Gordon Chang made the comment that China is the weak hand in this situation.

It’s like when you owe the bank $10000 you are in trouble but when you owe them $100M they are in trouble.

The other thing, I think anything that jacks up the price of softs like soybeans does not bode well for Chinese social stability.

Weak position.

I could just listen to Seth talk about vol all day.

>> it would have gone up over 500%

Shoulda coulda woulda

It’s quite certain, though, that VXX ATM call options would have done more than 500%.

>they simply used my structure

Andrew at Option Pit says that they have to send takedown notices to Ebay every week because people steal their courses and sell on Ebay.

Heh.

The market in action.

Wasn’t there some FB brouhaha last fall about the Russian bogeyman. Zuck was going to have to hire a ton of ad checkers and that was going to impact profits, etc.?

Then after a couple news cycles everybody forgot about that.

Just like they will forget about this kerfuffle and the next one too.

I tried to find the quote in the Michael Lewis book “The New New Thing”, but couldn’t.

Something along the lines of “If somebody tried to mention PE in the room it was like they farted.”

That’s almost the situation with NFLX and AMZN.

The market is supported by FANG stocks. Two of the four megacap names have astronomical PE ratios.

So how is PE even relevant?

It seems that all the products in the space are being affected by the Feb. Crash.

Except VXX.

As for options, VXX has the best liquidity.

Bill Valentine made two remarks in the most recent Vol Views about UVXY.

1) OTM UVXY puts are the safe way to play short vol.

2) In a crisis like we had in early Feb., OTM UVXY calls are the
most efficient…[Read more]

Don’t make much difference. Before, UVXY was a tracking the SPY at 5x, now it will be a mere 3X.

I don’t think this will help its liquidity though.

Dayam is all I can say. And to think I was planning on maybe putting on a position on Tuesday!

Looks like long straddles post-earnings have a very high win rate for TGT.

But according to the scanner, it is two days away from a technical breakout, so this should be interesting. 40 delta call. Looks very promising:

http://tm.cmlviz.com/index.php?share_key=s_0_20180225224616_EzO5KNfKhNMprpnG

2017 was a full-on Zone 1 VIX environment (to use the Option Pit classification). I think that number is valid for Zone 1. But it’s not valid for Zone 2 or 3. I think there is a good chance that we will stay in Zone 2 for awhile, or it may even become the new normal. So is that number still valid? What would be the new number?

Michael’s Twitter timeline back from the beginning is very educational.

I don’t know how he does it either.

I did a bunch of backtests this week with CMLviz that totally rocked my world.

One of the results is that I am going to stop doing LEAPs and instead focus on the front week options.

Here is my half-time analysis of earnings, for the second go-round using CML TradeMachine Pro Scanner and filtering the results with the Tastytrade liquidity metric. Note that a good portion of this period, the peak of it, was messed up pretty bad by a 6 SD vol event, so the results were hurt by that.

7-day or 14-day pre-earnings 40-delta Call…[Read more]

I hate to admit it, but I am not modeling it. I am jumping in on the crowded strikes, mainly. That’s my strategy, BTFD on the crowded strikes, usually at the even or nodal numbers, 1, 5, 10, 15, 20 and so forth.

Could you share the spreadsheet with me?

Actually, it seems that I cannot read my own results. It’s the 40 delta not the 25 delta.

Why is it that the 40 delta calls and puts so often seem to be the winners in these short duration plays? I guess the answer is obvious.

I did some backtesting today with CML of VXX puts.

Not surprisingly, the 7-day 25 delta puts blow the LEAPS clean out of the water, at least over the past two years of low VIX.

http://tm.cmlviz.com/index.php?share_key=20180216231921_JpMn7bAfo6380iqT

IMHO, what has happened is that the old liquidity providers like Goldman and JPM have gotten out of the business, leaving us at the mercy of HFTs like Citadel, which pull the plug on their algos when the going gets tough.

My put spread from last week is up a little money, and today I bought a few FEB 23 12 calls.

Just for the braggin’ rights.