Showing the IB UVXY borrow rate as 15.5% but then also a rebate of -14.08% which they provide back to you. Admittedly I’ve never managed to figure out if that means a rate of 1.42% (as in 15.5-14.08=1.42) or 13.31% (as in 15.5%x(1-0.1408)). I’d be curious if anyone has sufficient experience with Interactive Brokers to explain that one in…[Read more]

I try to trade under the assumption that whatever positions I have on pre-volatility event will become illiquid so that alone doesn’t bother me anymore but I don’t think the interesting liquidity event will come from the options around the ETFs/ETNS.

Spend some time looking at just how many /VX m1 and m2 contracts SVXY and XIV are short, then…[Read more]

@ronturkey I enjoy the podcast, he brings on interesting people and articulates his points well. I try not to look at it from the perspective of if I agree or disagree with a bullish/bearish presentation so I’m always open to someone’s point of view.

To look at it as “If anyone followed his trade advice, they missed out on massive gains” is…[Read more]

@vibrantcosmos The particular study I mentioned above was backtested using Python by Chris at ProjectOption.com. I had the opportunity to review a number of his early volatility related studies and he produces some great stuff. I don’t think he’s anywhere as active as he used to but he still has good info on his blog at the site.

Is this a long vol trade? Assessing that you bought the 10.5 and sold the 11.5. off the top of my head it looks like your break even is only if VIX settles at 11.11 on the Feb expiry,which we havnt done a lot lately.

There is an argument that SVXY benefits from it’s ability to continue to build up equity from a series of incremental gains towards higher and higher numbers while VXX essentially just compresses further and further towards zero.

Not saying I subscribe to that argument, but I’ve heard it pretty well articulated so I respect the point of view. In…[Read more]

Scott, scratching at the backtests do you have any theory on why in those tests VXX would show more profitability than UVXY?

On a theory basis I would assess that the decay caused by utilizing a 2x leverage would result in more loss in the underlying. A theory I will throw out there is that given the violence of a VIX spike if the spread is…[Read more]

I trade quite a few long debit put spreads in UVXY, with expiry spread out from between this friday and the march monthly contract. I’ll never claim to tell you how you should trade them but I can tell you how I do it.

1) With UVXY being where it is I usually go for a $2.00 wide spread, like shorting the 8 put, long the 10 put. I usually target…[Read more]

Looking at the news today and seeing that GoPro is leaving the drone business, and even seeking a buyer through JP Morgan. While it could be one heck of a “buy the dip on a turnaround story” I’m not eager to buy any lottery tickets until there is some kind of fundamental confirmation of the turnaround.

It can be a challenge, but I find that it’s part of trading vol options in general. I tend to slowly add to existing positions during extended periods of higher vol, and the spreads definitely get wider but I can generally get filled near the mid-point. That’s in part though why I try to keep the position small so I can ride it out to expiry if I…[Read more]

That article has me scratching my head, the way they describe to short vol “safely” is probably one of the more convoluted ways of doing it and then commenting “In other words: it’s complicated.” Yeah, it’s complicated if you go short VXX while also going long SVXY/XIV and then throw a mess of puts into there but they are making it way more…[Read more]

I’ve seen some backtesting showing that best results were to simply let them go until expiry(which was written by an acquaintance setting up his own website so unfortunately I don’t have it to share), so that’s what I aim for when I have LEAP puts. You could argue that you wouldn’t want to hold them within the 60 day window as the theta decay…[Read more]