guspenskiy13
976 posts
msg #120706
- Ignore guspenskiy13 |
6/12/2014 11:07:00 AM
I will try.
On short time frames the ratio doesn't give you any advantage, same as VXX above/below ema
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guspenskiy13
976 posts
msg #120708
- Ignore guspenskiy13
modified |
6/12/2014 1:05:30 PM
Currently trading VXX, I found interesting a scenario when SPY makes a new low but volatility doesn't make a new high.
Or if comparing SPY to XIV, XIV doesn't make a new low.
This divergence might be powerful, and it's LIVE right now - will see how it plays out.
up: spy slipped 0.3%, I guess it's just BS.
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guspenskiy13
976 posts
msg #120725
- Ignore guspenskiy13 |
6/12/2014 9:31:48 PM
It would be nice to develop/backtest a strategy where you short VXX/UVXY/TVIX....
80% of the time they decay up to 10% a month....
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shillllihs
6,089 posts
msg #120738
- Ignore shillllihs |
6/13/2014 11:11:49 AM
I think a good strategy would be to use daily and scale out as you profit. That way you will win even on potential break even trades.
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shillllihs
6,089 posts
msg #120800
- Ignore shillllihs
modified |
6/19/2014 2:26:32 PM
fenerbahce futbol as (FENER:Istanbul)
Last 36.30 TRY
Change Today +1.50 / 4.31%
Did anyone buy at 32?
This may be the beginning of a a 90% move.
If so, will happen within 8 weeks imo.
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shillllihs
6,089 posts
msg #120801
- Ignore shillllihs |
6/19/2014 3:30:28 PM
Let me downgrade that a little. Fener, 60 by sept. 5th. Could see low 70s.
May be 40s within 2 weeks.
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shillllihs
6,089 posts
msg #120804
- Ignore shillllihs |
6/19/2014 9:47:10 PM
Portfolio Value $186,851.00
Buying Power $90,000.89
86.85% 18 week return Wall St. Survivor.
Look up MESAYHA
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shillllihs
6,089 posts
msg #120820
- Ignore shillllihs
modified |
6/20/2014 11:43:24 AM
fenerbahce futbol as (FENER:Istanbul)
Last 37.45 TRY
Change Today +1.15 / 3.17% high of 38.40
Where were you when you missed the great Fener run??
How many secretly bought but were to proud to admit Mesayah was right??
or how many were just too naive??
40 next week...
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shillllihs
6,089 posts
msg #120845
- Ignore shillllihs |
6/23/2014 11:55:47 AM
fenerbahce futbol as (FENER:Istanbul)
Last 38.10 TRY
Change Today +0.65 / 1.74%
Volume 2.8M
2% a day, 10% a week...This is great. Volume spike too... How cushy.
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guspenskiy13
976 posts
msg #120846
- Ignore guspenskiy13
modified |
6/23/2014 12:37:26 PM
"6/13/2014 11:11:49 AM
I think a good strategy would be to use daily and scale out as you profit. That way you will win even on potential break even trades."
I agree, but again - how much profit to take? There should be a back-tested exit strategy that uses daily data, which is a pain to make. Also, I think that averaging down in this case could be beneficial - we all know that VIX drops just as fast as it grows - however the backwardation of VIX futures during that time could make it hard to time the averaging down correctly.
The thing is - 7 times out of 10 VIX is in contango - which gives us the profitable decay of the volatility instruments. Because of the structure of these instruments - it makes looking at VIX for entry / exit a bit useless - after VIX surges and corrects back down, VXX/UVXY/etc could still be going up because of the contango. I am currently looking whether SPVXSP could be useful - as it tracks VIX short term futures. You can check it out here:
http://www.marketwatch.com/investing/index/spvxsp.id/charts?symb=XX%3ASPVXSP.ID&countrycode=XX&time=7&startdate=1%2F4%2F1999&enddate=6%2F23%2F2014&freq=1&compidx=none&compind=none&comptemptext=Enter+Symbol%28s%29&comp=none&uf=7168&ma=1&maval=50&lf=1&lf2=4&lf3=0&type=4&size=2&style=1013
I also took a look whether VIX is in contango or backwardation here:
http://vixcentral.com/
Now, there are a few questions that I am trying to solve myself and looking for help as well:
1) What is more effective, shorting VXX or going long XIV? I know that VXX decays - but is it represented in the XIV? In the case of shorting VXX - I guess you need to re-balance from time to time?
2) To take more advantage of the shorts - would it be more effective to rebalance VXX every open/close?
3) Trying to think of a strategy with either VXX or XIV or other volatility ETF's where you scale in / out when averaging down on the down days.... this will be the biggest problem.
4) I found a source where they state that mid-term volatility is actually more effective over a long-term (1 year+) period of time than short-term volatility. The volatility of the investment (too much "volatility" here right?) is also ~2X lower, which makes it attractive.
I am currently researching this, but here is the link:
http://logicalinvest.wordpress.com/2013/10/02/why-we-invest-in-ziv-inverse-mid-term-volatility-and-not-in-xiv-inverse-fronth-month-volatility/
p.s. also tried to look at doing this by using options - using a strategy called "synthetic short", but the fact that the price of uvxy/vxx options already incorporates the decay makes me to question whether it could work...
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