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Post by ipath on Apr 20, 2017 12:53:31 GMT -5
I went about 80% in shorting TVIX on tue at around $42 (got in late), covered some yesterday at loss, finally making money now. As a hedge this time I used put options in SPY, I bought 230 put options in SPY expiring tomorrow at .12c So one contract was $12, if SP500 was to fall about 1.5%, I think it was, it would be in the money. at that point each additional percentage down would make about $230 per contract. Any of you guys use SP500 puts as hedging for shorting VIX scams
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Post by Herceg on Apr 20, 2017 13:03:12 GMT -5
Mnuchin: Tax plan very soon could explain the move higher Anything to help prop the mkt. again.............gotta love WS and Gov't...............
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Post by ipath on Apr 20, 2017 13:08:45 GMT -5
Mnuchin: Tax plan very soon could explain the move higher Anything to help prop the mkt. again.............gotta love WS and Gov't............... I know, I also noticed when market gets into stagnation and starts trading side ways for some time, they come out with some good news announcement and propel it higher. If we really get to 2470 in the next few weeks, the correction will be hard, quick and fierce
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Post by walnut on Apr 20, 2017 13:22:33 GMT -5
I went about 80% in shorting TVIX on tue at around $42 (got in late), covered some yesterday at loss, finally making money now. As a hedge this time I used put options in SPY, I bought 230 put options in SPY expiring tomorrow at .12c So one contract was $12, if SP500 was to fall about 1.5%, I think it was, it would be in the money. at that point each additional percentage down would make about $230 per contract. Any of you guys use SP500 puts as hedging for shorting VIX scams I have looked at that. Didn't do it. It might work though. here is the issue... volatility is measured and priced both in S&P options and VXX options. the trick is to buy as much volatility as you can per dollar. Luckily volatility is a standard metric that can be cross applied from S&P to VXX in the short run. Or can it? What I always saw was that SPY options tend to run a little more costly per unit of volatility than about any other underlying. The other issue is the nonlinear way VXX might move as S&P moves down. I think it can work, but I never fell in love with that specific idea. If the options are priced higher than they are worth based on the historical volatility, then you have to ask yourself- maybe the better hedge is to just reduce position size. And if you carry that thought to its extreme, if the options are priced higher than they are worth, maybe it is better to not buy any at all? Options seem really cool but in reality I think they are incredibly frustrating. better to sell S&P puts than buy them almost always IMO. BTW- VXX historical volatility is 43, spy volatility is 8%. How many puts needed to hedge TVIX more or less dollar for dollar? Gonna take a lot Sorry about rambling but I have looked at this stuff alot and it is an interesting topic for me.
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Post by ipath on Apr 20, 2017 13:47:16 GMT -5
I went about 80% in shorting TVIX on tue at around $42 (got in late), covered some yesterday at loss, finally making money now. As a hedge this time I used put options in SPY, I bought 230 put options in SPY expiring tomorrow at .12c So one contract was $12, if SP500 was to fall about 1.5%, I think it was, it would be in the money. at that point each additional percentage down would make about $230 per contract. Any of you guys use SP500 puts as hedging for shorting VIX scams I have looked at that. Didn't do it. It might work though. here is the issue... volatility is measured and priced both in S&P options and VXX options. the trick is to buy as much volatility as you can per dollar. Luckily volatility is a standard metric that can be cross applied from S&P to VXX in the short run. Or can it? What I always saw was that SPY options tend to run a little more costly per unit of volatility than about any other underlying. The other issue is the nonlinear way VXX might move as S&P moves down. I think it can work, but I never fell in love with that specific idea. If the options are priced higher than they are worth based on the historical volatility, then you have to ask yourself- maybe the better hedge is to just reduce position size. And if you carry that thought to its extreme, if the options are priced higher than they are worth, maybe it is better to not buy any at all? Options seem really cool but in reality I think they are incredibly frustrating. better to sell S&P puts than buy them almost always IMO. BTW- VXX historical volatility is 43, spy volatility is 8%. How many puts needed to hedge TVIX more or less dollar for dollar? Gonna take a lot Sorry about rambling but I have looked at this stuff alot and it is an interesting topic for me. I didn't really expect it to completely keep me from going negative. I took intentionally a close expiration date because the premium was low and I thought if chubby tests a nuke and TVIX doubles over night I will get a margin call and eventually get whipped out. I thought Worst case scenario is the market falls 5%, TVIX goes to $100, each contract I paid $12 would make $800. I bought 10 contracts for every 200 TVIX shares. 200 TVIX shares would loose 12k if they were to go to $100. So it's not a full insurance, but allows you to sleep better
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Post by walnut on Apr 20, 2017 13:50:45 GMT -5
I just checked... Spy options are cheaper relatively than VXX options right now. So yes they are better. But they are about 20% statistically over priced still.
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Post by ipath on Apr 20, 2017 13:55:40 GMT -5
What I am very interested in doing is, selling VIX put options once VIX drops a little. I think that would provide a some hedge and could potentially even make you money. Havent done that yet, but I am planning to, when VIX goes down.
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Post by walnut on Apr 20, 2017 13:57:00 GMT -5
What I am very interested in doing is, selling VIX put options once VIX drops a little. I think that would provide a some hedge and could potentially even make you money. Havent done that yet, but I am planning to, when VIX goes down. I have been very interested in that too. By my calculations it doesn't seem to work, but it is interesting and I hope it works for you.
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Post by ipath on Apr 20, 2017 14:00:03 GMT -5
What I am very interested in doing is, selling VIX put options once VIX drops a little. I think that would provide a some hedge and could potentially even make you money. Havent done that yet, but I am planning to, when VIX goes down. I have been very interested in that too. By my calculations it doesn't seem to work, but it is interesting and I hope it works for you. Hmmm interesting.. did you sell VXX options or VIX options?
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Post by theMist on Apr 20, 2017 14:04:58 GMT -5
I really wish Cohn would get off CNBC already
so boring listening to him talk -- annoying
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Post by walnut on Apr 20, 2017 14:06:37 GMT -5
I don't think I ever did it. But I have studied it alot, and unfortunately it doesn't seem to work. VXX always drops too much historically to make it viable. And you can't just buy back the puts to roll over because they will have gone up.
Even worse, vix index options are priced crazy and the puts are useless. This is because to maintain put-call parity in order to prevent you from making a synthetic vix hedge, the put options are not priced by normal options math. They are priced to take all benefit from making a synthetic vix hedge possible. so the vix puts are systematically underpriced.
------------ to be more correct here, I should say that vix index options don't maintain put call parity. the puts are underpriced, the calls are overpriced. If they did maintain put call parity, then you could buy a call and sell the same strike put and you would own the vix, which would allow you to hedge futures and be a billionaire in a month.
Vix index options are especially worthless. They mirror that some months futures, but are worse to use than the futures.
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Post by huh on Apr 20, 2017 14:10:22 GMT -5
So market makes a fool out of me today. Unfortunately, 'tain't the first time
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Post by walnut on Apr 20, 2017 14:12:34 GMT -5
I have been very interested in that too. By my calculations it doesn't seem to work, but it is interesting and I hope it works for you. Hmmm interesting.. did you sell VXX options or VIX options? I don't mean to be the kind of guy who is negative to ideas. It is just that i have studied these options ideas in depth and I'm telling you the disappointing conclusions I have come up with. I have come to decide that the smartest people on earth designed the options pricing system, and if you find a way to beat it then you have really done something.
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Post by theMist on Apr 20, 2017 14:14:45 GMT -5
So market makes a fool out of me today. Unfortunately, 'tain't the first time VXX closes solidly below 17.08 with follow thru tomorrow and this can turn right back into just a speed bump for VXX final half hour will be interesting
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Post by lasvegas77 on Apr 20, 2017 14:20:17 GMT -5
The algos are responding to the headlines today with the treasury head indicating that Trump is bringing new tax reform. However, he doesn't have any more insights today about it being able to actually pass than weeks ago. My belief is that this is not likely to hold. It's likely a knee jerk reaction to the headline.
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Post by theMist on Apr 20, 2017 14:21:19 GMT -5
Nice move in VXX
Come on VXX RISE into the close!!!
VXX 17.18
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Post by lasvegas77 on Apr 20, 2017 14:25:32 GMT -5
Funny how i wrote my comment about it not likely holding just seconds before that spike on vxx.
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Post by ipath on Apr 20, 2017 14:33:55 GMT -5
Nice move in VXX Come on VXX RISE into the close!!! VXX 17.18 Stop encouraging them Rob, I am still short TVIX
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Post by ipath on Apr 20, 2017 14:36:56 GMT -5
Hmmm interesting.. did you sell VXX options or VIX options? I don't mean to be the kind of guy who is negative to ideas. It is just that i have studied these options ideas in depth and I'm telling you the disappointing conclusions I have come up with. I have come to decide that the smartest people on earth designed the options pricing system, and if you find a way to beat it then you have really done something. Not at all, I really appreciate an educated comment or constructive critic of my ideas. Thank you
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Post by lasvegas77 on Apr 20, 2017 14:37:22 GMT -5
You should cover while you are ahead ipath.
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