With IB closing out a 300 share UVXY short I had on(Due to what appears to be that they let me short the shares, but by the time the T+2 Settlement occurred the shares were unavailable so they closed the trade. Lame) I instead put that liquidity into a Jan 18’19 Synethic short centered on the 12 strike.

Kinda sucks from a trade management point…[Read more]

Holding a core short UVXY position and slowly adding into a short VXX position. Intended on holding until further notice, but now wondering how long until IB makes me cover the short…not due to margin requirements but do them losing the ability to find the shares i’ve already shorted.

David mentioned The 2011 style VIX action, if you ever needed encouragement to have a hedge in place it’s 2008 and 2011. Check out:

How UVXY and SVXY would have reacted in 2008 and 2011

A point worth considering is that a 10% core hold may equate to more than a 10% ROC over a year if you systematically add to the position as it goes down, essentially when it drops to 8%, short another 2% account value.

On the flip side one has to be aware of the difference between initial and maintenance margin and have a plan for the…[Read more]

I think it’s a pparticularly interesting question because it truly is up to the individual to determine their own risk tolerance, especially when you start to consider a black swan event that will cause ripples beyond those previously seen.

As for myself, I’m building up a 15-20% short UVXY position with another 50-60% of the account margin…[Read more]

@ereitzel Interesting that they charge the fee for one underlying but not another. As someone who trades with IB, my theory is that it does well because they charge low commissions but also make you pay for the data you want. So for someone who buys a few times a year it doesn’t make sense to pay for the data, but if you are regularly…[Read more]

@ereitzel From reading the email it looks like they are just applying the standard loan rates, it’s not punishment. I’d be curious to ask them if they markup the rate and/or if there are any other fees associated with shorting shares.

Interesting, why do you assess that there is an edge in using VWAP for vol products? My hypothesis has traditionally been that the vol products whip back and forth within a range based on the published value of the ETF(and then pushed back into that range if it moves out by the ‘authorized participants’).

The reason I state the above, is that in…[Read more]

This steady vol was unexpected, I had what essentially was a short duration long premium trade betting that we’d have a true binary event last weekend, if vol had crushed I would have celebrated..if it spiked I would have scratched the trade. I ended up in the worst case scenario in that vol just stayed put, stopped myself out on the trade and…[Read more]

I suppose there may be something to looking at how the market reacts during that first 30 minutes “auction” as a determination of how volatile the day as a whole will be and then looking at how the VIX futures lag in response.

Well, it would be interesting to see the research done but i’d never actually trade that way 😉

Personally i’d more…[Read more]

Perhaps it’s just the way i’m looking at it, but the equity risk premium that the article mentions seems like a strange metric to use to determine the risk of a downturn.

It seems like in any kind of run up we have a similar model:

1)The economy is doing well…therefore;
2)The federal reserve becomes concerned about inflation due to economy…[Read more]

I’m curious how the futures open later today especially given the potential of an overnight deal to keep the lights on, but instead of making a determination of what will happen I’m just planning on what i’ll do for what I see as the 3 likely scenarios:
1) Deal comes through, VIX crush occurs my plan: Satisfied grin, start taking profit on short…[Read more]

@binjamien Because of IB’s margin requirements I tend to do similar, but to this point I have bought my long call options when I put my short position on so that I can choose the strike more actively to manage my margin use.

I also stick with IB because the alternative for retail yet active trading platforms in Canada is rather limited, so I…[Read more]

I’ve seen Seth and David both write articles with the goal of being the voice of reason, but to throw my 2 cents into the ring…I enjoy these articles.

The more fear is pumped the higher the volatility risk premium that will exist for the short vol trade to take advantage of.

(yeah it’s not just fear there is also a time value of the hedge…[Read more]

In talking about how SVXY would react to a vol event I recommend going to the source and reading the SVXY prospectus, and in addition check out Vance Harwood’s articles an sixfigureinvesting. In those you will find a lot of detail including information on the construct and (by extension) how they would react in the event of a large VIX spike…[Read more]