Any thoughts on last week’s record low liquidity in S&P500 futures?

The only other times comparable levels of low liquidity have been measured in these contracts were in October and November 2008

https://twitter.com/nanexllc/status/962822682130739200/photo/1

Agreed. Many can look back now and see the indicators for what they were then, I will give you kudos for the trades you have posted about here that you made in light of what you saw, I certainly am impressed. But I would argue that given the large short vol fund cash inflows we saw later in the week, that Monday’s odd events are still being viewed…[Read more]

Thanks haha although technically I am slightly skewed to the short side. Right before I took the plunge shorting the eminis I spent a while trying to price out ways everything could really go against me all at once. Hard to imagine vol increasing from here while the S&P starts to recover, any one care to disagree and maybe set me straight again?…[Read more]

I recently sold short dated S&P futures as a near term portfolio hedge against my core which is a mix of long S&P derivative LEAPs, long emerging market LEAPs, a few common shares of select blue chips I’ve liked for a long time, and my short US equity vol positions. And of course cash, never all in folks. My vol exposure at the moment is mostly…[Read more]

Little doubt in my mind they have an algorithm reading this. Maybe prompted them to update their website. It was already on VXX.IV anyways, wish I had more experience tracking that number. Digging into the charts now, looking for other divergences, signs of manipulation, etc

Look at the charts for XIV.IV and SVXY.IV over the last couple days.

Something tells me Credit Suisse will have to answer for why XIV.IV was marked at 24 and change for a LONG time before they pulled the rug out from under everyone and posted the unreal 4.22 valuation.

Now that these events are coming to light, how does this affect investors’…[Read more]

*meant to say recent highs, not all time highs. It only touched 64.9 briefly in the post market Monday, so to see a note value of 65.43 is pretty strange to say the least

Check out the closing indicative note value of VXX – http://www.ipathetn.com/US/16/en/details.app?instrumentId=259118

Am I seeing things or is it above the all time highs of the security? Also doesn’t appear to have been updated today.

So are investors finally pricing in some of the institutional risk of these notes that I’ve been posting about…[Read more]

So which of these strats held up best today?

Here’s where XIV being an opaque ETN rather than a relatively more transparent ETF is coming into play to an extent. We don’t know exactly what kind of swaps & derivatives Credit Suisse used in this note. Have a look at what CS common stock has been doing after hours. According to the prospectus, as Seth pointed out, acceleration is triggered “if…[Read more]