guspenskiy13
976 posts
msg #120846
- Ignore guspenskiy13
modified |
6/23/2014 12:37:26 PM
"6/13/2014 11:11:49 AM
I think a good strategy would be to use daily and scale out as you profit. That way you will win even on potential break even trades."
I agree, but again - how much profit to take? There should be a back-tested exit strategy that uses daily data, which is a pain to make. Also, I think that averaging down in this case could be beneficial - we all know that VIX drops just as fast as it grows - however the backwardation of VIX futures during that time could make it hard to time the averaging down correctly.
The thing is - 7 times out of 10 VIX is in contango - which gives us the profitable decay of the volatility instruments. Because of the structure of these instruments - it makes looking at VIX for entry / exit a bit useless - after VIX surges and corrects back down, VXX/UVXY/etc could still be going up because of the contango. I am currently looking whether SPVXSP could be useful - as it tracks VIX short term futures. You can check it out here:
http://www.marketwatch.com/investing/index/spvxsp.id/charts?symb=XX%3ASPVXSP.ID&countrycode=XX&time=7&startdate=1%2F4%2F1999&enddate=6%2F23%2F2014&freq=1&compidx=none&compind=none&comptemptext=Enter+Symbol%28s%29&comp=none&uf=7168&ma=1&maval=50&lf=1&lf2=4&lf3=0&type=4&size=2&style=1013
I also took a look whether VIX is in contango or backwardation here:
http://vixcentral.com/
Now, there are a few questions that I am trying to solve myself and looking for help as well:
1) What is more effective, shorting VXX or going long XIV? I know that VXX decays - but is it represented in the XIV? In the case of shorting VXX - I guess you need to re-balance from time to time?
2) To take more advantage of the shorts - would it be more effective to rebalance VXX every open/close?
3) Trying to think of a strategy with either VXX or XIV or other volatility ETF's where you scale in / out when averaging down on the down days.... this will be the biggest problem.
4) I found a source where they state that mid-term volatility is actually more effective over a long-term (1 year+) period of time than short-term volatility. The volatility of the investment (too much "volatility" here right?) is also ~2X lower, which makes it attractive.
I am currently researching this, but here is the link:
http://logicalinvest.wordpress.com/2013/10/02/why-we-invest-in-ziv-inverse-mid-term-volatility-and-not-in-xiv-inverse-fronth-month-volatility/
p.s. also tried to look at doing this by using options - using a strategy called "synthetic short", but the fact that the price of uvxy/vxx options already incorporates the decay makes me to question whether it could work...
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guspenskiy13
976 posts
msg #120847
- Ignore guspenskiy13 |
6/23/2014 12:48:25 PM
P.S.
VIX up 3.41%; VXX down 0.5% intra-day as of now. gotta love contango
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shillllihs
6,101 posts
msg #120848
- Ignore shillllihs |
6/23/2014 1:08:42 PM
All good questions but tough to answer. I barely made it past the 12th grade & went to 6 months community college.
I think i would rather short tvix/uvxy & maybe sell 25-30% at 8-10% profit right off the bat then
let the rest ride til crossback. Now i haven't decided if on pullbacks you should be adding again or not
but i'm guessing no.
This strategy should not be more than 40-50% of your total portfolio so don't hang your
hat solely on it. Let it be what it is. Let it run then get out on crossback then do it again.
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shillllihs
6,101 posts
msg #120855
- Ignore shillllihs |
6/24/2014 3:43:22 AM
Good morning gals,
fenerbahce futbol as (FENER:Istanbul)
Last 39.60 TRY
Change Today +1.50 / 3.94%
Volume 931.4K
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shillllihs
6,101 posts
msg #120857
- Ignore shillllihs |
6/24/2014 11:39:29 AM
fenerbahce futbol as (FENER:Istanbul)
Last 40.40 TRY
Change Today +2.30 / 6.04%
Volume 2.2M
There we go. 40 Something.
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shillllihs
6,101 posts
msg #120858
- Ignore shillllihs |
6/24/2014 12:03:35 PM
What was your reasoning for missing the 17% 2 week boat with FENER.
A. The Mesayah doesn't know what he's talking about?
B. The Mesayah is such an arrogant A-hole & I just don't like him...
Vote now!!
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shillllihs
6,101 posts
msg #120866
- Ignore shillllihs |
6/25/2014 9:46:46 AM
Fener
Day High
41.65
YAY>>>
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shillllihs
6,101 posts
msg #120867
- Ignore shillllihs |
6/25/2014 9:55:41 AM
Fener looking to consolidate here in the 40s for about 3-4 weeks before moving on to 60.
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shillllihs
6,101 posts
msg #120868
- Ignore shillllihs |
6/25/2014 10:00:31 AM
Taking my 25g profit in my TVIX short.
Off to Costco for King Crab & Delmonico...
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guspenskiy13
976 posts
msg #120873
- Ignore guspenskiy13
modified |
6/25/2014 12:51:00 PM
got an ability to short TVIX
with leverage volatility etfs are crazy
thinking of entry/exit rules... maybe par. sar?
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