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Stock Picks and Trading · Shills Swing N Daily
guspenskiy13
msg #122269
12/16/2014 11:08:42 AM

VIX first contract expiration today. Which means that XIV has a lot of over-priced 2nd month futures, that it will start dumping tomorrow.

;)

Stock Picks and Trading · Shills Swing N Daily
guspenskiy13
msg #122267
modified
12/16/2014 10:10:51 AM

Still waiting on XIV...and nothing looks pretty as of now.

SPY rejection at the close (199.44) is pretty bad IMO....we'll see

Stock Picks and Trading · VXX
guspenskiy13
msg #122266
12/16/2014 10:09:54 AM

I will try to put it up this week Eman

Stock Picks and Trading · Shills Swing N Daily
guspenskiy13
msg #122254
12/15/2014 2:08:18 PM

I like volatility - and I see good potential in arbitraging contango VIX futures.... which are backed by statistics....

Limited risk and robust results. Much better than using volatility ETPs - those guys have the weighted combo with every-day balancing, which decreases the performance by a lot...

Plus, neither of the combinations (1-2 months for XIV and 4-7 months for ZIV) are optimal for shorting...

Stock Picks and Trading · Shills Swing N Daily
guspenskiy13
msg #122251
12/15/2014 12:45:28 PM

Waiting to get into XIV. How much lower.....that's the question...

Stock Picks and Trading · Santa Claus Rally
guspenskiy13
msg #122250
12/15/2014 12:45:07 PM

I'm waiting to get into XIV. Volatility is elevated nicely with some big premiums

Stock Picks and Trading · Shills Swing N Daily
guspenskiy13
msg #122247
12/15/2014 11:41:01 AM

I will certainly take a look.

Stocks have too many disadvantages over futures/options. It took me some time to learn it.

Stock Picks and Trading · VIX, SPY and some observations.
guspenskiy13
msg #122225
12/12/2014 12:18:39 PM

The relationship of vix futures and their structure is obvious - since the structure is only in contango ~20% of the time (much less if we don't include 07-08), it makes sense to short volatility at such times.

But could the high degree of contango signal a turning point for SPY, or at least for VIX futures?

It is hard to calculate mathematically, because comparing current contango to /VXZ4 while plugging as a ratio we just divide the second month future by the square of the first month.

Image and video hosting by TinyPic

Visually, it does seem that the term-structure of VIX futures is range-bound and gives a good signal on whether 1st/2nd month futures will converge/diverge from each other.



Stock Picks and Trading · VIX, SPY and some observations.
guspenskiy13
msg #122223
12/12/2014 10:56:13 AM

As I shifted my attention from VIX ETPs into their basis - VIX futures and focused on possible arbitrage of different contracts, I've observed something interesting.

On Friday December 5th, 1st to 2nd month contango has hit a record 12.87%, the highest YTD. On Monday it had intra-day high of 12.915....and then....

Image and video hosting by TinyPic

Image and video hosting by TinyPic

Knowing that 1/2 month contango has been substantially (by 3 to 4%) higher than 13% only for 2 days in the past 2 years, this was a solid risk/reward opportunity....oil/energy slide was just a catalyst....

P.S.

This might be just a coincidence.



Stock Picks and Trading · Shills Swing N Daily
guspenskiy13
msg #122221
12/12/2014 10:12:54 AM

that's some ridiculous numbers....

compare it to a two bedroom apartment in Moscow worth of ~ $400k....

and rent of ~60,000 rubles/month.... which used to be $2000.....and now only $1000...

was 6%/yr, now 3%/yr.....

LOL



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