I ran the correlation coefficient for VXX using half of Michael’s number (0.00432) for 8/16/2016 through 1/30/2018 comparing the model daily close array with the actual daily close array. It’s 0.981704459. That’s an amazing correlation. Taking it through yesterday and including the event, we get 0.974643497

Doing the same with UVXY (using…[Read more]

Sure, it’s pretty basic. I know Michael Listman ( I should ask him how he’s modeling now) uvxytrader on Twitter uses .00864 as an average daily decay. Finding a starting point is the tough part. I ran VXX at half that number and modeled it back about 18 months with historical data from Nasdaq.com and it’s pretty consistent. Forecasting forward is…[Read more]

Scott, how are you modeling UVXY and VXX? especially now after the big spike and backwardation we are enjoying (sarcasm). I built a spreadsheet for both using the .00864 decay for UVXY and half of that for VXX and have played around with historical data and different start points to see what makes sense for estimating good strike prices. Not…[Read more]

Scott, where do you trade VIX futures? I don’t want to participate but just curious. We’ll have to see how mainstream brokers react to all this hype about the entire VIX complex “blowing up”. Bad week (few weeks likely) for sure, but people bought tech stocks after 2000 (the Nasdaq didn’t go away). I’ll be with TD A in 2 weeks, if the long…[Read more]

thanks Seth, absolutely sure I couldn’t remain without what I’ve learned from you (like many). I’m kinda glad XIV is gone, one less thing for haters to hate! And I am sincerely sympathetic to anyone that had a catastrophic ending, at 4 or so this morning I was feeling pretty low…and we have more battles ahead.

Nice synopsis Scott. You clearly…[Read more]

Anyone have any ideas on the status of other Velocity Shares products (namely EXIV)? I have some in my 401k. (and thankful for opportunity today, I’m solvent, still trading and far less allocated, phew)

I sure wish it would try…If we cheer it on will it try to go to zero today? I’m all but wiped out, need a reprieve. And the ability to heed my own internal warnings..

With fundamentals intact, maybe SPX keeps trading the technical channel (I believe it will for a time). But if the 10Y hits 3%? What if 2018 sees more selloffs than we saw in 2017? That sounds possible- not a bear market, but possible. 2019 is what worries me, I remember 2006 and rate hikes…In the meantime, I wanna try selling some of those uvxy…[Read more]

And the last of available VXX shares at Scottrade are locked. About a 23% run from 26 to 31.99 over 6 sessions. Be interesting to see how much higher it can go. I looked at a volatility spike from late October of 2016, and VXX ran about 25% (the 2x’s ran about 50%). That may not mean anything, but that one was memorable because I got caught too…[Read more]

Dumped a batch of UVXY at 9.36 (for a small loss) last week to add liquidity and carefully layer up some VXX, today took some at 29.25 and 30 in the AH. Less chance of a margin call and better executions with share liquidity. So, I’m in after rearranging last week. Still holding a TVIX position that I plan on keeping for a long time. (but it’s…[Read more]

Speaking of VX futures and our current correlation that is not behooving us, I have covered my small but backwards (-17%) position in UVXY while maintaining core of TVIX and some nice executions in VXX in the interest of capital preservation. Tell me if anyone thinks this makes sense:

VX futures are based upon SPX puts in the various index…[Read more]

Yeah I guess you’re right Richard, that’s all it is. Funny, I’ve been with them for about a year and never seen this, Fidelity is a little more upfront with margins loan fee percentages and things like this. (but Fidelity has a 200% requirement) They did tell me it applies to UVXY, not TVIX or VXX. Most of last year I shorted TVIX so that’s why…[Read more]

Just got a somewhat ambiguous message from Scottrade regarding short sales (this comes as my account is probably few weeks away from TD A transition)

“Dear Client,

Effective 1/31/2018 , Scottrade will begin assessing short sale fees to your account.

Short sale fees represent the market cost of borrowing shares from external counterparties or…[Read more]

This is getting good, thank you. I refreshed my brain on the Greeks and understand your point on gamma risk toward the nearing of expiration. If we are rolling into weeklies as they come available, placing the sell orders by calculating a percentage of max, we can systematically pattern trade these put spreads. I can load it on a spread sheet to…[Read more]

Thanks Poise, that makes sense. I have seen that on his feed, I was looking at the March 2nd weeklies today. As I mentioned above, once I try this in sim many times I will work it out. I like the idea of a systematic approach. Given the consistent decay, it will work much of the time and timing with spikes will be super important as well.

Thank you, FearMerchant. I think as I try it a few times the nuances will iron out. If the underlying moves below the short put early (as in the case of my test I have done recently with UVXY short put strike of 8.50- almost there as of this writing), does it make sense to close it at that point? There is no more upside once that has happened…[Read more]

That’s excellent, thank you both! Going to try this in simulation. Meanwhile, I’m short TVIX and VXX with a 14% allocation. (and hopefully dropping)