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Stock Picks and Trading · Intraday Alerts
BarTune1
msg #142966
3/29/2018 11:03:35 AM

I'm out at $1,408 ... thanks JP

Stock Picks and Trading · Intraday Alerts
BarTune1
msg #142944
3/28/2018 9:20:57 AM

i just sold a 40/60 call spread in VXX for $10 yesterday ... usually I'd just sell a deep in the money call but my broker has tightened up on volatility etfs such that they won't let you short or short an uncovered option ...

not the most efficient way to trade ...

Stock Picks and Trading · Intraday Alerts
BarTune1
msg #142931
3/27/2018 8:54:40 AM

Welcome back from holidays JP ... I look forward to your posts ...

Filter Exchange · Short DUST & NUGT
BarTune1
msg #141505
1/29/2018 6:13:52 PM

I have not updated this for a while. It takes time to play out. Currently up $2,676.50. Net directional amount at risk is $10,143 ($38,652-$28,509).

Sym Qty Close Cost %Chg MktVal Cost %Chg
DUST -1300 $21.93 $26.783 -$4.85 [-18.12%] -$28,509.00 -$34,817.90 +$6,308.90 [+18.12%]
NUGT -1200 $32.21 $29.183 +$3.03 [10.37%] -$38,652.00 -$35,019.60 -$3,632.40 [-10.37%]

-$67,161.00 -$69,837.50 +$2,676.50 +3.83%

Filter Exchange · Short DUST & NUGT
BarTune1
msg #140275
12/20/2017 10:25:00 PM

Update -

Ok, this trade has been going on a little over a month. Currently up $1,005.50 ... Net directional risk is only $1,128 which is the difference between the market value of the short NUGT postion versus the short DUST position. Basically you are 100% hedged to the extent that the values are equal.

So, I don't really care how you define ROI - which can be calculated several ways. I typically look at return vs. directional risk. I do however agree that measuring return versus capital committed is also valid if not the norm. Because however we are dealing with double short positions, that are direct hedges, I'm not sure it would be best to measure ROI based on the aggregate size of both positions as you are short and not out of pocket to acqurie these positions in the same way you would be acquiring them in cash. Perhaps it would be best to consider the positions versus the margin requirement to take the short positions - represting an opportunity cost.

Regardless of how you calculate return, I think $1,005 where you are only assuming market risk of around $1,200 basically over a 1 month period is pretty respectable.

Sym Qty Close Cost Chg Cost Mkt Val Gain/Loss

DUST -1300 $26.04 $26.783 -$0.74 -$33,852.00 -$34,817.90 +$965.90 [+2.77%]
NUGT -1200 $29.15 $29.183 -$0.03 -$34,980.00 -$35,019.60 +$39.60 [+0.11%]
-$68,832.00 -$69,837.50 +$1,005.50 +1.44%



Filter Exchange · Short DUST & NUGT
BarTune1
msg #140149
12/16/2017 1:25:16 PM

Even if you want to measure this against funds committed it wouldn't be the overall position. You are receiving cash on the short sale so you certainly are not out anything.

All you are really out is the margin requirement to undertake the short sale ... and that is primarily an opportunity cost. Its tough to compare the ROI on that asset allocation to a "market return" because if you otherwise committed the funds to the SPY for example, you are taking full market risk on the position.

One of the predominant ideas behind this trade is that you are taking minimal risk. Consequently, for the "risk-free" portion of the trade (i.e., fully hedged), the appropriate comparable measures should be the risk free or T-Bill rate.

I also acknowledge there are a number of other factors at play here which could include borrow costs etc.

Filter Exchange · Short DUST & NUGT
BarTune1
msg #140146
modified
12/16/2017 9:52:24 AM

Symbol Position Close Cost Net Change $ / % Pos Value Cost Net Gain/Loss %Change

NUGT -1200 $26.57 $29.183 -$2.61 [-8.95%] -$31,884.00 -$35,019.60 +$3,135.60 [+8.95%]
DUST -1300 $28.66 $26.783 +$1.88 [7.01%] -$37,258.00 -$34,817.90 -$2,440.10 [-7.01%]
-$69,142.00 -$69,837.50 +$695.50 +1.00%

Current position +$696.50 .... net directional amount at risk is $5,374

This is a pretty decent return over the last 30 days. I would argue that ROI should be measured as a function of the amount directionally at risk rather than the total position size given that the short positions completely offset. The only amount really at risk is the extent to which you may be over-positioned on either position due to market fluctuation.


Filter Exchange · Short DUST & NUGT
BarTune1
msg #140067
12/13/2017 3:24:56 PM

because you are short both the 3x long and 3x short, you have no directional risk to the extent that the market value of the positions is equal ... to the extent that one position is larger than the other you are left "unhedged". Consequently, the positions can run against you if you get an extended move in any one direction ...

this past week or so I was underwater for a while because NUGT kept dropping and DUST kept rising ... I was short around $30K of NUGT and short $40K of DUST .... thus $10K of directional risk ...

A 10% move in the ETFs if NUGT went down would net me $3K but would cost $4K on the DUST short ...

However, today has been a good day so far ... it went the other way and I'm up around $4K on DUST dropping in value whereas the other side .... a 10% increase in NUGT has cost only $3K ....

I will update the results sometime this week

Filter Exchange · Short DUST & NUGT
BarTune1
msg #139746
12/3/2017 11:29:07 AM

mahkoh,

i'm using TD in Canada and there are no borrow costs here ... if they were being charged, it would clearly impact the gain/loss ... if your account is subject to borrow costs ... you could still enter the trades synthetically using short deep in the money call options without having to incur borrow costs ... in fact, depending how long you went out, you might also capture some option time premium which would also decay in your favor ...

Filter Exchange · Short DUST & NUGT
BarTune1
msg #139730
12/1/2017 5:03:27 PM

Well, it is a slow decay - kind of like watching paint dry - however currently up now $540.50. Net directional risk $1,137.

Sym Qty Close Cost Chg Cost Mkt Val Gain/Loss

DUST -1300 $27.09 $26.783 +$0.31 [1.15%] -$35,217.00 -$34,817.90 -$399.10
NUGT -1200 $28.40 $29.183 -$0.78 [-2.68%] -$34,080.00 -$35,019.60 +$939.60

-$69,297.00 -$69,837.50 +$540.50 +0.77%


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