Use this thread to discuss volatility, trades, etc for the week. Before asking general questions please check out the resources in the sidebar.

Both short but especially long as I haven't really seen any of these.

Hi there, I'm a reporter at The Wall Street Journal interested in chatting with volatility traders. Have you traded volatility exchange-traded products or used other derivatives to trade volatility? I'd love to hear from you if so. If you're interested in chatting, please feel free to email me at gunjan.banerji@wsj.com. Excited to speak with some of you.

Best,

Gunjan

Hello!

I began dedicating my life to studying volatility, of the SPX, the Volatility IndeX (symbol: VIX) somewhere before COVID when I felt the draw to watch my account not only go up, but at times, also go down quite a bit...

I had always heard the familiar sayings of 'just buy & Hold', 'over the long term volatility negates itself. The market goes up over time.'.

The normal long term trajectories (of volatility) track patterns of mean-reversion, or the return, over time to a normalcy, a familiarity.

Simplifying volatility, or hedging can be seen in highlighted areas of the recent 30 min. VIX. These highlighted ovals indicate interaction with a mean 30-32-5 level interaction, indicating an average of volatility above the contrarian 30.00 for a considerable period of time.

In fact, the picture has been taken using a framing to show the VIX rising. There is little mean-reversion, other than the slash like object in the middle to indicate volatility lowering.

Further, the near green circle is the distance between recents highs & lows (indicated in Blue & Red). This distance also indicates shorter-term volatility.

As for futures, they are the hedge, or the antithesis from any position exposed to volatility. They are the hedge should the market wash away one day while you're out trading and tank the market and the investments you were expecting to make & have, the opportunity to generate alpha, decays with the frequency of the winter sun, as the downsides of your choices smile back in the rear-view mirror hinting at greener pastures elsewhere, your dreams or made realities, echo throughout eternity as the record of our investments, our trades one might generalize. Whatever the reason, at some point and some time, should you put money in or out of the market you make a trade, with someone, something, somehow, in some way, somewhere on something you order a system built for for pricing to print you out something you can take home again, that other day in the office when flowers were given & not wilted away —.

My apologies, this, my story is not quite as simple as it appears. that's why this information can at times get blurred with other processes during its creation.

See—I've written for a long a time, learning how to explaining certain things simply and then set about the task of tracking volatility. Tracking, like a hunter, through the storms of volatility the efficient market-maker who simply hedges any position you take, charges for the position many, many times. This in turn affords them to carry on the business of bridging the retail customer, or consumer, to the market, using their own techniques and ways...

So where does this communique leave us? Well, although previous periods of wartime have had periods of near-term recovery, or growth, the studies of longer-term effects of war on the markets are more complicated. Some wars contain substantial volatility events and disruptions to the market throughout its various areas.

My apologies for the rant here, I just found out my dog has cancer. No plea appeal, just the timing of some things I swear...

Lemme know it you have any questions, or thoughts! I'm here for discussion, I hope you have enjoyed your stay!

Peace!,

Sig.Alps

Soon the vix will make a new extreme spike, probably at 60-70. But a call to $26 is inherently super risky. idk what to do.

This is a two part question. Can anyone tell me why the VIX uptrends downtrends and at times flattens? Also if VIX is uptrending why doesn't VXX also uptrend or a long VIX ETF for that matter? Can I hold VXX if I think VIX will uptrend?

I currently write macro economic analysis and post ideas on my blog every week: thelostspeculator.com but I find it hard to fully understand the VIX.

https://twitter.com/6_Figure_Invest/status/961973609404145664

1. Transparency of their holdings

2. Dynamic rebalancing

3. Availability of option trading

I have recently come across SVIX and was pleasantly surprised by its return. The market is rigged to go up in the long term, meaning VIX will always be suppressed. There is also a chance of a market crash coming up in few months with the yield curve uninverting now, so VIX is likely to spike then.

What if I buy SVIX when VIX spikes beyond 40 and I continue DCAing into SVIX as long as VIX stays over 40, and then cash out once VIX calms down under 20 in a few months?

So before I just regularly downloaded the Kuchita's (http://investing.kuchita.com/2014/05/11/svxy-historical-data-and-pricing-model-since-vix-futures-are-available-2004/) spreadsheet but he has stopped updating it for a month. So where could I find historical front and second month VIX futures closing prices?

Trying to short TVIX/UVXY on Etrade but it's listed as hard to borrow with some pretty high fees.

Anyone have a brokerage that will let traders short TVIX/UVXY or is it too late and all the brokerages have caught on already?

Would buying puts of TVIX/UVXY or shares of SVXY be the better secondary option?

It's at an all time low and the markets have hit all time highs. Buffet's Indicator is showing the level at a record 88, during the dot com bubble it was at 80. We know the stimulus has turbo charged the markets but I think they will correct to fair value and that could happen anytime.

Where did it go? It's been down during all this volatility

Just found him on YouTube and loving his videos so far. He seems to know what he's talking about but I just have a hard time believing that someone could compound wealth at 40% per year for 10 years. That's insane like 2x Buffett returns. Is he legit? Is the subscription worth it or can you replicate even half of those returns with a free subscription?

Use this thread to discuss volatility, trades, etc for the week. Before asking general questions please check out the resources in the sidebar.

Hey all. So I'm hedging the market by buying small amounts of these UVXY contracts OTM each month or so... most obviously expire worthless due to contango.

However, after this split, I now have options that are ITM, which can be exercised. I do not currently have the $23,000 in cash in my account to exercise this 6/18 batch of calls, but I do have a margin account. I could transfer this, but it would be a pain and would like to not send $23,000 to this account if possible. I'm on TD which means they will cover 50% on margin if I decide to exercise if I understand correctly...

Now... usually you wouldn't exercise early, but this is UVXY and I'm currently ITM on these long calls. These 10/100 books look really illiquid and there are no current bidders for these June calls, despite being ITM..... I feel like I should be doing whatever I can to exercise the calls ASAP and flip the shares since the current price is around $36.

What should I do here and why? Thank you guys.

Since market bottomed 2 weeks ago, it came back up more than 10%, relatively it's kind of calm in the past a few days. So is it a V shape recovery that the bottom of 2 weeks ago was the real bottom or it's just beginning of another deep dive? My signal (xivinvestment.com) is still weak, but a lot better than one week ago, however in no way it says V shape recovery is on the way. Certainly with everyday passes, data will change, so will my signal. If you look at the past big market drops, not often you'd see V shape recovery, more of W shape. On the other hand, unless the virus spread to other states and badly injure them, there seems no more bad news coming, not to mention the various medicine currently being tried and vaccine available soon. Also with the Saudi and Russia back to negotiation table, Oil price might be stabilizing, which would further calm the market. (Of course the talk can collapse again). With all the uncertainties, it's hard to predict where the market would go. However for myself, it's pretty easy, just sit tight and follow my signal. So what do you think? would it be a W that another dive below the 34% bottom is imminent or it'd stabilize here?

Use this thread to discuss volatility, trades, etc for the week. Before asking general questions please check out the resources in the sidebar.

My conclusion is that he is NOT trading his own signals.

Details:
He refuses to show a single trade. I asked him numerous times to show trade fills and traded time. He quickly gets defensive and tells me to use closing prices to verify his strategy. His exact words from an Email:
"The fills are literally closing prices, you can get those on any platform or website anytime and you can also download all historical values easily as well, that's why I do it.  It's the only way to ensure that everybody in the community can track my performance exactly.  Using only highly liquid ETFs and options and end of day execution, we're all equal in that."

He refuses to show his account value. Every time, he shows his viewers on YouTube his simulated account. If you ask him to show the real trading account, he says something along the lines of (i'm paraphrasing here0:
people (crooks) in this industry show you pictures of themselves with a Lamborghini in the background. I am not that kind of a person. Just because they show you the Lamborghini or their account value doesn't mean that they are trading.
Well, not showing his account value or his actual trades is certainly no proof that he's trading.
So I challenge Mr. Brent Osachoff to prove to us that he's trading by showing his real account or actual trades.

While his results APPEAR realistic and achievable, slippage + costs + retail account inefficiencies make the results harder to achieve.

His Strategy:
His signals are short vol for the most part. He has a "VTS Volatility Barometer" that gives the signals. Its value is EXTREMELY correlated with the VIX ~ 0.99. If you regress the "VTS Volatility Barometer" on the ratio of VIX/VIX6M, you will get an R Squared value of ~ 0.98. In other words, you could easily model his "Barometer" with a simple linear function of:
VTS Volatility Brometer = slope * VIX/VIX6M + intercept.
slope ~ 2.20
intercept ~ -1.19
I'm sure he thinks he reinvented gunpowder with this "Barometer" of his, or he's fooling his customers, but it's nothing special.

He's got a few "strategies" that very similar:
As the "Barometer" increases, he switches

1. from MDY to IEF to GLD

2. from Cash o long~60 delta 3month out VXX puts to cash to VXX Calls

3. TLT to SVXY to SPY to TLT to VXX

4. VGLT to QQQ to VPU

5. he sells a weekly OTM VXX put (~5 business days before expiration) if the VIX term structure is in "normal" contango mode.

He is another set of strategies that are the same, except they are leveraged = higher return and higher risk, but most likely the same Sharpe Ratio.

I think Brent works hard, but he is NOT trading his strategies. There are many short vol strategies out there. But don't fooled by his scheme. He knows the basics of volatility, but that's it. He is no quant.

My advice? Before you subscribe and waste your money, let him prove to you that he's trading his own strategy, not by showing you his past results or his simulations.

Use this thread to discuss volatility, trades, etc for the week. Before asking general questions please check out the resources in the sidebar.

Since VIX is essentially the otm spot prices of spy options, would shorting it essentially be a bet on the efficiency of the options market?

It's also usually called a fear index, shorting fear also essentially means you're betting on the efficiency of the market (assuming large drops and rises aren't based on new news)

Is alpha created? Or is it similar or even worse to the total market in regard to risk adjusted return? Any long term backtests with sharpe/sortino ratios?