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Post by theMist on Dec 21, 2016 10:14:17 GMT -5
VIX scams trading now like they want to take another run at HOD. We shall see. Plenty of trading left in day. If shorting them, keep it small and quick scalps.
VXX still has that unfilled GAP in mid 25s that absolutely will get filled at some point and like I've been saying I believe will most likely happen in next few trading days (next week).
Would I go long the scams? Personally I would short them just above the GAP. I can't take the swings of being long the VIX scams, especially when contango is so high.
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Post by walnut on Dec 21, 2016 10:34:47 GMT -5
For the record, took another look at using call options as a hedge for short VXX. And I am thinking it just might possibly work.
Right now you can get this weeks 24.5 calls for .15, implied volatility is below fair value, the delta is low so you are not giving up much if VXX drops (.15 at most), and it will give you catastrophic loss insurance, so you can stay short the VXX all week.
These short just out of the money calls look very cost-effective and might make longer-term VXX shorts more practical. Roll and re-buy every week.
Longer term calls do not work for several reasons.
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Post by theMist on Dec 21, 2016 10:38:54 GMT -5
Awesome stuff walnut. Your far more knowledgeable of options trading then I am.
Is buying calls better then selling puts and collecting premiums?
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Post by walnut on Dec 21, 2016 10:43:38 GMT -5
I would love to sell VXX puts, too bad it doesn't work. I wish it did.
Over the weekend I considered selling the 25 puts on VXX. in 2.5 days we are already down to 23.8 and I would have had to cover by shorting VXX anyway, which is the exposure I was trying to avoid. Or else buy back the puts at a large loss.
Mathematically it doesn't work unless the puts implied volatility is much higher than VXX historical volatility, but this never happens because lots of people would love to sell VXX puts and keep those prices a little too low all the time.
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Post by theMist on Dec 21, 2016 11:01:03 GMT -5
All 3 VIX scams (VXX, TVIX, UVXY) have now closed the GAP to yesterdays LOD (this was a MUST for VXX). Could still run a little higher and all 3 flash green and take out yesterdays CLOSING GAP (VXX 24.25).
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Post by walnut on Dec 21, 2016 11:02:58 GMT -5
One thing that I am curious about VXX options seem to be priced based on a normal probability distribution, same as other stocks. But we all know that VXX is not normally distributed, that is why we short the hell out of it. The VXX actually has something like a Poisson returns distribution. But I know that VXX maintains put-call parity, so this fact seems to be ignored. Seems like it might be possible to exploit this somehow. Actual VIX index options account for non-normal distribution but not VXX options.
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Post by walnut on Dec 21, 2016 11:19:07 GMT -5
Short the VXX and buy a synthetic VXX with options, that is the hypothesis to be tested.
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Post by huh on Dec 21, 2016 11:19:53 GMT -5
Banks rising all morning while market pulling back a little. XLF could be putting in a small ascending triangle intraday.
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Post by huh on Dec 21, 2016 11:21:12 GMT -5
Banks rising all morning while market pulling back a little. XLF could be putting in a small ascending triangle intraday. And breaking higher as I posted it. XLF support now ~23.59. Should get XLF back to around HOD at least.
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Post by Herceg on Dec 21, 2016 11:22:30 GMT -5
I don't know about the rest of you but between Huh, Mist and Walnut..............I am on information overload !!!!! LOL...............all great stuff and very informative reading your posts..............like an intense football game if you will..............Thanks to you all for everything !!!!!!
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Post by walnut on Dec 21, 2016 11:29:27 GMT -5
We all like praise Herc! Seriously, I am happy if anything I post here makes anyone one of us $20
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Post by theMist on Dec 21, 2016 11:33:02 GMT -5
BTW - thanks Huh. Just saw my typo in my early AM post. VXX LOD yesterday was 24.10 which meant that todays VXX HOD should be at least 24.10 (never happened 3 days straight where VXX never closed its GAP to previous days low). When I posted a 2nd time I had it correct. I just fixed it on my early AM post. Trying to type, watch charts, and trade at same time. lol
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Post by walnut on Dec 21, 2016 11:44:26 GMT -5
I should say, I greatly appreciate you guys posting your ideas and opinions here too, we all have our strengths and weaknesses and I know I greatly benefit from reading your opinions and thoughts.
On technical analysis I fly by the seat of my pants and need someone to tell me what the hell to think.
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Post by theMist on Dec 21, 2016 12:32:11 GMT -5
Watching VXX 5 min chart. BBs getting real tight. Usually means its going to make a move. Usually down.
Overall, a real yawner today. lol
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Post by theMist on Dec 21, 2016 12:33:08 GMT -5
yep - just broke to downside. lol
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Post by huh on Dec 21, 2016 12:36:45 GMT -5
And then the market slept.
Expecting XLF to at least ~23.66 again. Unfortunately, at this pace that 4 cents higher might be the EOD print. lol
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Post by theMist on Dec 21, 2016 12:56:00 GMT -5
CNBC reporting on VIX. "VIX falls to 16-month low" Talking heads are calling for rise in VIX also. Maybe they read our posts at FAZINATION
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Post by huh on Dec 21, 2016 12:59:33 GMT -5
And then the market slept...
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Post by huh on Dec 21, 2016 13:02:06 GMT -5
CNBC reporting on VIX. "VIX falls to 16-month low" Talking heads are calling for rise in VIX also. Maybe they read our posts at FAZINATION Never a good sign if talking heads are calling the same plays! lol
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Post by walnut on Dec 21, 2016 13:47:50 GMT -5
Gotta go Christmas shopping. Wish me luck
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