BarTune1
441 posts
msg #139267
- Ignore BarTune1 |
11/14/2017 1:03:19 PM
I have a pretty reliable mean reversion filter screaming buy on labu ...currently at $63.75
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pthomas215
1,251 posts
msg #139268
- Ignore pthomas215 |
11/14/2017 1:36:24 PM
Bar Tune, thank you. Notice how you cannot short the Bear ETF LABD. There is a reason! all the big players are shorting it.
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Kevin_in_GA
4,599 posts
msg #139270
- Ignore Kevin_in_GA |
11/14/2017 1:44:24 PM
I'm long 5,000 shares of XIV at $106.96 (open price). This allows me to recapture the three BUY signals from yesterday morning that I did not get to trade, plus the two BUY signals from last night. Down slightly at the moment but I have faith in the systems I use.
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BarTune1
441 posts
msg #139271
- Ignore BarTune1 |
11/14/2017 1:50:35 PM
Sometimes when I can't borrow or make a trade otherwise, I have to synthetically short by selling in-the-money calls which are available on LABD. There doesn't appear to be much premium however. Of course you risk being assigned. Assignment is not fatal however, as you only have to worry about a potential buy-in once you are short the shares on the assignment. I use TD and the strange thing is - they rarely force a buy in - so you are usually left short the securities they told you that you can't borrow or short.
I would normally look first to short the overpriced 3X ETF. However, in this case, I'm only looking for a short term mean reversion trade. So I'm not overly concerned with potential inefficiencies associated with 3X leveraged etfs and am fine with LABU.
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mahkoh
1,065 posts
msg #139273
- Ignore mahkoh |
11/14/2017 3:07:54 PM
I recently checked several 3x etf's in order to find out how much each decays over time.I was actually quite surprised that it was not at all the rate I expected. First of all it did not start to kick in until after 20 trading days, and the only ones that had serious decay were DRIP and GUSH.
I was not surprised to find out the big winner (or rather loser) was TVIX.
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johnpaulca
12,036 posts
msg #139274
- Ignore johnpaulca |
11/14/2017 3:17:43 PM
XIV($107.72)....30-min bar, bots will be eating this alive(short)
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johnpaulca
12,036 posts
msg #139275
- Ignore johnpaulca |
11/14/2017 3:19:55 PM
XIV...Time and sales showing more buyers than sellers...trickery!!
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BarTune1
441 posts
msg #139276
- Ignore BarTune1 |
11/14/2017 3:30:00 PM
@mahkoh
try using this to see the net decay since the beginning of the year ....
symlist(nugt,dust)
and date offset is 220
you can add other triple leveraged pairs
Decay is quite pronounced and exists for a number of structural reasons. Perhaps one of the biggest factors is that most ETFs get their exposure from equity swap agreements with large financial institutions (FIs). The FIs typically charge a hefty fee (built in as a spread) so the ETF never fully realizes the 3% move either way. The compounding effect really adds up. You'd be wise to short both etfs most of the time, if you could.
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mahkoh
1,065 posts
msg #139278
- Ignore mahkoh |
11/14/2017 4:09:08 PM
I was looking at short term decay:
and checked the % change over time. If GDX changed x % over a number of days, how much did NUGT deviate from 3 times x %? I did not see a large deviation develop in the first 20 days.
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BarTune1
441 posts
msg #139279
- Ignore BarTune1 |
11/14/2017 5:34:41 PM
@mahkoh
you are correct ... short term you don't often see much decay ... my only point is that you will invariably see decay over time ... and that can provide quite a profitable edge ...
i guess i'm just kicking myself because i was short about $23K of both DUST and NUGT at the beginning of the year and closed out the position when i was up around $2,300 ... had i held on like my intention ... i would have been up around $10,300 on the short of DUST and around $1,000 on the NUGT short ... all with minimal directional risk ... i've traded this strategy several times and made money each time but its like watching paint dry at times .... maybe its time to get into it again ...
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