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VIX and Volatility General Discussion


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VIX and Volatility General Discussion

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  #41 (permalink)
 suko 
Kyoto, Japan
 
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VIX term structure, contango between VIX and M1, curve flat between M1 and M2. It's been almost two months since we have seen this state.

The VIX opportunity lies where at the point of a phase shift, like now with this flat curve. It will most likely be pulled down, doesn't usually stay flat for long.

Once the M1 M2 gets back into contango, which could happen tomorrow, that will be a green signal for shorting the vol products.


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  #42 (permalink)
 suko 
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QOTD "There is a huge disconnect between the money that is floating around in the stock market and the earnings power of the Big Tech companies. There is too much love for Big Tech and too much money crowded in just a few names. This is something we have never seen before. Unfortunately, the more crowding you see in the index, the more volatile the SPX will be as it moves only on the fundamental developments of a few companies. Single stock risk becomes ever more important for the SPX index. That means its volatility will increase. Effectively, the SPX is turning into the FNGS ETF here which only invests in the Top 10 tech names (FANG+). That means VIX levels will remain very elevated going forward, certainly much higher than the levels we saw in 2019. 30 is not going to be a ceiling for the VIX in 2020. More like a floor." [emphasis mine]

--Stephen Aniston now writing for investing.com

https://www.investing.com/analysis/the-big-5-makes-money-but-not-enough-to-bail-out-the-sp-500-200523259?ampMode=1


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  #43 (permalink)
 suko 
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Current outlook: short term long vol and long term short vol

Looking at VXX call spreads 43 47 May and further out for around a dollar

Simple and good long vol trade


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  #44 (permalink)
 motowater 
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I like the VIX being so high right now. More ticks with the same amount of time.

If you cant afford it all you have to do is fine tune your amounts with the emicro.

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  #45 (permalink)
 suko 
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So much for the long vol...

VIX curve has a very strange shape but front to back there is now a
slight contango, and 3.72% in the front two months, so that's the
signal for short VXX.

This month expiration is a week later, so it's not this Wednesday
but the following one.



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  #46 (permalink)
 suko 
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The question about that bump in the term structure around October -- is it overstated? Neither Biden or Trump would be a bad outcome for the market. Warren would, but not those two.


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  #47 (permalink)
 guidoisot 
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the sim trade of post 24
is getting close to expiry, just 7 days.

Yesterday bought back one of the 3 short 55 call for 15$.

Probably the rest of the spread will expire worthless, with a loss of 205$, unless the VIX spikes.

the spread now is this:

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  #48 (permalink)
 suko 
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Most long vol trades are losers! Just the way it goes.

Although after this crash it was reasonable to expect it to win.

I got my ass handed to me on that long call spread from last week.


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  #49 (permalink)
 suko 
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More light backwardation. The front end of the curve is flipping in and out like a weather vane on a gusty day.

Very hard sailing on a gusty day.


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  #50 (permalink)
 suko 
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More light backwardation. The front end of the curve is flipping in and out like a weather vane on a gusty day.

VXX downside remains bid. Kinda hard to buy puts at these prices.


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