sucks. 

But I don’t understand where the money went (complicated question). If it were functioning “normally” a 100% increase in futures might translate into perhaps a 50% drop in XIV (maybe I’m wrong). Did they have internal trading mistakes? Did they design it from the beginning to take everyone’s money? Are they making a gain on this liquidation? Was there insider trading?

Agree with the talk from Blackrock and others that these products should be marked “unsafe”, some sort consumer projection agency. This is the same 2008 thing; Wall Street are intentionally designing **** like CDOs that nobody will ever understand, then they cause market collapses, and then they say “see in the fine print” you should have known.

Also, it’s distasteful that Credit Suisse are bragging “don’t worry (investors in our equity), we didn’t take any losses, just those dumb ETP investors we screwed!”.