# What are you buying? Volatility Term Structure Spreads



## The_Tosser

OK should have separated this from the 'Notes over Volatility' thread 2-3 weeks ago when i swapped from one trade to the other.

Now that VIX has some teeth, this particular idea will be in play for the rest of 2016, in one for or the other.

Starting from today's prices to be more than fair on the return front, we're going to call us "in" @ -$67.50k notional, for a 'core' position.

This is as per the other thread, long May vix, short 4X July vix.

This position will have to be rolled every 30 days or so to keep @ the same point on the "TS". I have no issues in slipping a roll to get us closer to M3 but as you can see I can only do this once before the rolls will revert to 30 days.

I'll likely be doing many trades (vs core) and I will note the difference when done. I'll keep track of roll credits/debit to the core position and adjust the start price on each roll.

Margin is approx $16K per spread. Draw-down can be considerable so be prepared to bleed at times. D/D from here upon Armageddon setting in could be $35K per spread. Size accordingly.

I'll also update "Vix Ouch Potato" non-futures account adjustments here as well. Currently we're 25% ZIV, 25% XIV, 50% cash. The non-fut accounts returned 16% last year playing only these etf's. OK considering i was betting on Armageddon happening so i had a small foot-print all year.


Market expectations: I have none that matters much to how i am going to trade from here. I do expect 2016 to be a negative year, as i have been saying in print since Dec 2015 where "V-O-P" (Vix Ouch Potato) was 100% cash.



We're off!


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## The_Tosser

Gonna nibble a trading position here @ -$67.00k.

This will hopefully fall under the "4-20" rule and will be called as such moving forward.

Now i know what you're thinking, but it doesn't mean you gotta be high as a kite to take the trade. What i mean is we'll attempt to trade it out in the 20 mins surrounding 4 PM EST. 3:55PM to 4:15PM.

I'm taking it early and won't mind if i have to hold for a bit. 

I dumped that ERX/ERY combo Friday @ close for gains, dumped a vix-spread for gains earlier etc etc to allow for for wiggle room in the premiere trade for 2016.

Realize that this doesn't fall under the strictest of the 4-20 rule as it's only 3PM EST but the over-all area is decent if we look beyond our noses. Worst case scenario will be to scrub it out on the next trading position.


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## The_Tosser

Feeling rather bullish today. The plan to the upside for this week is to see ES get through 1908 resistance area, and then between 1930-1940 I'll dump the first trading position from post # 2.

The plan to the downside is to just hide under my bed and talk about how I am in it for the long haul, after-all. rofl. :rugby:


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## Moneytoo

The_Tosser said:


> The plan to the downside is to just hide under my bed and talk about how I am in it for the long haul, after-all. rofl. :rugby:


Hey that's my prerogative! :biggrin: And you need a better scorecard...


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## james4beach

Wow our very own CMF quant hedge fund! Tosser, your "Vix Ouch Potato" portfolio is exposed to counterparty risk, namely, Credit Suisse. If the institution (which is on shaky grounds btw) were to default, your ETNs would get wiped out as there are no assets backing them.

Have you considered hedging away that risk using CDS or some other exotic derivative?


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## The_Tosser

Moneytoo said:


> Hey that's my prerogative! :biggrin:


Well i am laughing at it of course, but there's a bit of truth to it too as i am absolutely fine with holding vix short from here. Don't forget the V-O-P accounts are still 50% cash and have the ability to pounce at any time.

The trading position was well in the green at the close yesterday had i wanted it. Given the willingness to hold, the trades will be less frequent until we get a larger move in either direction.

FOMC statement @ 2 PM EST today.


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## The_Tosser

The_Tosser said:


> Feeling rather bullish today. The plan to the upside for this week is to see ES get through 1908 resistance area, and then between 1930-1940 I'll dump the first trading position from post # 2.
> 
> The plan to the downside is to just hide under my bed and talk about how I am in it for the long haul, after-all. rofl. :rugby:


1908 right here. Just in time for the FOMC meeting. Odd how that works, lol.

Grab the pipe. Time to smoke some of that fine Hopium, looking for 1930-1940 to exit this already sweet trade. :rugby:


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## Moneytoo

james4beach said:


> Wow our very own CMF quant hedge fund! Tosser, your "Vix Ouch Potato" portfolio is exposed to counterparty risk, namely, Credit Suisse. If the institution (which is on shaky grounds btw) were to default, your ETNs would get wiped out as there are no assets backing them.


Oh no maybe we need to warn all the alpha seekers lol:



> Based on these findings, here is what I will be doing in the near future. (1) For "mad-money" trading purposes, I intend to buy ProShares Short VIX Short-Term Futures ETF (NYSEARCA:SVXY) and will (mostly) follow my own strategy. The similarities and differences between XIV and SVXY are outlined in this linked article. (2) *As part of my "safe" retirement money, I intend to set aside a fraction of the account for investing in ZIV.*


XIV Or ZIV? New Perspectives Following 6 Months Of Elevated Market Volatility


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## The_Tosser

The_Tosser said:


> 1908 right here. Just in time for the FOMC meeting. Odd how that works, lol.
> 
> Grab the pipe. Time to smoke some of that fine Hopium, looking for 1930-1940 to exit this already sweet trade. :rugby:


Aww that's a shame.

Mental note. Do not buy from that street dealer again. 

She banged her head off of 1910 once too often, went unconscious, then someone took advantage of her 

1910 is the line in the sand so it seems.

Maybe next week.

I'm sleeping in tomorrow :smilet-digitalpoint Honest!

Not interested in doing the XIV/ZIV shuffle just yet, but it's coming back into play.



EDIT: 

Holy cow, am i eating enough fruits and vegetables? I think I need an apple  @ $94, down 30% from highs, lol. With enough cash to buy XOM? lol And in a slapped-around market to boot.


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## Moneytoo

The_Tosser said:


> Holy cow, am i eating enough fruits and vegetables? I think I need an apple  @ $94, down 30% from highs, lol. With enough cash to buy XOM? lol And in a slapped-around market to boot.


Wow holy cow indeed - we bought some of them apples for $95 in August'14 and then some more for $120 a year later! 

But oh well - I've got the title (and a 12% pay increase - finally crossing over 100K!), so will:

a) keep managing smart people doing cool things 
b) start buying GICs and 
c) hold that HVI that I bought too soon, like everything else :biggrin:


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## The_Tosser

Moneytoo said:


> Wow holy cow indeed - we bought some of them apples for $95 in August'14 and then some more for $120 a year later!
> 
> But oh well - I've got the title (and a 12% pay increase - finally crossing over 100K!), so will:
> 
> a) keep managing smart people doing cool things
> b) start buying GICs and
> c) hold that HVI that I bought too soon, like everything else :biggrin:


Start buying GIC's?? !!! That's like getting a demotion and a pay cut! lol


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## Moneytoo

The_Tosser said:


> Start buying GIC's?? !!! That's like getting a demotion and a pay cut! lol


Well I hear 50 year olds should have 50/50 equities/fixed income, I'm aiming for 75/25 by 55, so a couple of 10K 5 year GICs per year will guarantee that I'll have some extra cash for Hedging in a bear market when I mature :biggrin:


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## The_Tosser

Tasty thoughts 

https://www.youtube.com/watch?v=_StaWgzMyV8

I've been dragging my *** on getting short bonds with T-Snooze. I agreed with the guy in principle but didn't like the level last week or two. We tagged my level today.

This is a side-line bet to the bet in question of this thread, but i am long 5 year, short 10 year fute's 1:1 @ net long of -$8700, $1K margin, so you can load to the moon if that is your desire. Taking my first tranche, not willing too add aggressively and will cut and run by +$200 per spread.

It looks like i missed nothing by sleeping in today.

We've been running a tight range ES 1864 to 1908 areas. I want to see something break hard either way.

Flip the coin.


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## Moneytoo

nikels21 said:


> BOJ lowered rates...green day abroad


VIX Futures -3% at 12:35am... Heads :biggrin:


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## The_Tosser

> BOJ lowered rates.


lol yeah. So the next time some Doomer starts wanking-off about how US bonds are bubble, int rate will skyrocket and the US 'debt' is unsustainable etc etc doom doom, just point them to japan over the last number of decades, lol. 

Unfortunately int rates @ or near zero (or now negative in some cases) will do nothing to stimulate japan just as it doesn't and won't in US or elsewhere. Fiscal, not Monetary. Oh and um, inflation? lol Not a chance. Look at japan. It's time the inflation nut-bags at the Fed give it a rest. The earth is still not flat. 

Back to bed! I only need to get up for 4-20 play on a Friday. We'll see about taking off the T.S. trade then if this market hangs together.

EDIT: 

Check out uvxy, the best short on the planet even when it's going bad on you at times, lol. If this market gets a head of steam this thing will drop to all time lows by mid-Feb, at 'worst' mid-May if the the market stays stingy (excl Armageddon). Patience pays off big here.


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## The_Tosser

ES 1908-1910 alarm waking me up. Decisions, decisions on the vix trades. Let's see 4-20 first.


Post # 9:


> Holy cow, am i eating enough fruits and vegetables? I think I need an apple @ $94, down 30% from highs, lol. With enough cash to buy XOM? lol And in a slapped-around market to boot.


I guess i really don't want AAPL so i'll sell calls against it and let ehm take me out


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## The_Tosser

Post # 2



The_Tosser said:


> Gonna nibble a trading position here @ -$67.00k.





> The plan to the upside for this week is to see ES get through 1908 resistance area, and then between 1930-1940 I'll dump the first trading position from post # 2.


Well i had no clue we'd do it all in one day after wobbling around most of the week, but i will take it.

Smokehm if ya gottem. If ya don't just go through the motions. :smilet-digitalpoint Out the trader @ -$64.90K @ 16:11 EST on the nose, lol +$2100.00 per spread.




> Starting from today's prices to be more than fair on the return front, we're going to call us "in" @ -$67.50k notional, for a 'core' position.


So let's keep track.

The profit from the only trading position we had is credited to the 'core' position @ 1/4 size so..

Orig 'core' cost -67.50K

Adjusted core cost - lets make it easy -$68.00K with 16:15EST price close @ -$64.75K. so we're talking +$3K all-in on the core, per spread.

Who da mad-man with ES up 2% holding on for substantially more IE +2.65%? lol. ES closed after hours @ 1928.25 with a high of 1933.00 well inside the range mentioned earlier in the week.

Rub that crystal ball baby lol. and remember that 4-20 play. keep it holy rofl :rugby:


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## Moneytoo

> Billionaire hedge fund manager Alan Howard says there will be “exceptional opportunities” to make money in 2016 because of divergent monetary policies and as four years of low market volatility comes to an end.
> 
> ...
> 
> “The central bank policy divergence that we have been anticipating for over a year has now finally arrived and I am confident that this will materially improve the opportunity set for us,” he said.


Billionaire hedge fund manager predicts ‘exceptional’ trading opportunity

Brilliant. He must be an MBA graduate. They develop a special ability to talk for hours without saying anything useful lol


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## The_Tosser

The term structure will be weighing on M1 products for a little while yet but when/if she inverts you could get your doors blown off. Don't start holding your breath just yet. I don't have any feeling one way or the other as to our direction this week.

Bonds are cooling off over Friday which is a good sign.

The "2016 premiere vix TS trade" is holding steady right where we left her @ the close Friday as well.


EDIT: Junkie alert. Selling March Crude $30 puts. Let's have another go at it. She's down 5% today.


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## The_Tosser

The_Tosser said:


> EDIT: Junkie alert. Selling March Crude $30 puts. Let's have another go at it. She's down 5% today.


And evidently $28 puts.

Crude just dropped sub $31... gotta love these hours of operation for these things


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## The_Tosser

Post # 16



The_Tosser said:


> Post # 9:
> 
> I guess i really don't want AAPL so i'll sell calls against it and let ehm take me out


Gonna tempt fate and buy back this call here. Made amount 25 cents 

I'll keep the divvy too this way, unless we rally and I re-sell once again, then maybe not.


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## The_Tosser

Long vix-spread trading position @ -$65.25K

tough entry!

For you junkies, also sold more $28 crude puts as it dipped sub $30.

We are getting paid to take the risk. Oil-volatility 65%-70%

We shall see.


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## The_Tosser

Now that the market has dropped this far, my down-side target is 1857 area on the ES. I'll be watching that area for anything to develop this week. No upside target defined but i see 1940 was the top for the move.

Hands off the wheel until then. :smilet-digitalpoint

ES 1897/YM 16076 currently. (-34, -265)

EDIT: Stopped out AAPL. Gains, small, but gains.. once again vix and oil far more important here. Oil holding above $30 as the ES dumps.


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## The_Tosser

Not letting today's market disaster go to waste in V-O-P accounts.

Doing the XIV/ZIV swap-a-roo @ $1.52 for 1/3 of the position.

EDIT: That's Vix Ouch Potato, btw


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## The_Tosser

The_Tosser said:


> Not letting today's market disaster go to waste in V-O-P accounts.
> 
> Doing the XIV/ZIV swap-a-roo @ $1.52 for 1/3 of the position.
> 
> EDIT: That's Vix Ouch Potato, btw


2nd tranche XIV/ZIV swap-a-roo done @ $1.16. in V-O-P accounts.

1/3 left to go.


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## The_Tosser

The_Tosser said:


> 2nd tranche XIV/ZIV swap-a-roo done @ $1.16. in V-O-P accounts.
> 
> 1/3 left to go.


Final 1/3 done @ $0.58

Avg is $1.09

We're in that area of 1855-1860. Close enough. Let's see what happens from here.

ES currently 1867


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## The_Tosser

> Originally Posted by The_Tosser
> 
> EDIT: Junkie alert. Selling March Crude $30 puts. Let's have another go at it. She's down 5% today.





The_Tosser said:


> And evidently $28 puts.
> 
> Crude just dropped sub $31... gotta love these hours of operation for these things


well, i won't make back all the $$ on the oil-long trade from Dec-Jan - primarily because of the lack of current size and frankly desire to trade vix instead with avail funds, but just the same we've recovered a few bones. Selling the long oil fute's and covering all short-puts except the Mar $28's. Those bad-boys are up greater than 50% and piled higher than the rest.


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## The_Tosser

Post # 26



The_Tosser said:


> Final 1/3 done @ $0.58
> 
> Avg is $1.09
> 
> We're in that area of 1855-1860. Close enough. Let's see what happens from here.
> 
> ES currently 1867


lmao........ good work if you can get it.. :smilet-digitalpoint

Selling back out on the ole -inverse-swap-a-roo, out first 1/3 out @ $1.54 for the V-O-P accounts. This first tranche is around +0.75% 'savings' and has been accomplished twice in the last month live in this very thread. You really don't have to sit there and do nothing.  

Remember. You can't time the market at all, ever,... if you get even one trade wrong, you're DOA, rofl. Wait, what?......... :rugby:

ES @ 1897


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## The_Tosser

> Originally Posted by The_Tosser
> Final 1/3 done @ $0.58
> 
> Avg is $1.09





The_Tosser said:


> lmao........ good work if you can get it.. :smilet-digitalpoint
> 
> Selling back out on the ole -inverse-swap-a-roo, out first 1/3 out @ $1.54 for the V-O-P accounts.



Out 2nd 1/3 @ $1.75

Tiring work, all that thinking and stuff. Coming up with the same old play all the time takes some effort. It's like not re-inventing the trading wheel on a daily basis. :rugby:


ES hitting its head on that 1908 again, btw.


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## The_Tosser

> Originally Posted by The_Tosser
> Final 1/3 done @ $0.58
> 
> Avg is $1.09





The_Tosser said:


> Out 2nd 1/3 @ $1.75
> 
> Tiring work, all that thinking and stuff. Coming up with the same old play all the time takes some effort. It's like not re-inventing the trading wheel on a daily basis. :rugby:
> 
> 
> ES hitting its head on that 1908 again, btw.


Out final 3rd $2.22 lol. sorry for the late post i was napping.... it was @ 10:30AM EST

what a phat haul. 

EDIT: So this makes the V-O-P accounts back to 25% ZIV, 25% XIV and 50% cash..

Sliding up and down that term structure teeter-totter is fun but sooner or later I'm gonna get a sliver in the ***


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## The_Tosser

The_Tosser said:


> Out final 3rd $2.22
> Sliding up and down that term structure teeter-totter is fun but sooner or later I'm gonna get a sliver in the ***


I guess i should summarize. This most recent "TS" slide amounted to a gain of 1.19% of deployed cash and with the one done a few weeks ago has amounted to +2.5% to +2.6% 'sliding my *** around' gains, while we wait for better numbers on vix.

I'm starting to wonder if we ever get that 50% cash deployed. I don't care much either way i guess seeing as we have work to do using already on the table funds.


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## The_Tosser

Hmm very interesting market today. I'm just getting on line here and currently the US markets are down 1% or so.

The vix spreads and futures certainly at this point look to me like they're not really buying this or subsequent movements down. I don't want to even touch the XIV/ZIV switchy-trade because the numbers aren't even close to being where they need to be.. They're still 1.70 area - hell i was exiting it at this point the other day. It seems to be the insurance buying is waning. 

Bonds are also selling off even as the market drops. My net-short bond position is under water still and i have not added even once, but this is a very interesting point across the spectrum.

It's because of this that i am taking a shot here and shorting Apr vix @ $22.60

It's a day trade if i can get it or a hold short on M3 to go with the other contracts that have ranged from slightly u/w to a bit worse. 

ES 1880 off 26 or so.


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## The_Tosser

The_Tosser said:


> Bonds are also selling off even as the market drops. My net-short bond position is under water still and i have not added even once, but this is a very interesting point across the spectrum.


Yeah had to do it. added to that bond spread, net long @ -$9K avg for the position. 1:1 5 year over 10 year.

Vix spread (XIV/ZIV) coming in now as the market drops further. I can smell a swap in the making in the V-O-P accounts. Let's see if we can't make it 3 for 3 by the end of next week.


EDIT: Yep First 1/3 XIV/ZIV swap done @ $1.25

EDIT # 2: Holy ****! lol. Don't watch tech (or most stocks) much but was just told NQ down 3% i said what?? lol AMZN, FB, GOOG rofl.. Uhoh that's gonna leave a mark!


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## The_Tosser

The_Tosser said:


> First 1/3 XIV/ZIV swap done @ $1.25


2nd tranche done @ $1.06

1/3 pos left to go. Now we're getting some action.

I will complete 3rd tranche nearer 1865 ES area and look to next week to roll it back out.


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## The_Tosser

The_Tosser said:


> 2nd tranche done @ $1.06
> 
> 1/3 pos left to go. Now we're getting some action.
> 
> I will complete 3rd tranche nearer 1865 ES area and look to next week to roll it back out.




OK third tranche done @ $0.95

Avg 1.09 (again lol)

C'mon 2-20 reversal


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## The_Tosser

> Avg 1.09


Oh look @ that ES rise after the bell lol

It's all i can do to not take that ZIX/XIV inverse-swap off for gains, but nope, gonna keep the needle in for the weekend. The trade is too young yet. The goal is to take another 1.25% (recent average) and we're certainly not there yet. We need about $1.86 as our net goal on this trade.

Call me crazy but i am getting bullish again  Ah hell i am always bullish.... Don't be a doomer! :smilet-digitalpoint


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## The_Tosser

Oil sub $30 again, selling Mar $28 puts (again).


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## The_Tosser

Well now that the ES is down this far, the lower targets have become quite a bit easier. 1836 and then Jan lows, call it 1803 on ES. We shall see. I can't believe it. I am a crazy bull here. I like almost everything i see, lol.


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## The_Tosser

The_Tosser said:


> Well now that the ES is down this far, the lower targets have become quite a bit easier. 1836 and then Jan lows, call it 1803 on ES. We shall see. I can't believe it. I am a crazy bull here. I like almost everything i see, lol.


There's 1836.25 on ES.

Gonna sell some of that long 5 year notes for gains here and skew the 5-10 ratio from 1:1

Do ya smell the fear 

EDIT: Say good-night to CHK and WMB, lol. Oil patch getting nasty


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## The_Tosser

The_Tosser said:


> Oil sub $30 again, selling Mar $28 puts (again).


Oil $30.50 covering 1/2 short puts. We'll take that gain for the morning. If oil tags $31 by end of day I'll be gone completely.


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## The_Tosser

The_Tosser said:


> EDIT: Say good-night to CHK and WMB, lol. Oil patch getting nasty



"Chesapeake plunges 50 pct; says has no plans to seek bankruptcy"

http://www.cnbc.com/2016/02/08/energy-shares-plunge-in-early-rout-chesapeake-williams-both-off.html

Uhmm, boys, you've got the predator-prey thing switched around. You don't need to 'seek' it. It'll find you just fine, rofl.


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## The_Tosser

> Originally Posted by The_Tosser
> Oil sub $30 again, selling Mar $28 puts (again).





The_Tosser said:


> Oil $30.50 covering 1/2 short puts. We'll take that gain for the morning. If oil tags $31 by end of day I'll be gone completely.


covering 2nd half for smaller gains and bouncing out. Looking towards increasing vix bet on growing pot odds. Not gonna make any bank soon.......Not today... the building is on fiyaa.. lol

https://www.youtube.com/watch?v=JD2j6UNngHw


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## The_Tosser

The_Tosser said:


> I'm starting to wonder if we ever get that 50% cash deployed. I don't care much either way i guess seeing as we have work to do using already on the table funds.


What's that they say about getting what you asked for?

First addition from the 50% cash position starts today for the V.O.P. accounts. XIV only @ $16.70

It's a bit earlier than the ballpark $15 i was looking for so i went light as a feather. <5% cash used and i will toss this out faster than i can blink if it gets 10% or so on her, and get back to 50% cash in case Armageddon is around the corner.


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## Getafix

T.T what's a good point to short the VIX? XIV looks tempting at mid 16's for a swing, do you think it's better to wait to see if VIX spikes further?


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## The_Tosser

Getafix said:


> T.T what's a good point to short the VIX? XIV looks tempting at mid 16's for a swing, do you think it's better to wait to see if VIX spikes further?


i can't know, which is why i know more or less my max armageddon draw-down and from there i scale it in. There's a 1000 ways to play it. They all work if you don't over bet and get taken out. Easy on long etf's as you have a true known max loss, not so easy with futures but still within the realm of reason.

My XIV from post #43 is up 4.8% in 3 hours - didn't know that was going to happen either, i just know a 1.5%-2% gap-down after a bad friday, and then watching it drop all day (DJ-400 when it took it, ES -50) to what turned out to be in between my early AM downside targets couldn't be that bad of a spot to skin the smoke-wagon and see what happens. I'm pretty sure i've been wrong before and will be again. I don't see this as an insurmountable problem.

You have good odds here but odds are only part of the equation.


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## The_Tosser

Nikkei off 4.5% Not having a fun day i see. ES is sympathetic, dropping back 0.7% and cutting that XIV gain in 1/2.

I don't know, I am bullish 

Tomorrows ES numbers i am looking for are 1803 which is a spit away from here @ 1839, and above we have 1865, 1885. I'd also say 1908 again but lets not get crazy just yet.

Wednesday @ 10Am EST Grandma Yellen will inform us that she saved us from inflation - again! rofl.

btw 5 yr note-futures hit an all time high today. At no point in the history of US treasuries has the fute's been higher. Good news is i am long 5 year, bad news is i am short 10 year and it's all runnin' as japan folds like a poorly constructed origami 



EDIT: 9:41PM EST

Nikkei now off 5%+, Jap 10 year rates hit 0%  

http://www.cnbc.com/2016/02/08/yiel...rnment-bond-jgb-hits-zero-for-first-time.html

US markets give back > 1/2 the end of day run-up.

P.P.T. on call for tomorrow. lol :smilet-digitalpoint


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## The_Tosser

The_Tosser said:


> Oil sub $30 again, selling Mar $28 puts (again).


And doing it again... oil around 29.35 here.

this is like falling down the stairs. you know you'll bounce a bit here and there 

Nikkei, lol. 17,000 close Friday this AM she's 15,900. :apathy:

P.P.T. on deck.


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## The_Tosser

The_Tosser said:


> And doing it again... oil around 29.35 here.
> 
> this is like falling down the stairs. you know you'll bounce a bit here and there
> 
> Nikkei, lol. 17,000 close Friday this AM she's 15,900. :apathy:
> 
> P.P.T. on deck.


Out, with oil @ $30. 

+24% on short-puts with a capped $ gain anyway in such a short time tells me to walk. While still not net green from Jan's oil loss, these daily after-the-bell penis punches i have been giving oil will suffice to make me smile a bit more, lol.

Back to vix.....

btw, P.P.T. saves the day, lol. So far  Always rely on it. If not today, tomorrow :smilet-digitalpoint


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## The_Tosser

While Obama's ideas are bad, Paul Ryan's are even worse.


http://www.cnbc.com/2016/02/09/obama-budget-forecasts-sharp-increase-in-deficit-in-fiscal-2016.html



> "President Obama will leave office having never proposed a budget that balances-ever. This isn't even a budget so much as it is a progressive manual for growing the federal government at the expense of hardworking Americans," said House Speaker Paul Ryan. "The president's oil tax alone would raise the average cost of gasoline by 24 cents per gallon, while hurting jobs and a major sector of our economy. Americans deserve better."
> 
> Ryan, R-Wisconsin, pledged that House Republicans would produce a budget that does reach balance in coming weeks.


Uhgg. A balanced budget?, lmao why doesn't he just shoot every 2nd citizen in the head right now? lol :cower: This is the type of nonsense you don't ever want to hear, especially as the economy is already bent over the counter.


EDIT:

What Ryan doesn't know about economics would fill volumes, but a 1 minute clip should suffice. He shakes his head like he knows what the f*k Greenspan is saying rofl. If he actually did, he wouldn't ask such stupid questions and make such dumb statements in the first place.

There's your elected officials for ya!. No smarter than the voters that put them there, rofl. :stupid:

https://www.youtube.com/watch?v=DNCZHAQnfGU


----------



## The_Tosser

interesting,

I definitely see the bond market not responding all day to this market re-tracement. I also see the long end of vix dropping markedly vs the short end.

Is this the bell ringing?



EDIT: 2:36PM EST...... Knife fight to ensure @ ES 1855 if we make it, lol. Currently 1847. I think we could hit 1865 @ close.. but I am always bullish


----------



## Moneytoo

The_Tosser said:


> .. but I am always bullish


Yeah me, too - but wtf:



> *The ugly*
> 
> _*Some investors may not know this but the issuer of XIV explicitly warns investors that the ETF can go to zero on a single day (!) with extreme volatility.*_ Therefore, the ETF holders should not use it as a long-term part of their portfolio, as suggested in the article mentioned in the beginning, but only as a hedging instrument on a small scale. It is only a certainty that XIV would have gone towards zero during the Great Recession in 2008 if it existed back then. To be sure, it plunged 71% in the summer of 2011, when the market experienced a correction of just 16%. Therefore, it cannot be overemphasized that investors should never view this ETF as a long-term investment.
> 
> *Conclusion*
> 
> While XIV exhibited exceptional performance during the first 6 years of this bull market, it has incurred excessive losses since last summer. This should serve as a reminder to investors that they should not accept any investing recommendation without performing their due diligence, no matter how enticing such a recommendation may be. Investors who insist on betting on the inverse performance of VIX may want to study another ETF, the VelocityShares Daily Inverse VIX Medium-Term ETN (NASDAQ:ZIV)


(c) XIV: I Hate To Tell You So, But I Told You So


----------



## The_Tosser

The_Tosser said:


> interesting,
> 
> I definitely see the bond market not responding all day to this market re-tracement. I also see the long end of vix dropping markedly vs the short end.
> 
> Is this the bell ringing?
> 
> 
> 
> EDIT: 2:36PM EST...... Knife fight to ensure @ ES 1855 if we make it, lol. Currently 1847. I think we could hit 1865 @ close.. but I am always bullish



Well not how i would have done it, lol. She ran up to 1863.75 then turned around to lose the 1855 knife fight.

C'mon Grandma Yellen, don't rain on the parade tomorrow @ 10AM EST. 

That's twice now i decide to forgo +5% long XIV in two days. Don't make me regret it  No pressure though. :neglected:


----------



## The_Tosser

Moneytoo said:


> Yeah me, too - but wtf:
> 
> 
> 
> (c) XIV: I Hate To Tell You So, But I Told You So



lmao the last i heard it was a long, no wait a short, no wait a long... 

Do you see why listening to bullshit from bullshitters that don't trade is a total waste of time?

BTW i am bullish after a fall, NOT at tops after 7 years, holy **** look @ XEF!

Remember when you were all worried about CAD rates killing the Loonie? What happened? lol. More media nonsense, then, now and forever, rofl.

It's also why i am long XIV around $20 area, and NOT $50, $45, $40, $35,  Timing isn't perfection, it's just ballpark, and really, i am not always bullish, just now. Dec I was bullish on cash 

For the record no way i would have been green in XEF either, more like $26 area at best and unhappy. Ditto for anything oil, gas etc etc. I'll stick to vix. 

EDIT: Here is the media hype for tomorrow. I'm hearing it already. Yellen 'states' be prep'd for US to see negative rates. Now I think it's total bullshit that she would say such a thing. The fear is then the market tomorrow will tank and bonds are gonna spike.

Well that would hurt my position, so i guess you know where my eggs are laid.
Please step lightly around them! :smilet-digitalpoint


----------



## The_Tosser

> Some investors may not know this but the issuer of XIV explicitly warns investors that the ETF can go to zero on a single day (!) with extreme volatility


I've heard this a million times. 

Ask this genius to take his pick of the worst day in 2008-09 and tell me what the effect would have been on these vix etf's and let him know that he can also take his pick of the allotment of front month to back month ratio that will best fit his 'scenario'.

After his pointless yammering, tell him he can leave your presence and hopefully be smarter for the lesson.

In fact, the higher the vix is, the less possible this impossible event could happen and as anyone can see we're not exactly sitting on $13 M1 vix as i write  This is fear mongering and doesn't line up with any facts you can see from the worst market in our lifetime. But then again I use actual figures from our past instead of making **** up. At least if i am wrong i am wrong honestly.

Can it get hit? Sure, I'm waiting for $15 and $10, why not? This is survivable from $20 and 45% cash. It's just more volatile than most are used to.


----------



## The_Tosser

jesus look at this Nikkei tonight again. This thing is down 22% in 2 months. Some (collective) better get their heads out of their asses or we're gonna have a real problem here.

She hit 15,625 off from > 20K Mid November.

P.P.T. is going to put in for overtime soon.


EDIT: 11:33EST - 15,485. It must be global warming? :hopelessness:


----------



## The_Tosser

> Here is the media hype for tomorrow. I'm hearing it already. Yellen 'states' be prep'd for US to see negative rates. Now I think it's total bullshit that she would say such a thing. The fear is then the market tomorrow will tank and bonds are gonna spike.


Well, Treasuries did break over-night, counter to the fear mongering, so i am buying back some of the long 5 yr notes i sold earlier and higher against the short 10 year backdrop. Gotta be prudent ahead of Yellen.


----------



## The_Tosser

The_Tosser said:


> What's that they say about getting what you asked for?
> 
> First addition from the 50% cash position starts today for the V.O.P. accounts. XIV only @ $16.70
> 
> It's a bit earlier than the ballpark $15 i was looking for so i went light as a feather. <5% cash used and i will toss this out faster than i can blink if it gets 10% or so on her, and get back to 50% cash in case Armageddon is around the corner.


Not the 10% i would have preferred but i am exiting @ $17.73 ahead of Yellin, +6% net and back to 50% cash with the balance riding short term on XIV until i get the XIV-ZIV swap back on the table.

Prudence driven trading is sometimes a kill-joy, but it'll keep you alive. :smilet-digitalpoint


EDIT:
From 2 days ago.



> Tomorrows ES numbers i am looking for are 1803 which is a spit away from here @ 1839, and above we have 1865, 1885. I'd also say 1908 again but lets not get crazy just yet.


We're sitting right on ES 1865.


----------



## The_Tosser

The_Tosser said:


> Well, Treasuries did break over-night, counter to the fear mongering, so i am buying back some of the long 5 yr notes i sold earlier and higher against the short 10 year backdrop. Gotta be prudent ahead of Yellen.


Sold 1/2 of this on the big bounce as the market cools off.

I'll either sell the balance higher or re-add lower.

Watching paint dry is more fun than equities are so far today. I'm completely on the fence. ES @ 1865 + or - 7 points all day long.

EDIT: I should note too that these scalps are in the $200-$300 per contract range and as mentioned earlier are low-margin to boot. well worth doing since the intra-day range has been pretty big. I'm leaning net short on T's for the moment as i think equity needs a bit of a bounce and T-s have had their short term run. They could use a small sell. Equities have been so 'sucky' lately however, thus all the fence sitting.

A tough few days for sure.


----------



## The_Tosser

> Well, Treasuries did break over-night, counter to the fear mongering, so i am buying back some of the long 5 yr notes i sold earlier and higher against the short 10 year backdrop. Gotta be prudent ahead of Yellen.





> Not the 10% i would have preferred but i am exiting @ $17.73 ahead of Yellin, +6% net and back to 50% cash


wow ugly ugly day, the only thing keeping myself flat PnL was fortunately dumping that XIV +6% and a few other short-vix products as it gave it all back plus and then buying that drop in bonds. Short term damage control that worked out and was completely safety oriented as the only thought.

More or less that ES 1865 has been the barrier to trade against until proven otherwise. 

It's a little easier to be more bullish here as large-caps like WFC, DIS, CMCSA, INTC, BAC, IBM, AXP etc continue to bleed out down to decent levels. They'll catch a bid and steady this pig sooner than later.
Yellen continues her yammering tomorrow 10AM EST again....


----------



## The_Tosser

> Originally Posted by The_Tosser
> Well, Treasuries did break over-night, counter to the fear mongering, so i am buying back some of the long 5 yr notes i sold earlier and higher against the short 10 year backdrop. Gotta be prudent ahead of Yellen.





The_Tosser said:


> Sold 1/2 of this on the big bounce as the market cools off.
> 
> I'll either sell the balance higher or re-add lower.
> 
> Watching paint dry is more fun than equities are so far today. I'm completely on the fence. ES @ 1865 + or - 7 points all day long.


Sold the last 1/2 of the repurchase earlier today of the long 5 yr Mar's - 121'220, btw.

I talked to "Abe" on the phone earlier today, lol. We've decided to get that Wiki page for Japan changed to "Land of the setting sun" if the Nikkei drops 5% more from here. :smilet-digitalpoint Good grief.


----------



## The_Tosser

Last night Nikkei,



The_Tosser said:


> 11:33EST - 15,485. :hopelessness:


Down to 15,360 and oil just broke under $27 - i have none and not lookin' tonight. ES knocking on 1803 re-test? currently 1831.

P.P.T. better get it together or Yellen can stop the semantics about 'transitory weakness', rofl. The house is burning down and grandma is lighting the stove. :stupid:

Funny as hell to hear her say oil drop is a weakness in the economy but at the same time a positive for the economy? Huh? Not a zero-sum game and not a positive either, lol.

This **** is getting real in da' house granny. Nice interest rate move, way to keep the eye on the ball and your finger on the pulse, rofl. Now whatcha gonna do? You can't back up now! lol I know, pray! :neglected:



EDIT:

Jan 6th, 2016 Post # 185 from my other thread, Notes-over-volatility




> As to the Fed, well at best the rate hike was a fools errand, stupid posturing and mis-guided, but that's what you get when you can appoint mostly economic know-nothings to cast the only votes that count.
> 
> I can't be too tough on them as they are stuck either way, anyway.
> 
> Monetary policy is not the go-to instrument to battle deflation. This problem is not going to get better until the only help that is help can get their **** together and that is using fiscal policy. The elected members need to still get their heads out of their asses and, as they say, "spend like a motha-f*ka". Worrying about inflation and federal 'debt' is a complete joke.
> 
> The federal gov needs to Deficit spend wisely and do it large. End of story. Interest rates are near useless as a tool from here, oh, and low gas prices aren't going to do **** either, rofl. Maybe they could give that one a rest, they've been wrong on that for a year and a half now. Just dumbasses.



Do not tell me the FOMC didn't know this was a very bad idea, especially since they also know Fiscal policy is MIA and is not going to show up in any way until well after it's needed and even if it comes it'll be once again too little too late.

Jesus this inflation talk. We're dealing with fools. 4.9% unemployment plus those not being counted on top, where-t-f are you gonna get inflation in an economy with this much slack and slowing for long enough for all to see?...

If she even knows, and I am now not at all sure she does even if the thought is beyond me to believe it, she should be shitting all over Congress tomorrow and telling them to wake the hell up. What's obama's recent answer? Yep, an OIL TAX (no chance of getting through but what a dumb idea). That's right dumbass take more $$ out of the economy instead of adding which is what it needs.

P.P.T. and show stepping in tomorrow is great because this is just a casino and it can be done easily enough, but it's never gonna fix the real economy even though it won't hurt at all in the short to mid run.


----------



## The_Tosser

> Originally Posted by The_Tosser
> What's that they say about getting what you asked for?
> 
> First addition from the 50% cash position starts today for the V.O.P. accounts. XIV only @ $16.70
> 
> It's a bit earlier than the ballpark $15 i was looking for so i went light as a feather. <5% cash used and i will toss this out faster than i can blink if it gets 10% or so on her, and get back to 50% cash in case Armageddon is around the corner.





The_Tosser said:


> Not the 10% i would have preferred but i am exiting @ $17.73 ahead of Yellin, +6% net and back to 50% cash with the balance riding short term on XIV until i get the XIV-ZIV swap back on the table.
> 
> Prudence driven trading is sometimes a kill-joy, but it'll keep you alive. :smilet-digitalpoint
> 
> 
> EDIT:
> From 2 days ago.
> 
> 
> 
> We're sitting right on ES 1865.





> Down to 15,360 and oil just broke under $27 - i have none and not lookin' tonight. ES knocking on 1803 re-test? currently 1831.


i'll take it any way i get it. Back into the 50% cash position for a little < 10% here XIV @ $16.10 in the V.O.P. accounts.

I would have thought it would have been into the $15's but scoring $1.00 just yesterday makes this buy a lot easier to take.

ES hit 1808.75 as low so far, so again i think we're in the ballpark of staying flexible and willing to trade for gains as we fall down the stairs.


Shifting to the vix term structures pairs, we're @ a level here that in the distribution we see maybe 25% of the time so it's certainly stretched. I'm sitting on my hands on this one. On one hand i am surprised at the lack of D/Down given the fall in such a short period of time. I never under-estimate the silliness of the FOMC decision and of course the ineptness of Congress to get anything done so for now i wait. 

The Fed is in a real bind. Some of their own doing, the rest and most important however is out of their hands. There's no harm in waiting on the spreads.

EDIT: added some quotes.


----------



## The_Tosser

There we go, $15.86 to top off to full 10%ish of that orig 50% cash.

ES tags 1802.50. We have hit my lower-bound target for the time being.




> Jan 6th, 2016 Post # 185 from my other thread, Notes-over-volatility
> 
> oh, and low gas prices aren't going to do **** either, rofl. Maybe they could give that one a rest, they've been wrong on that for a year and a half now.


Oil was $34 then. The Fed must be ecstatic about the robustness of the economy with oil down here @ $26.30 :hopelessness:

OK enough damage for the day. I'm outta here. All the work I'm doing today has been completed.

Over the next few months, give or take, we'll see how not having an SPX delta will prove most handy. It's not going to happen any time soon but it'll show.

I also want to point out to the XIV article writer that was linked a day or two ago that as you can see the short M1 vix products have not gone to zero in a day, or even close to it, and the market has had the stuffin' beat out of it.


----------



## The_Tosser

Mmm bond futures dropping off highs after hitting another all time high today. Selling 5 yr longs @ 122'067

I'm not even thinking i am going to buy it all back either, lol. Some, yes.

This is starting to look good today.

We've held earlier lows 1802.75 all day so far. I dunno, i'm bullish equities, how can i not be? :smilet-digitalpoint


----------



## The_Tosser

The_Tosser said:


> Mmm bond futures dropping off highs after hitting another all time high today. Selling 5 yr longs @ 122'067
> 
> I'm not even thinking i am going to buy it all back either, lol. Some, yes.
> 
> This is starting to look good today.
> 
> We've held earlier lows 1802.75 all day so far. I dunno, i'm bullish equities, how can i not be? :smilet-digitalpoint



lmao oh boy. Markets got killed today and look at that net-short bond trade, rofl, it almost finished up for me on the day. Pennies away only.

The bonds spike just got slapped back down really hard. I am forced to be prudent. Sold the top of the day, just buying the bottom back now to get closer to 1:1, 5 yr repurchased @ 121'217

nice nice nice. I would have never thought it would drop that far.


----------



## The_Tosser

The_Tosser said:


> ..........look at that net-short bond trade, rofl, it almost finished up for me on the day. Pennies away only.
> 
> The bonds spike just got slapped back down really hard. I am forced to be prudent. Sold the top of the day, just buying the bottom back now to get closer to 1:1, 5 yr repurchased @ 121'217
> 
> nice nice nice. I would have never thought it would drop that far.


lol had to add again to long 5yr to balance the 1:1 ratio , now @ 80% long 5 yr vs short 10 year. 121'137 for those 5 yr's as bonds completely crap the bed.

sweet sweet sweet. Tons of potential there over the last few days for all classes. Non-doomers with level heads yesterday are getting paid for taking that risk. Pot odds were too juicy to not do something. Anything, lol. There's almost always something you can use in moves like that to better your position.

ES 1803 (1802.75) held. Let's see if we can build on this for a bit. 

I may not complete the 5 yr repurchase to get to full 1:1. We'll decide that next week.


----------



## The_Tosser

Post # 63 Yesterday, 07:19 AM (EST)



The_Tosser said:


> There we go, $15.86 to top off to full 10%ish of that orig 50% cash.
> 
> ES tags 1802.50. We have hit my lower-bound target for the time being.





> P.P.T. and show stepping in tomorrow is great because this is just a casino and it can be done easily enough,...


 rofl. Hey i've never seen this happen before :smilet-digitalpoint


It almost never fails, lol. You can't get too cocky but ya gotta take it. When things get this bad this quick and stocks have only "Y" values, rofl, just damn well hit it. The bell was ringing and the level was defined days (weeks) before. In this case it was bit easier as we woke up pretty much at the level we were looking for if the market did drop.

I now officially rescind my offer to carry the nervous-Nelly buying TD.TO @ $49 and worried. I said $51 next week but you got $50.80 over-night. Same difference lol. :biggrin: Learn to control yourself and keep perspective was the lesson of the day. 

XIV avg buy was about $16 yesterday, with the first being 16.10 plus the above quoted.

Going by the numbers @ the close XIV did +4.38% over yesterday. It did not take top spot of the day vs individual stocks, with 61 of 500 stocks in SP500 beating this gain, but i will defy anyone to pick with their entire portfolio the 'right' stocks that would have beat XIV. Not only that, this trend is likely to continue and the rate of acceleration on even those 61 stocks will fall behind XIV assuming we get a market that relaxes a bit after a hairy 4-6 weeks indeed.

I see some chop ahead at least as we knock once again upon what is now ES resistance @ 1865. I see no "V" bottom. Volatility will cling around for a bit yet and since we're inverted on the curve the inverse vix etf's will continue to drag a bit.

I have no plans to dump the V-O-P account portion bought @ $16, yet. This is still the first inning of 2016.

Next week will be interesting. More stepping away from it will likely be the best policy a week from now.


----------



## The_Tosser

The_Tosser said:


> ...... In this case it was bit easier as we woke up pretty much at the level we were looking for if the market did drop.


I said this earlier today, not knowing until just now that T-Snooze had a new vid out with Dylan R. It is a must watch for people who got spooked large yesterday and want to learn to play it better.

https://www.youtube.com/watch?v=GxpEAyM5woc

What did T-Snooze say @ 1:15 onward? "I think that traders in general look for large over-night gaps that they can fade (to come up with a reason to like the market)". This is exactly it. Most of us play off of the same scorecard. It's Pavlovian. On the back of close to 10% lost in 5 weeks and you're gonna throw-down 2%-3% over-night to Jan lows and numbers 3/4 at least of us are looking at? Yes, you just buy it.

lol you're not gonna short 1800 so you're gonna go long (again!). IE we're getting our asses handed to us already but you stay small, patient, and long.

T-Snooze is short bonds with myself but he's deeper in the hole by a fair amount.

5:10 "people have to stop over-thinking" lol yep, do what you know you should do, then get up and walk away. I went back to bed myself, for 4 hrs? You know you're doing the right thing, relax.

7:00 in, great discussion passive - v- active in this market. Good discussion. 

11:50 "When the market does reverse, the passive investor will not get back to even, it will take a rally up to record highs for them to do so" , "It will take a contraction of volatility for the active trader (how many of us do it) for <us> to get back to even "

Exactly this is what i have been saying RE: No Delta and vol-mean-reversion. Tom is preaching it and people need to listen. This is what 99% of retail trader miss, completely, their entire lives. This is why they think the stupid things they do RE: trading can't beat ouch-tater. They think it because they don't 'think' at all. It's easier to just be a mindless drone because that's what you've been taught to be.

There is huge wisdom in this video. D/L'd it and play it until you understand it. Then listen to it 10 more times.

12:55 Dylan: "The place where i have gotten into the most trouble is where i have a directional investment" IE Delta. Exactly. What trade have i personally lost on. (The only one in 5 months so far for me) Yep, directional oil. I know it, but i am a junkie, lol. Sometimes you gotta take a hit of the bad **** you know is no good but you love the high. Uhuh, 'high' didn't feel too good coming down now did it dumb-f*k? :smilet-digitalpoint Penis punches after the bell included. It was not made whole.

Man this is a great video. Once in a while they turn out some really good ****. 13:00 "no opinion" uhuh. We all have the same problems. We laugh because we know it. We get it, we'll heal, we'll make new personal highs and move on. 

19:00 short bonds v- long oil : Oil has been his death trade, but i suspect after the video and today he's breathing easier. He's happier being short bonds - it's cheaper to do and should correlate - uhuh i agree, and am, plus for me it's short vix futures because i don't play short-vol via stock options. This is why i am no longer long oil even though i think it's a winner. short-vix and short bonds are the better play - certainly short vix is. Listen to why he agrees. term structure / cost of carry oil-bonds etc. That's how you decide to trade vix or bonds vs oil. The game changed even though oil long is still good.

good good stuff.


----------



## The_Tosser

The_Tosser said:


> I see some chop ahead at least as we knock once again upon what is now ES resistance @ 1865. I see no "V" bottom. Volatility will cling around for a bit yet and since we're inverted on the curve the inverse vix etf's will continue to drag a bit.


lol, we gap-up over ES 1865, use 1865 as a low and ran to 1890, currently 1881.

This is another good thing with using futures - you can play when others are closed out. I'm looking to roll my vix spread this week if i get a favorable situation at all. I don't see anything i like right here however. The short bond trade - also open, is doing well thus far. 

My assumption is we'll pull back from here on the ES, into tomorrow's open.


----------



## jollybear

Took a position on XIV last week.......lets see if the S&P500 holds above 1880 this week for a payoff


----------



## The_Tosser

jollybear said:


> Took a position on XIV last week.......lets see if the S&P500 holds above 1880 this week for a payoff


I missed where you told me when you took it. Don't be one of these clowns that tell you after the fact, and only when it's working out. If one is not going to put it on record when they do it before any short-term outcome is known, it's not worth saying. This is how you become another solo-dog Ouija board crank or a Jimmy-Booogie-man poser, before you know it.


----------



## jollybear

Well aren't you a feisty fella! XIV [email protected] and [email protected] No guarantee it`s gonna work out.....just looks promising. In these market conditions it just takes one idiot with a bit of economic or political power to change things in a second.

I also started shorting Gold Feb.4 using HGD and DZZ, In hindsight took on the trades too early. Sold 1/4 position of HGD on Feb.10 for a whopping 1.4% profit, obviously wishing I sold the entire position on the 10th. Currently underwater again but things are starting to look promising, need Gold to fall below $1180oz.

I also enjoy playing beer league hockey and boating in the summer. Hope that's enough info for you Mr. Tosser


----------



## Getafix

Didn't have time to check the markets last thursday and missed the 15.3X entry, which was a great point to get into XIV. Looks like market's going to be green tomorrow as well. I'm loading up on XIV if VIX shoots up near 30 again.


----------



## The_Tosser

jollybear said:


> Well aren't you a feisty fella!


lol i guess i owe you an apology at least for long enough to explain.

I realize that the map doesn't show it but when you hit this thread you've cross the No Bullshit Zone and into reality. You don't get to use mush-head thinking and back-dating nonsense. You don't get to take the upside only to your trades while burying the ones that didn't work, by omission. If you like a trade enough to take it then you must take the sword publicly as much as you can give it when you're victorious. This is easily accomplished by calling everything and playing it out. That is after-all, reality by definition. That's what sorts out your thinking. It forces you to cut out the bullshit that you'll regularly read in CMF trading related posts.

This thread is for people willing to get serious about markets, trading and making money proactively using the best instruments out there, primarily vix. As such, nonsense such as telling people what you did 'last week' when, not surprisingly, is somehow always 'green' this week, will not fly.

For that please see the shallow-thinkers who do just that in this thread. http://canadianmoneyforum.com/showthread.php/1730-What-are-you-buying

There you have two main camps lately. Those fundamental airline buyers crying about how the fundy's and the market just doens't make sense, lol, and the rest telling you today what they did last week after it's "safe" to do so, rofl. No chance, bud, not here. That is weak minded in every conceivable way and is so so typical in retail thinking. If you want to be successful in this game then you have to get your thinking right. It's pretty much the opposite of everything you've learned in your life, lol. I reiterate for emphasis, If you want to talk about a trade now, you best ensure you filled out the post the moment you took it or close enough to it, or stick it in the garbage thread where actions like that are common place and go unnoticed for the complete crap it is.

Other nonsense from near brain-deads such as this thread http://canadianmoneyforum.com/showthread.php/70410-S-amp-P-important-fib-ratio is also not welcome. Please see the horoscope and tarot card sections in your local newspaper for that garbage.

Of course i wish you and everyone the best, not only because it also means i will make bank as well


----------



## jollybear

Seeing this is a thread you started, I'll respect it. I consider myself an active trader and mainly agree with your trading ideology. I don`t have experience trading options but it seems right up my alley, hence the reason I`m reading your thread.

~Cheers


----------



## The_Tosser

jollybear said:


> .. hence the reason I`m reading your thread.
> 
> ~Cheers


Hey i am glad for any reason for people to be shorting volatility up here. If you can believe it I am much more happy about your position than you are - i swear it could be true. lol

I'd just like to see a small group of actual thinkers here and not the mush-heads that make up 99% retail cattle. I'm just stating we gotta keep it real in every way possible or we run the risk of reverting to the volumes of stupidity found elsewhere.

I hope you lay on +25% in 30-60 days and take that fat stack home with a big grin.


----------



## The_Tosser

The_Tosser said:


> had to add again to long 5yr to balance the 1:1 ratio , now @ 80% long 5 yr vs short 10 year. 121'137 for those 5 yr's as bonds completely crap the bed.
> 
> I may not complete the 5 yr repurchase to get to full 1:1. We'll decide that next week.


the 'crapping' of the bond-bed continues tonight. Added to long 5yr to about 90% vs short 10yr bonds, here @ 121'015

This run has been incredible in the short time.


----------



## The_Tosser

Post # 48, Feb 8th



The_Tosser said:


> I don't know, I am bullish
> 
> Tomorrows ES numbers i am looking for are 1803 which is a spit away from here @ 1839, and above we have 1865, 1885. I'd also say 1908 again but lets not get crazy just yet.
> 
> ....
> 
> P.P.T. on call for tomorrow. lol :smilet-digitalpoint



Great Zeus, slow down big boy! rofl, ES 1890 as i write. Evidently we did get crazy because you can already smell 1908 :smilet-digitalpoint


----------



## The_Tosser

The_Tosser said:


> There we go, $15.86 to top off to full 10%ish of that orig 50% cash.
> 
> ES tags 1802.50. We have hit my lower-bound target for the time being.


Out 1/2 of that 10% trading position in XIV for V-O-P accounts right here @ $17.36 + 8.5%ish.

Add to that the 6% the week before as posted and we have 5% out +14.5% with 5% pos unrealized @ +8.5% and still sitting on the core position.

The goal here is to get back to 50% cash position and go back to sleep on V-O-P accounts. I'm going to exit the last 5% @ +10% or so if i can get it.


----------



## jollybear

Looks like the S&P 500 is closing strong today above 1880.....rolling the dice and still holding the XIV trade. Hopefully the crazies on the other side of the planet don`t blow it overnight


----------



## The_Tosser

The_Tosser said:


> Out 1/2 of that 10% trading position in XIV for V-O-P accounts right here @ $17.36 + 8.5%ish.
> 
> Add to that the 6% the week before as posted and we have 5% out +14.5% with 5% pos unrealized @ +8.5% and still sitting on the core position.
> 
> The goal here is to get back to 50% cash position and go back to sleep on V-O-P accounts. I'm going to exit the last 5% @ +10% or so if i can get it.


Out over-night @ $17.65, +10% on the final trading piece. Back to 50% cash in V-O-P accounts.

All that is left to do now is the XIV/ZIV "TS slide". That trade was net (long) @ $1.09. We closed yesterday with it up a few pennies. I suspect I'll be rotating 1/3 of it this morning.

Incidentally XIV finished yesterday besting all but 37 stocks in the SP500.


EDIT: Post # 35 for TS slide



> OK third tranche done @ $0.95
> 
> Avg 1.09 (again lol)


----------



## The_Tosser

OK, we're @ ES 1908 so i am going to roll all XIV/ZIV @ $1.52 for a tiny gain (<1%) on this particular TS-play.

So now we're back to 25% XIV, 25% ZIV, 50% cash (more or less) with three successful TS plays amounting to somewhere greater than 2.5% on the whole for those.

V-O-P definitely back to sleep for now as all moves have been successfully accomplished.


----------



## The_Tosser

The_Tosser said:


> the 'crapping' of the bond-bed continues tonight. Added to long 5yr to about 90% vs short 10yr bonds, here @ 121'015
> 
> This run has been incredible in the short time.


Bought back the last of the long 5yr notes @ 120'292 to get back to 1:1 ratio with short 10yr bonds.

I'm assuming we're going to get some sort of equity pullback from here by the time this Friday rolls around and I want to close the hatches


----------



## The_Tosser

Covering my long long held Apr short. About a 2% loss to fut' account. I am betting I get a better re-entry from this very point, at a later date. If not, the 'premiere 2016 vix term structure trade' will eat this loss in no time. It's February, calm down 

The Apr cover is the best price i have seen in a few weeks. When/if i re-add, it'll be May's..

I also am looking at rolling the vix TS trade soon. The TS is flat as a pancake over several months.


----------



## jollybear

Sold 3/4 of my XIV position at 18.02 and 18.05.....unsure how the FOMC minutes release coming up shortly will affect volatility. Took a small position shorting S&P500 using [email protected] Don`t think S&P 500 will break above 1928.


----------



## The_Tosser

well, a solid day I guess. This is a "V" bottom thus far, which i am not really a big fan of. My hybrid XIV/ZIV combo in V-O-P acct's gained 3% on the day, of which 107 stocks in the SP500 beat it. This includes of course total pieces of **** that are not investible in my books, that tend to have giant death-leaps at times, lol. Of 'investible' stocks only 2 beat it, CVX and FB. Not that i would ever look @ FB myself but we have to say they are indeed a large-cap so we reluctantly count it.

I'm not really buying this rally. It seems way too easy to me. Glad I'm long, no doubt. I added to 5yr notes,121'017 - go figure, now heavy 5yr and off the 1:1, on that side. Either way I think we win sooner or later. My upside a few weeks ago was 1930 to maybe 1940. We stalled there after a brief bounce before rolling over. 

We're there now and i believe anything above ES 1908 for a short-term sell will be able to be bought back sub-1908. The fun begins if this is how it plays out. How deep will the pullback be and will we tap back in for another short-term trade. Time will tell. Other than bonds i only own my long-term "TS" holds - no trading positions in Fute's accounts.


----------



## Moneytoo

The_Tosser said:


> I'm not really buying this rally. It seems way too easy to me.


I'm a bad couch potato - bought DLR (for USD conversion) and VW bond today, but couldn't buy anything else from my list - and almost sold VFV (S&P 500 Unhedged CAD ETF) for a small profit lol Will try to wait for a red day before loading up... But still holding HVI et al.


----------



## The_Tosser

Moneytoo said:


> VW bond today


Out of shear morbid curiosity, what's the particulars of that bond issue?


----------



## Moneytoo

The_Tosser said:


> Out of shear morbid curiosity, what's the particulars of that bond issue?


Well it's the only short-term bond that looked worthy buying (to maintain our 8% allocation to bonds )

CUSIP: 918423AG9 
BBB+ VW CREDIT CANADA INC 
Coupon: 2.80 
Maturity: Aug 20, 2018

Bought 5K for 100.41 ($5,020.50), yield 2.63% (better than GICs lol)


----------



## The_Tosser

The_Tosser said:


> I'm not really buying this rally. It seems way too easy to me. Glad I'm long, no doubt. I added to 5yr notes,121'017 - go figure, now heavy 5yr and off the 1:1, on that side. Either way I think we win sooner or later. My upside a few weeks ago was 1930 to maybe 1940. We stalled there after a brief bounce before rolling over.


Always grinding. 

Out the extra 5yr longs, now back to 1:1. 5 yr Sell @ 121'072.

I think we get more of a market sell than today but I'll take the extra's where i can get it. I'm salivating to get some more of that short vx but missed the earlier spike today. Maybe tomorrow.


----------



## The_Tosser

The_Tosser said:


> Always grinding.
> 
> Out the extra 5yr longs, now back to 1:1. 5 yr Sell @ 121'072.


I'm taking this as good news for the market that i have been unable to get my price to sell more 5yr even as the market pulled back earlier today.

There is a huge gap between the vix spot and M1 which if the market relaxes over the next week will cause M1 to start to drop like a stone, sending XIV up sharply,.....as i notice it making fresh highs for the day and week as i write, a full +20% off of that ES 1803 bottom. 

The "4-20" play looks like it would work today, except that it's irrelevant as i am holding all vix shorts over the weekend regardless. I'll just note that it's likely to work on a day like today if we get closer to the close and stay healthy.


----------



## The_Tosser

well here we are at ES 1940 once again. what to do.



> There is a huge gap between the vix spot and M1 which if the market relaxes over the next week will cause M1 to start to drop like a stone, sending XIV up sharply


XIV +3% over Friday close.

The T.S. is still elevated over Feb 1st when we were last @ this level in the SP500. M1 just dropping below that level, with the balance of the term significantly higher.


----------



## The_Tosser

The_Tosser said:


> I'm taking this as good news for the market that i have been unable to get my price to sell more 5yr even as the market pulled back earlier today.





> Out the extra 5yr longs, now back to 1:1. 5 yr Sell @ 121'072.


So guess if ya can't sell them, you buy them? lol. Ratio > 1:1 now in favor of long 5yr. Long @ 121'000


----------



## The_Tosser

The_Tosser said:


> So guess if ya can't sell them, you buy them? lol. Ratio > 1:1 now in favor of long 5yr. Long @ 121'000


adding to long 5yr note-futures again @ 121'017

I think this market run is getting short-term 'long in the tooth' and so feel the need to get longer t-bills.

I've trimmed some short-vix 'fringe' trades with ES @ 1939 here. UVXY short etc...


----------



## The_Tosser

The_Tosser said:


> OK, we're @ ES 1908 so i am going to roll all XIV/ZIV @ $1.52 for a tiny gain (<1%) on this particular TS-play.
> 
> So now we're back to 25% XIV, 25% ZIV, 50% cash (more or less) with three successful TS plays amounting to somewhere greater than 2.5% on the whole for those.
> 
> V-O-P definitely back to sleep for now as all moves have been successfully accomplished.


Feel like laying off some additional risk here in V-O-P accounts after this huge run.

This amounts to selling this spread again here @ $3.49 @ 1/3 tranche size. (We're now 'short' this spread @ 1/3, with no need to ever cover as it's still short-vol, net)

This puts the account @ ballpark 33-ish % ZIV, and 17%-ish XIV, 50% cash.

No need to get crazy, it's still February. :smilet-digitalpoint

EDIT: Clearly then we see the hand we'll play for the future, depending on direction. If we get a further drop in vix we'll sit and do nothing. If vix spikes the first trade will be to reverse this latest V-O-P trade, then reverse some more. after that (unlikely) we'll add to vix short using 50% cash hoard.

I was looking over the 'risk numbers' so far for these accounts this year. Despite having greater total draw-down than the broader US markets (SP500) our risk numbers kick *** as the use of funds have been spot on. The trick now is to not get overly and needlessly risk-averse.


EDIT # 2: To this point, the XIV/ZIV blended gain today is +3.4% on invested funds. We're just now laying off short-term risk.


----------



## The_Tosser

Post # 22



The_Tosser said:


> Long vix-spread trading position @ -$65.25K
> 
> tough entry!


Futures account update. 

Yeah how'd this trade work out for me?

Clearly not well. It's being held.

The "Core" position which is long @ -$68K (adjusted for trades to this point using shown trades) is now 'green' for the year - or i should say green 'once again'. The above noted trading position is not.

I am looking at rolling everything within the next week if things go well.

I'm waiting on that damn August contract to get in line. As would be my luck it's the only month that is out of whack and it's the one that i have to roll the short-month to and there's little chance i am going to get screwed over a few hundred bones per contract by being impatient. 

The entire deal in the first place to be playing this far out on the curve was to limit the worst of the draw-down if we got what we did indeed end up getting. 

I'll strike when i get a positive roll if it comes within the next 2 weeks.

Edit: For the record..... not counting it for the fut account since the price was not given, but the "4-20" trade @ Friday close didn't work - it was flat. I however did hold it over the weekend and sold mid-morning today @ +$900 per pair. The trade is currently @ -$67.65K and this makes that Friday PM close trade + $1,350/spread - yikes! lol. 

As i had mentioned, the price of VIX-Spot vs M1 if the market didn't get hammered over the weekend made for a seriously nice short-vix trade with loads of 'Juice'. Well worth the 'investment' lol. If by investment i mean throwing down a stack more chips on a bet :smilet-digitalpoint


----------



## The_Tosser

The_Tosser said:


> adding to long 5yr note-futures again @ 121'017


.........And again.

160% long 5yr vs short 10 yr. 

Go figure i have become a 'convert' lol.


----------



## The_Tosser

The_Tosser said:


> .........And again.
> 
> 160% long 5yr vs short 10 yr.
> 
> Go figure i have become a 'convert' lol.


..and again...... 120'097

rofl. is it bad to say i hope i lose large on the long 5 yr? rofl.

190% long 5yr vs short 10 yr (contract size, not notional as per all prev discussions)


----------



## The_Tosser

The_Tosser said:


> ..and again...... 120'097
> 
> rofl. is it bad to say i hope i lose large on the long 5 yr? rofl.
> 
> 190% long 5yr vs short 10 yr (contract size, not notional as per all prev discussions)


 Now 2:1

ES 1940 seems to be a hard ceiling. C'mon fat lady get singing, i want to re-load.


----------



## The_Tosser

> ........And again.
> 
> 160% long 5yr vs short 10 yr.
> 
> Go figure i have become a 'convert' lol.





> ..and again...... 120'097





The_Tosser said:


> Now 2:1
> 
> ES 1940 seems to be a hard ceiling. C'mon fat lady get singing, i want to re-load.


out long 5 yr down to 140%.. @ 121'065

sweet.


----------



## The_Tosser

Post # 95



The_Tosser said:


> Feel like laying off some additional risk here in V-O-P accounts after this huge run.
> 
> This amounts to selling this spread again here @ $3.49 @ 1/3 tranche size. (We're now 'short' this spread @ 1/3, with no need to ever cover as it's still short-vol, net)
> 
> This puts the account @ ballpark 33-ish % ZIV, and 17%-ish XIV, 50% cash.


lol covering @ $2.55, +$0.94

Way more juice than one guy deserves, rofl. :smilet-digitalpoint

25-25-50% again.

There's probably more to get but in 24hrs this is good money. I've lost count as to the % additions that trading has made over the base trade. 3.5% in 7 weeks on invested funds is likely understating it.


----------



## The_Tosser

> ........And again.
> 
> 160% long 5yr vs short 10 yr.
> 
> Go figure i have become a 'convert' lol.





> ..and again...... 120'097





> Quote Originally Posted by The_Tosser View Post
> Now 2:1
> 
> ES 1940 seems to be a hard ceiling. C'mon fat lady get singing, i want to re-load.





The_Tosser said:


> out long 5 yr down to 140%.. @ 121'065
> 
> sweet.


..and the rest of the extra long 5 yr are gone @ 121'110

Now 1:1 and a convert no more 

Somebody tell that fat lady to quiet down, we have a market to support lol :smilet-digitalpoint

EDIT: ES @ 1900, i dunno maybe i see 1883 in the cards. I'm not too excited either way here.


----------



## The_Tosser

> Quote Originally Posted by The_Tosser
> Feel like laying off some additional risk here in V-O-P accounts after this huge run.
> 
> This amounts to selling this spread again here @ $3.49 @ 1/3 tranche size. (We're now 'short' this spread @ 1/3, with no need to ever cover as it's still short-vol, net)
> 
> This puts the account @ ballpark 33-ish % ZIV, and 17%-ish XIV, 50% cash.





The_Tosser said:


> Post # 95
> 
> 
> 
> lol covering @ $2.55, +$0.94
> 
> Way more juice than one guy deserves, rofl. :smilet-digitalpoint
> 
> 25-25-50% again.
> 
> There's probably more to get but in 24hrs this is good money. I've lost count as to the % additions that trading has made over the base trade. 3.5% in 7 weeks on invested funds is likely understating it.



And now we go back to buying this spread. long 1/3 @ $1.54

As vix spikes we get to "full-swap" then we'll lay it out again on the relaxing of the fear as the T.S. ebbs and flows.


----------



## The_Tosser

The_Tosser said:


> Futures account update.
> 
> .......
> 
> I am looking at rolling everything within the next week if things go well.
> .....


Going to roll the front month of this spread about 1/3 of it (the long May) to June for a small credit. After the roll is done for both sides i'll do the bottom line math 

I'm just taking advantage of the spike and hoping i hit it close enough to start.


----------



## The_Tosser

The_Tosser said:


> And now we go back to buying this spread. long 1/3 @ $1.54
> 
> As vix spikes we get to "full-swap" then we'll lay it out again on the relaxing of the fear as the T.S. ebbs and flows.


2nd 1/3 @ $1.29

ES @ 1890 we shall see.


----------



## The_Tosser

The_Tosser said:


> ..and the rest of the extra long 5 yr are gone @ 121'110
> 
> Now 1:1 and a convert no more
> 
> Somebody tell that fat lady to quiet down, we have a market to support lol :smilet-digitalpoint
> 
> EDIT: ES @ 1900, i dunno maybe i see 1883 in the cards. I'm not too excited either way here.


selling more 5 yr @ 121'177, now under 1;1 ratio 0.8:1 actually 

looking to sell more @ 121'225 area


----------



## The_Tosser

The_Tosser said:


> Going to roll the front month of this spread about 1/3 of it (the long May) to June for a small credit. After the roll is done for both sides i'll do the bottom line math
> 
> I'm just taking advantage of the spike and hoping i hit it close enough to start.


front month completed for a 3 cent credit in this vix spike, now for the back month and then final tally. rofl.

Is trading supposed to be this fun?

EDIT; The 'usual' course for this spread is to lose on this front-roll, so taking even a small credit is a bonus. again the 'usual' course is to 'win' on the back month roll which is currently 'down', thus the legging...


----------



## The_Tosser

The_Tosser said:


> EDIT: ES @ 1900, i dunno maybe i see 1883 in the cards. I'm not too excited either way here.


lol, hey if this pig can poke its head above 1908 resistance long enough, we may have a green day by the close on the ES.

either way i am holding the prev posts 'buys' with ES low hitting 1886.75 - OK i suck, i was not within 2 pts of the low of the day rofl... :smilet-digitalpoint


----------



## The_Tosser

The_Tosser said:


> And now we go back to buying this spread. long 1/3 @ $1.54
> 
> As vix spikes we get to "full-swap" then we'll lay it out again on the relaxing of the fear as the T.S. ebbs and flows.





> 2nd 1/3 @ $1.29
> 
> ES @ 1890 we shall see.


2/3 position, avg was $1.42

rofl, sold this spread @ $2.36 .... 5 hrs??? +$0.94

Is there a Priest in the house? I gotta make a confession. I am sure i just sodomized a whole pile of people in the last 48 hrs and now i am feeling guilty .......not........., rofl


----------



## The_Tosser

The_Tosser said:


> lol, hey if this pig can poke its head above 1908 resistance long enough, we may have a green day by the close on the ES.
> 
> either way i am holding the prev posts 'buys' with ES low hitting 1886.75 - OK i suck, i was not within 2 pts of the low of the day rofl... :smilet-digitalpoint


rofl, what's the colour on the wheel between yellow and blue? :smilet-digitalpoint


----------



## The_Tosser

The_Tosser said:


> selling more 5 yr @ 121'177, now under 1;1 ratio 0.8:1 actually
> 
> looking to sell more @ 121'225 area


Bought back those 121'177 sells @ 120'075

Back to 1:1 this is just too much fun.

Now i know what you're thinking......how long is this a**hole gonna go before he gets it really wrong?

Well, considering I'm market-neutral to market-long, just like the rest of you, for your sake you'd better hope a long while yet :rugby:

The difference being my *** isn't tied to that listless ship called "Delta" :hopelessness:


----------



## The_Tosser

The_Tosser said:


> Bought back those 121'177 sells @ 120'075
> 
> Back to 1:1 this is just too much fun.


120% long 5yr vs short 10 yr ... buying 5's @ 120'050 to get there.

I think i'm done for the day, rofl. Killed it.:smilet-digitalpoint

EDIT; In all seriousness, my hope is the market runs up from here which should push down bonds. I'll exit bonds this week if this is what transpires. @ 120% 5yr i am still net short bonds overall.

ES @ 1927 at the moment.


----------



## The_Tosser

The_Tosser said:


> front month completed for a 3 cent credit in this vix spike, now for the back month and then final tally. rofl.


So let's look at why we took this calculated risk earlier today.

Getting a credit being long the front month on this spread is pretty rare. You're more likely to get it during times of fear - which should be evident by now as more people get used to thinking in terms of volatility points. This is no different in thinking than what i am doing in the V-O-P accounts with that XIV-ZIV swap - now successful for 5?? trades in a row and +4.3% i think it is now.

This spread closed the day +0.13 (a debit to me of 13 cents) or so, meaning that had i not done so, I would have pissed away a good-odds trade of at least $160 per contract, times a bunch of them.

What's next? We'll roll the short July to Aug.I never screw with the ratio on this trade. The volatility and price swings is just too great to risk going full-cowboy, not to mention the max D-D possible given 2008/09 numbers which are way way out of any norm, would make you puke.

August has this stupid little 'dip' in it. I mentioned it yesterday. It's 'preventing' me from doing it for even money at least, so I'll wait. I have time.

ES 1930 and we're all sitting here wondering if the next attempt @ ES 1940 is going to be successful.


----------



## The_Tosser

RE interest rates, US Gov spending, Cad gov spending etc.

It's good to see both N.A. countries back to deficit spending in a decent way. "What/How" they're spending is of concern, but that's for another day entirely.

CAD recently has said they're gonna do it this coming year and the US has also started to do so after slacking off in Dec and Jan, with US econ slow-downs since before that. We still have some weak US numbers that I'll be keeping an eye on from week to week.

I'm going to also be keeping an eye on Int rate hikes from the Fed.

http://www.cmegroup.com/trading/interest-rates/countdown-to-fomc.html

As i've said before, the prime mover of the economy is certainly Fiscal policy. Monetary policy is of less importance. That being said that timing of the last hike was deplorable. It just looked very bad.

Notice my trades paid no heed to my thoughts on Fed policy. This being said I am unconvinced that 0.25/0.50 rate hikes will do much either way. I am not sure how zero-sum-ish it all is. Again Fiscal policy means much, much more so I have no worries with monetary policy being a bit of a question mark.

I guess what i am getting at here is, the above comments combined with a reasonable pullback in the major US markets from late 2015 highs of of nearing 15%, the large-ish decline today followed by a complete reversal back to green is leaving me with an easier time in having a bullish outlook again.

Either way it matters not. We'll just trade the same way regardless, market up or down. I'm just making the case in general that risk has been taken off and vix-short odds have been paying and i believe will continue to pay, thus the 'hold' of the "Premiere 2016" trade, which btw is still hovering around green for the year.

Things just seem 'right'. Mkts down, commodities down, bonds just off all-time highs. I've seen worse fades.


----------



## The_Tosser

The_Tosser said:


> 120% long 5yr vs short 10 yr ... buying 5's @ 120'050 to get there.


rolled 5 yrs to June contract/sold down to 1:1 @ June price of 121'097 (mar is 121'125 for reference)

grind, grind, grind... boring day.


----------



## The_Tosser

> Post # 22
> 
> Quote Originally Posted by The_Tosser
> Long vix-spread trading position @ -$65.25K
> 
> tough entry!





The_Tosser said:


> Futures account update.
> 
> Yeah how'd this trade work out for me?


Going to play a Genesis tune and "Throw it all away" 



 lol

Call it $2K loss per spread on the "trade"

The "Core" is way up and i am sure i made a new high water mark for the year today.

Bottom line is i caught this particular ****-bag wrong and if i am not green on a trade after what the market has done over the past 2 weeks, I am done with it. I have to believe i'll catch it back later with better odds than i see today, into next week.

Be proactive.


----------



## The_Tosser

The_Tosser said:


> ES 1930 and we're all sitting here wondering if the next attempt @ ES 1940 is going to be successful.


lol whoa, i blinked and missed it, rofl.

Well next resistance i have in the ES is 1965 and we're there already. Hmmm.

Anyway, 1990 is a major line in the sand and below we have that 1930-1940 range that we chewed through yesterday.

I still have to roll the back-month of the vix spread and it is tightening (good for moi). It's still got that dip in her. It might have to wait another week or two.

The short-bond trade is working this morning. I may be rolling completely out of this soon as well. That was one fun pile of trades we laid out over the past 2 weeks. Lot of range. Good action.


----------



## The_Tosser

The_Tosser said:


> The short-bond trade is working this morning. I may be rolling completely out of this soon as well. That was one fun pile of trades we laid out over the past 2 weeks. Lot of range. Good action.


I'll say! lol

Adding to long 5yr, now @ 130% - doing this instead of dumping the position. We'll prolong the trade into next week.

Long 5yr June's @ 120'287


----------



## The_Tosser

The_Tosser said:


> I'll say! lol
> 
> Adding to long 5yr, now @ 130% - doing this instead of dumping the position. We'll prolong the trade into next week.
> 
> Long 5yr June's @ 120'287


Rolled short Mar 10 yrs to June contract.

This side of the trade results in a debit. This roll for myself was 0'120

The tightest (most favorable) in several months. Hell, several months is understating it. I don't see a more favorable roll going back into 2013 even.

This trade is starting to get even more exciting.


----------



## The_Tosser

The_Tosser said:


> I'll say! lol
> 
> Adding to long 5yr, now @ 130% - doing this instead of dumping the position. We'll prolong the trade into next week.
> 
> Long 5yr June's @ 120'287



rofl adding to long 5 yr again - 140% and this is where we'll sit into next week (120'255)

P.P.T. frantically looking for a floor-jack to prop up this bond market all of a sudden :smilet-digitalpoint

Twice the normal daily move happening here today.

this ratio is still net-short bonds but is a good hedge for a bounce and continued play.


----------



## The_Tosser

> Post # 22
> 
> Quote Originally Posted by The_Tosser
> Long vix-spread trading position @ -$65.25K





> Going to play a Genesis tune and "Throw it all away" lol
> 
> Call it $2K loss per spread on the "trade"
> 
> The "Core" is way up and i am sure i made a new high water mark for the year today.



ES 1943

Long vix-spread @ -67.75K

This is a trade and as a new position needs no 'rolling' for a month to 6 weeks. New position in June-Aug in direction and ratio as always.

As it turns out dumping for that loss and re-purchasing today was the best thing that could have been done to this point. You'll find that happens a lot. Not being willing to do this is how people get underwater and stay underwater in increasing size, which really turns into a ****-storm. Please see your commodity stock trades for reference :smilet-digitalpoint

Once everything gets rolled, we'll consolidate the variables and give the net results.


----------



## The_Tosser

This is why ignorance is dangerous.

http://realcrash2016.com/china-treasury-dump/?code=467533

Please watch this idiot be wrong yet again.

"lenders", "default", "dollar crash", "debt" he's got all the key doomer-phrases.

Remember, it's real crash 2016, not 2017, 2019, 2020, 2050..... and not mkt pullback, cooling off of mkts, USD or T-Bills. He is calling for a "Real Crash", in "2016" Watch his revisionist tactics when he's wrong. This means worse than 2008 in Peter Schiff lingo.

I give Peter Schiff the same odds of being 'right' as he was 4 years ago saying gold would soon be $5000, and $2000 was right around the corner. He is a math genius, buy high, buy higher, buy higher yet..rofl..

I give Peter Schiff the same odds of being 'right' as he was about the dollar index when it was @ $72 a couple of years ago when he said it would be $40, maybe even $20 soon enough. (It's mid 90's now)

I give Peter Schiff the same odds of being 'right' as he was when he said to short US Treasuries, nearly a decade ago. They hit all time highs within the last month...

How did 'Dr Doomer' get the housing crash 'right'? He's a fly around ****. He got it from others.

What was his 'trade' for his retail clients during the 2008-09 crash? Get out of US stocks and into commodity based stocks and indexes roflmao, Ooops. Short USD, short T-s, Ooops.....Worst timing in history. lol Is he wrong? NO!, just "Early" rofl.

Don't believe me? Go look at his funds, rofl.

Ignorance as to how a modern economy functions is deadly to your health. Or should i say, his clients health. This con-man makes money right or wrong, rofl. For him its assets under management and has nothing to do with making money in the capital markets for his clients. He's demonstrably clueless, yet there he is with clients, rofl. Ignorance is deadly to your health.

Why do i tell people to keep their money in their pockets and not pay a 'professional'? They cannot prove they are value added and in fact most often can easily prove the opposite just by looking at any results they may have. I'm sure you can lose your own money just as well without paying a con to help.

Anything you might need to know that might help you, can be found for free. It's simply a fact of the times we live in.


EDIT: "If China's not there (to lend) where's the money going to come from?" - Peter Schiff

This is the retardism that needs to be mocked every time you hear it.


----------



## The_Tosser

#121 



The_Tosser said:


> ES 1943
> 
> Long vix-spread @ -67.75K
> 
> ......
> 
> Once everything gets rolled, we'll consolidate the variables and give the net results.


And good-bye trade, +$500 per spread @ -$67.25k

ES 1945


----------



## The_Tosser

adding 120'290 of the 5 yr.

160% vs 10 year.


EDIT: 170% @ 120'275

c'mon make a decision, bond market..

EDIT # 2: 210% @ 120'290

Not liking this action at all. Sumthin' looks funny, heading for shore! lol

Ultimately i want to be long 5 yr solo, but the TS in bonds is funkin' out.


----------



## The_Tosser

#109



The_Tosser said:


> rofl, sold this spread @ $2.36 .... 5 hrs??? +$0.94


V-O-P accounts. 

Selling this XIV/ZIV spread, 1/3 only, @ $3.63 So in effect we're 'short' this spread.

Never a need to 'cover' as it's all short-vix anyway  Just doffing a bit of risk.

The blended gain today in the V-O-P accounts on money invested (50%) is +1.81% to this point. Handily beating the markets.


----------



## The_Tosser

The_Tosser said:


> adding 120'290 of the 5 yr.
> 
> 160% vs 10 year.
> 
> 
> EDIT: 170% @ 120'275
> 
> c'mon make a decision, bond market..
> 
> EDIT # 2: 210% @ 120'290
> 
> Not liking this action at all. Sumthin' looks funny, heading for shore! lol
> 
> Ultimately i want to be long 5 yr solo, but the TS in bonds is funkin' out.


250% and green on bonds on the day. A self-congratulatory pat on the back for being willing to change ones mind.

I guess we see the ratio to get net 'long' bonds. lol.


5 min econ...

This is why you don't want to peg your currency to anything, incl gold, wood, sea shells or even the mighty USD lol

http://www.cnbc.com/2016/02/29/venezuela-is-making-surreal-suicidal-debt-payments.html

Will they pay the next round of debts due?

Only if they starve everyone to death or oil rebounds very hard, very soon. I know where I'd lay my chips.


----------



## The_Tosser

#121


> Quote Originally Posted by The_Tosser View Post
> 
> ES 1943
> 
> Long vix-spread @ -67.75K
> 
> ......
> 
> Once everything gets rolled, we'll consolidate the variables and give the net results.





The_Tosser said:


> And good-bye trade, +$500 per spread @ -$67.25k
> 
> ES 1945


ES 1933

Back in long jun-aug spread @ -$67.85K

trading for better results?? what da??? lol


----------



## The_Tosser

The_Tosser said:


> 250% and green on bonds on the day. A self-congratulatory pat on the back for being willing to change ones mind.
> 
> I guess we see the ratio to get net 'long' bonds. lol.


Shedding complete long-bond pairing 20% at a time... rofl.

whoa what a play.


EDIT: 60% out of this trade. IF bonds spike tomorrow, I will be out completely. Had no idea @ the open I'd be long bonds and exiting from that side, rofl.

The pairing then was long 5 5 yrs, short 2 10 yrs to get to that LCD ratio. The notional was 344'000 (k) area per spread.


----------



## Getafix

T_T 

What are your thoughts on going long XIV at this point. Do you think it will recover to early Jan levels 20's to 25 range?


----------



## The_Tosser

Getafix said:


> T_T
> 
> What are your thoughts on going long XIV at this point. Do you think it will recover to early Jan levels 20's to 25 range?


I currently hold short vix. (long xiv,ziv in Vix Ouch Potato accounts)

I just today 'swapped' 1/3 XIV for ZIV because we just had a major run up in XIV.

I think people need to short vix (long XIV) into market fear and not wait a week with the market up even after today, 6.5%, and the corresponding XIV long, up 22%.

.
.


EDIT: (and nothing to do with this post) Out all Treasuries tonight.

I have no thoughts either way on market direction tomorrow. 1908 is below, 1930 just a few ticks above where we are now.
.


EDIT #2: (and maybe something to do with the question posed) the million dollar question is does the market bust this week? If you say 'no' then XIV easily hits low $20's by Friday.


----------



## Getafix

Thanks i'm currently long XIV (1/2 position) but not sure if there's more upside potential left. It seems like oil is on a tear and daily, weekly charts are still looking bullish. So i think there's a good chance it could take the S&P higher with it as they're so tightly co-related nowadays. Let's see, first few weeks of march will be interesting to see if 1800 holds or whether it breaks 1970+.


----------



## The_Tosser

#127


The_Tosser said:


> ES 1933
> 
> Back in long jun-aug spread @ -$67.85K
> 
> trading for better results?? what da??? lol


Out this trade @ -$67.05K, +$800 per spread.

It looks like we're cooking now.

ES 1945

Picked a good time to exit long-bonds too i see, lol.


----------



## The_Tosser

The_Tosser said:


> front month completed for a 3 cent credit in this vix spike, now for the back month and then final tally. rofl.
> 
> 
> 
> EDIT; The 'usual' course for this spread is to lose on this front-roll, so taking even a small credit is a bonus. again the 'usual' course is to 'win' on the back month roll which is currently 'down', thus the legging...


This is so lame. That August 'deformity' is not righting itself. I am looking at skipping the back month right to Sept for 15 cent credit if i can get it.

Sometimes i see this and have often played the 'dip'. The last time i did it was actually a Nov 'peak' and we were in the spring. It was a long-ish trade duration. Yeah it worked out but i think there were better places for my money.

If i were to play this Aug dip it would be short July, long Aug. Not interested in it myself, but just the same it's getting in the way of my spread.


----------



## The_Tosser

*OK Fute's account position update..*

We were @ a 'core' cost of -$68K the last we calculated everything.

The roll has been completed, albeit legged, with both sides hitting a credit.

We've rolled to June-Sept pairing. A bit unorthodox but we'll have a chance i am sure to squeeze this pair closer. I am assuming I'll get a chance to nudge June to July. If not, no worries.

Taking into account the rolls credits, all recent trades, good and bad, we have a 'new' core cost on this spread of *-$68.40K* and that is very generous. I've not included the front month credit, nor did i include that +$900 per spread trade over the weekend prior to the last. I took the trade and called the exit but noticed i did not call the actual entry price. OK my bad, so i won't count it. The front month credit goes towards commissions and easily covers them.

Back to sleep!

EDIT: 

From the start we can break down where the change in cost basis has come from. 60cr cents roll, 30cr cents trading. This is of course *1000 multiplier and is calc'd on the "Core" on a per-spread basis, with the trading being done @ 1/4 core size and divvied accordingly.

It's worth noting too that we haven't even begun to get paid yet on short volatility. There's going to be a lot of sleeping to be done going forward.

ok Now back to sleep


----------



## The_Tosser

The_Tosser said:


> V-O-P accounts.
> 
> Selling this XIV/ZIV spread, 1/3 only, @ $3.63 So in effect we're 'short' this spread.
> 
> Never a need to 'cover' as it's all short-vix anyway  Just doffing a bit of risk.
> 
> The blended gain today in the V-O-P accounts on money invested (50%) is +1.81% to this point. Handily beating the markets.


Piss me off. ZIV trades like **** and has very limited hours. I had a chance @ close yesterday to take $0.90 out of it but got there too late.

SO now i get stuck waiting instead of trading (why do i like futures? Way better hours for one.....)

Took +$0.23 with a cover @ $3.40

Not i don't think it's going to go lower, but i missed my best chance so forget it i'll take the crumbs and re-group for a better shot at a later date.


----------



## The_Tosser

Getafix said:


> Thanks i'm currently long XIV (1/2 position) ..


If you pressed me today, I'd say we're good to go. I see bonds falling back hard, which should be good for stocks. Bonds are finally buying the story, which isn't at all what it was telling me yesterday (thus my switch to long bonds and then exit last night)

Today looks good so far.


----------



## The_Tosser

> Originally Posted by The_Tosser
> 
> V-O-P accounts.
> 
> Selling this XIV/ZIV spread, 1/3 only, @ $3.63 So in effect we're 'short' this spread.
> 
> Never a need to 'cover' as it's all short-vix anyway Just doffing a bit of risk.
> 
> The blended gain today in the V-O-P accounts on money invested (50%) is +1.81% to this point. Handily beating the markets.





The_Tosser said:


> Piss me off. ZIV trades like **** and has very limited hours. I had a chance @ close yesterday to take $0.90 out of it but got there too late.
> 
> SO now i get stuck waiting instead of trading (why do i like futures? Way better hours for one.....)
> 
> Took +$0.23 with a cover @ $3.40
> 
> Not i don't think it's going to go lower, but i missed my best chance so forget it i'll take the crumbs and re-group for a better shot at a later date.


OK, now i like things a bit better.

Back short this spread @ $3.70 for 1/3 size.

+ $0.23 on the last trade and a fresh and better entry to boot.


----------



## The_Tosser

The_Tosser said:


> OK, now i like things a bit better.
> 
> Back short this spread @ $3.70 for 1/3 size.
> 
> + $0.23 on the last trade and a fresh and better entry to boot.


2nd third @ $3.82

I'll keep the gun-slinging to the futures accounts. Laying off risk in V-O-P acct's as XIV hits +30% from lows just 2 weeks ago.

The vix short has not yet begun to really pay off and barring any crazy moves in the market this is going to leave people with their jaws on the floor in the months to come.


EDIT:

THis trade puts V-O-P accounts @ approx 5% XIV, 45% ZIV, 50% cash. A little skewed but this is how it worked out. XIV tagged $20 when this recent trade was completed. I like the idea of being solo M5 area as opposed to M1. Esp when we're not paired with anything. ZIV could easily roll 20% /a from here to end of year.


----------



## The_Tosser

The_Tosser said:


> EDIT:
> 
> THis trade puts V-O-P accounts @ approx 5% XIV, 45% ZIV, 50% cash.


*V-O-P. Accounts update.*

Out XIV, swapped to all ZIV. 50%, + 50% cash

yeow XIV on a tear. >8% today alone.. +33% in 12 trading days, rofl.

Vix in control, lol. Get out da' way.

I think I'll sit back in the weeds, lol.


----------



## The_Tosser

I'm not necessarily going to track it, but i mentioned i wanted to get solo-long 5yr notes. I've started the first position today @ 120'167 in June's after this Mkt run-up/Bond beat-down.

This is a longer term hold and i am waiting until we get really over-sold to add in any size. We also have to watch for the next Fed hike at some point this year. That's the risk, the rest we'll work out with position size.


----------



## The_Tosser

#134 @ Just before the market opened today..



The_Tosser said:


> It's worth noting too that we haven't even begun to get paid yet on short volatility............


lmao, OK, if i knew all i had to do was say it, I would have said so earlier. Today was the first real pay-day from the vix unwinding.

I figured XIV > $20 would take a minimum 2 days and more reasonably 3-4 days. Nope,  Not complaining @ +9.6% on the day, $20.65

You can pretty much always see the potential shaping up, but who knew the ES was going to go +2.5%?.... It matters not how much i see the potential, it never ceases to amaze me. Jaw on the floor. The unwind is just so massive. Literally hands off the keyboard and let M1 self-destruct.

What's more it doesn't even have to be over yet. There's still tons of potential. More than you would think...


----------



## The_Tosser

totally off topic.

Breaking story

http://www.cnbc.com/2016/03/01/doj-indicts-ex-ceo-of-chesapeake-energy-on-conspiracy-charges.html

I assume they mean the complete crook, Aubrey.

1 down anyway, lol.

_
In 2005, Forbes Magazine named McClendon one of the country's top-performing executives for his role at Chesapeake.[11] A few years later, he was the highest paid CEO of all the S&P 500 companies in 2008, receiving a compensation package totaling $112 million.[2][12] In 2008, McClendon was notified that his shares were no longer valuable enough to back a margin loan with Goldman Sachs and other banks. In response, McClendon was forced to sell a majority of his 31.5 shares, comprising 94% of his stake in Chesapeake and 6% of the company.[6][13] The following year, Chesapeake offered McClendon a five-year retention contract, including a $75 million bonus.[5]

In 2011, Forbes called McClendon "America's most reckless billionaire" in a cover story on his career. The profile noted McClendon's high risk tolerance and cited the sale of his shares in 2008 as a reckless move.[14] The same year, the magazine named McClendon to its 20-20 Club, comprising the eight CEOs of public companies who had delivered annualized returns of more than 20% over a 20-year period.._ (LMFAO i am looking for a re-count now here in 2016) No need for an eraser - just add a negative sign...

lmao, nope nothing wrong with corporate governance! The BOD have got your back, shareholders! ROFLMFAO.

Pardon the expression but it fits too well with respect to stock purchasing.. "Not with your dick would i touch it"

Ok back on topic - my apologies


----------



## Getafix

Getafix said:


> Thanks i'm currently long XIV (1/2 position) but not sure if there's more upside potential left. It seems like oil is on a tear and daily, weekly charts are still looking bullish. So i think there's a good chance it could take the S&P higher with it as they're so tightly co-related nowadays. Let's see, first few weeks of march will be interesting to see if 1800 holds or whether it breaks 1970+.


Damn guess i was right, but little did i know that it would be happening the very next day! Let alone first few weeks. All out of my XIV & HVI positions, maybe a bit too early but let's see. Will buy back on the next dip.


----------



## The_Tosser

Getafix said:


> All out of my XIV & HVI positions, maybe a bit too early but let's see. Will buy back on the next dip.


From a trading perspective it's hard to not walk away. Today made life a whole lot easier in one respect that's for sure.

As long as the market doesn't pull back hard M1 is going to continue to crater. Today really was the first day you got paid well. It darn well could continue. I don't mind trading or taking risk at all, but i will be damned if i am going to try to get too fancy and lose my footing on this one after today. Like i told you last night the play was to take it 22% ago when no-one wanted it. These plays come like a thief in the night and you want your loot-bag ready and opened wide.

I gave myself room to hit it hard if need be yet still own enough to not be too pissed if it never looks back  lol. Keeping your foot in the door takes the monkey of off you back.


----------



## The_Tosser

2PM EST Release.


http://www.marketwatch.com/story/fe...-late-february-2016-03-02?link=MW_latest_news


----------



## The_Tosser

The_Tosser said:


> totally off topic.
> 
> Breaking story
> 
> http://www.cnbc.com/2016/03/01/doj-indicts-ex-ceo-of-chesapeake-energy-on-conspiracy-charges.html
> 
> I assume they mean the complete crook, Aubrey.


Problem solved.


http://www.cnbc.com/2016/03/02/ex-c...n-dies-in-car-wreck-day-after-indictment.html


----------



## The_Tosser

The_Tosser said:


> *OK Fute's account position update..*
> 
> 
> Taking into account the rolls credits, all recent trades, good and bad, we have a 'new' core cost on this spread of *-$68.40K*


Closed today @ -$65.40K, +$3K per spread.


----------



## Getafix

The_Tosser said:


> From a trading perspective it's hard to not walk away. Today made life a whole lot easier in one respect that's for sure.
> 
> As long as the market doesn't pull back hard M1 is going to continue to crater. Today really was the first day you got paid well. It darn well could continue. I don't mind trading or taking risk at all, but i will be damned if i am going to try to get too fancy and lose my footing on this one after today. Like i told you last night the play was to take it 22% ago when no-one wanted it. These plays come like a thief in the night and you want your loot-bag ready and opened wide.
> 
> I gave myself room to hit it hard if need be yet still own enough to not be too pissed if it never looks back  lol. Keeping your foot in the door takes the monkey of off you back.


Unfortunately my cash hadn't come through when XIV dropped to 15's in early Feb. I would've been up around $40k USD if i had bought in with all my cash then! I guess opportunities like that only come around once in a while and i really regret not being able to load up then. Who knows maybe another opportunity like that will come along this year and VIX will spike up to 30-40's again.


----------



## The_Tosser

Getafix said:


> Who knows maybe another opportunity like that will come along this year and VIX will spike up to 30-40's again.


From your lips, brother. lol. 

I'm too ready, It'll never happen :smilet-digitalpoint

Seriously though, we're right @ that ES 1990 area. I gotta believe we head down for a bit.


----------



## The_Tosser

The_Tosser said:


> 5 min econ...
> 
> This is why you don't want to peg your currency to anything, incl gold, wood, sea shells or even the mighty USD lol
> 
> http://www.cnbc.com/2016/02/29/venezuela-is-making-surreal-suicidal-debt-payments.html
> 
> Will they pay the next round of debts due?
> 
> Only if they starve everyone to death or oil rebounds very hard, very soon. I know where I'd lay my chips.


In this same light,..

The most intelligent (ex)Politician I've seen anywhere in the past 4 decades, Yanis Varoufakis. You should spend the next week getting familiar with this guy. 

For those debt-dooms-dayers, pay special attention to what he says Re US-Euro differences. Not just in this video since he hardly mentions it at all, I mean in your week worth of homework I just gave you. 

He may be the only politician i have ever seen that understands how a Sovereign currency issuer operates - on top of everything else. This guy is untouchable. If i had a political hero, it would be this guy, hands down.

https://www.youtube.com/watch?v=NGosu2ZmGgo


----------



## The_Tosser

Yesterday



The_Tosser said:


> <price> Closed today @ -$65.40K, +$3K per spread.


Acct reminder: 



> Taking into account the rolls credits, all recent trades, good and bad, we have a 'new' core cost on this spread of *-$68.40K*


I admit it, cutting some core here, lol.

-$64.85k, rofl. (XIV @ 21.40 for reference)

It's hard to not be bullish, but let's play it smart and not get too short-term piggy.

Added to long 5 yr notes to also stem any neg reaction in vix. For reference, I am 100% (1X) notional long 5 yr as ratio to account size.


----------



## The_Tosser

2 days ago,



The_Tosser said:


> From a trading perspective it's hard to not walk away. Today made life a whole lot easier in one respect that's for sure.
> 
> As long as the market doesn't pull back hard M1 is going to continue to crater. Today really was the first day you got paid well. It darn well could continue.....


It matters not where XIV (M1 short) closes today, but this is exactly what i was referring to. The ES has moved maybe 15 pts tops since then, but XIV is running like its pants are on fire, moving up 6% from that point and +40% in 14 bars.

You can't see it by watching the etfs's but you can see the coiled spring quite clearly on the actual futures TS. Like i've said before it still leaves me speechless and i trade it all day, every day. As long as a market doesn't make any nasty downward moves this thing will just keep steam-rolling hard.

I'm now down to "1/2" Core, giving new meaning to the term "Core" i guess, lol :stupid: but seriously i am within 3.5% of my lower-bound of acceptable return for the year so i think i should take my foot off the pedal on March 3rd 


EDIT: Oh I should clarify. This is not the V-O-P accounts. They're sitting as last described. They're just now getting their groove on. There's more than enough work to be done yet.


----------



## The_Tosser

> Taking into account the rolls credits, all recent trades, good and bad, we have a 'new' core cost on this spread of *-$68.40K*



Closed @ -64.20K, +$4.2K per spread. "Smokin'"






I've cut 1/2 Core as per prev post. We'll let the process cool off a bit.

I mentioned before, seeing this spread @ +$8K to +$10K/spread in a few months would not be a big surprise. Not getting a pullback before then would be! lol. :smilet-digitalpoint


----------



## The_Tosser

Ah nice US data for the most part this morning.

US trade balance back to a healthy negative after slacking off for a bit. Employment also has a nice recovery.

Everything looks great for US economy, time for the market to pull back! rofl! :smilet-digitalpoint

ES currently 2001 and vix spread new highs, @ -$63.60K still smokin,... getting a fair bit heated i would guess... hmm..

Seriously though now that size is down I am going off-ratio and cutting some back month short vix off...


----------



## The_Tosser

The_Tosser said:


> ES currently 2001 and vix spread new highs, @ -$63.60K still smokin,... getting a fair bit heated i would guess... hmm..
> 
> Seriously though now that size is down I am going off-ratio and cutting some back month short vix off...



"Shallow-dip suicide" Back shorting that back month to get back to orig ratio.... lol:smilet-digitalpoint


----------



## The_Tosser

lol.

"When do i get to wear a beret?" ROFL






The stress is not knowing what you're doing. The stress is not knowing how to take calculated risk - Tasty-Tom lol :smilet-digitalpoint

I'd rather avoid the 'risk' and just <Ouch-Potato> (And I want a beret) - Dylan R lol :smilet-digitalpoint 

I just love the leap that all Ouch-taters instantly make in that what they're doing has no inherent risk attached to it, rofl. D-U-M-B. Like they start from zero risk and it only goes up when you start to think... ROFL :stupid:


20min in, + : Pairs trading. Worth listening to. 1 point i want to add is, 99% of pairs you will build aren't worth a ****. Don't be stupid about it. 

Tom pairing of oil-v-copper, or steel is really stupid. Just because you can stick together two things doesn't make them a smart pairs trade. Everything else beyond that is irrelevant. What's dumb from the start can't by definition get any smarter. Just take your average voter  lol

What is pretty good? ES-Bonds, VIX-Bonds, VIX-ES, VIX-VIX. Bond-v-?? is not the greatest of these pairs but is certainly decent enough.

Correlation is key and what reality (not finance school evidently) tells you is that the correlation goes to **** when you need it to hang in the most. VIX-VIX cannot unhinge, ES-VIX cannot unhinge. The others mentioned are damn good too. Most everything else is sketchy - Just ask Gold-Plat traders. Mangled... lol


----------



## The_Tosser

Another episode of the 5 minute econ...

This is for those doing their homework this weekend on sovereign currency, taxes etc..

I'll leave it to you to do yet more homework - which should take all of 5 minutes with this thing we call the inter-web  on where this material that will be presented here came from, and when it was written, which should hopefully give you an understanding of just how far we have REGRESSED in our knowledge (at least, public knowledge which includes what you're taught in the education system). It truly is shameful. Donkeys have more sense.



> *What Taxes Are Really For*
> 
> Federal taxes can be made to serve four principal purposes of a social and economic character. These purposes are:
> 
> 1. As an instrument of fiscal policy to help stabilize the purchasing power of the dollar;
> 
> 2. To express public policy in the distribution of wealth and of income, as in the case of the progressive income and estate taxes;
> 
> 3. To express public policy in subsidizing or in penalizing various industries and economic groups;
> 
> 4. To isolate and assess directly the costs of certain national benefits, such as highways and social security.


Notice there is no mentioning of taxes being required to fund the government. In fact, the primary purpose of taxes is to form a society that is conducive to a decent human existence for all. Taxes are for public policy purposes. Taxes simply are means this end.



> By all odds, the most important single purpose to be served by the imposition of federal taxes is the maintenance of a dollar which has stable purchasing power over the years. Sometimes this purpose is stated as "the avoidance of inflation"; and without the use of federal taxation all other means of stabilization, such as monetary policy and price controls and subsidies, are unavailing.


Re the underlined portion: My constant reference to fiscal policy being the primary driver, not monetary (Fed Reserve etc).



> The second principal purpose of federal taxes is to attain more equality of wealth and of income than would result from economic forces working alone. The taxes which are effective for this purpose are the progressive individual income tax, the progressive estate tax, and the gift tax. What these taxes should be depends on public policy with respect to the distribution of wealth and of income.


Debunking the last few people that may actually believe that "Trickle-down economics" works for the betterment of society. It does not. That is not how capitalism works and in fact if it was not for the Government enforcing 'public policy' capitalism would force even more wealth to the top and further wealth inequality.

And now the hammer-blow to the debt-dooms-dayers who understand nothing about a Sovereign currency issuer (again!) lol.


> The necessity for a government to tax in order to maintain both its independence and its solvency is true for state and local governments, *but it is not true for a national government*. Two changes of the greatest consequence have occurred in the last twenty-five years which have substantially altered the position of the national state with respect to the financing of its current requirements.
> 
> The first of these changes is the gaining of vast new experience in the management of central banks.
> 
> The second change is the elimination, for domestic purposes, of the convertibility of the currency into gold.


Thus Transfer payments from the Fed Gov to our Provinces as key.

Stop talking out of your asses. You're literally discussing all the wrong issues with respect to recent discussion of Prov debt, sustainability etc..

There's a lot of legitimate issues to discuss, none of which are being discussed when the entirety of the talk is centered around an 'insurmountable debt' by government.


----------



## The_Tosser

Post # 114, Feb 24th, 2016



The_Tosser said:


> RE interest rates, US Gov spending, Cad gov spending etc.
> 
> It's good to see both N.A. countries back to deficit spending in a decent way. "What/How" they're spending is of concern, but that's for another day entirely.
> 
> ....
> 
> As i've said before, the prime mover of the economy is certainly Fiscal policy. Monetary policy is of less importance. That being said that timing of the last hike was deplorable. It just looked very bad.
> 
> Notice my trades paid no heed to my thoughts on Fed policy. This being said I am unconvinced that 0.25/0.50 rate hikes will do much either way. I am not sure how zero-sum-ish it all is. Again Fiscal policy means much, much more so I have no worries with monetary policy being a bit of a question mark.
> 
> I guess what i am getting at here is, the above comments combined with a reasonable pullback in the major US markets from late 2015 highs of of nearing 15%, the large-ish decline today followed by a complete reversal back to green is leaving me with an easier time in having a bullish outlook again.
> 
> ....
> 
> Things just seem 'right'. Mkts down, commodities down, bonds just off all-time highs. I've seen worse fades.


Re: <Underlined>

Well i guess today is that day. Here's where i see the economy moving forward.

US unemployment is 4.9% and the last i checked CAD is 7%-8% 

Here is where 'how' you're spending <Federal> money is of concern. It looks like we've managed to add reserves enough to offset any immediate and continuing deflation. I am pretty sure most people are or should be happy about their increase in wealth over the past few weeks since the announcements of Sovereign spending/budgets - see your investments for one.

The usual process, which for now I suspect will be how it will be this time, is that we will get continued GDP growth, a rise in inflation with a rise in interest rates and no appreciable decrease in unemployment. This is poor money spending/management. This is the most likely outcome. This will be proof that your Government reps simply do not understand Fiscal policy with respect to shaping public policy that Canadians on the whole, want. We will once again get 'growth' without full employment. In fact Canada has horrible and chronic unemployment. "Bad spending' causes this.

Things that i would like to see but are not likely forthcoming? Increased spending on the 'poor' in a responsible job and skills centered manner. Fiscal Public Policy measures in action. Spending in this manner increases the greater good for its citizens without appreciable risk of inflation vs how it's likely to end up.

Once people finally realize that Federal spending is not constrained by any silly insolvency issues, we can move past this and get down to what the tax system and discussion should really be about, which is again, Public policy for the betterment of society as a whole.

But instead what are we likely to get?

1.) More ignorant bitching about going broke and our kids and grand-kids having to pay off 'debt'.

2.) Ignorant Bitching about Provincial <user> debt - since everyone evidently wants less provincial services and higher provincial fees as Prov Rep's are no smarter than their constituents- yeah that'll work out just swell! I've given the 'fix' for this already and it's not to cut prov spending on services that it's your governments job and frankly its obligation to give you.

3.) More of the middle class bitching about welfare and unemployment recipients - as if 100% of their funds don't go right back into the economy anyway which is absolutely a benefit to you. As if they all want to be unemployed or on welfare.

... I guess you just f++king hate people and want to see them bleed for no apparent reason, 

.... as if you actually think you'd be better off on welfare, having 100% of your day free, rofl........ if you do, I call you on it right now.....do it or shut the f++k up. Who doesn't want 7 days a week off? Go ahead, do it. Tell me how well off the welfare recipient is, and show me how it is hurting 'you' while you're at it.

This is what you get when you have people misunderstanding the roll of Sovereign issuers of their own currency.


So that's what i expect to see. More of the same.  Nothing has or will change.

But good news, - the markets will likely go up


----------



## The_Tosser

WooHoo, buying back vix spread, sellin' calls against long 5yr notes.

rofl

WSOP baby  That's all it is.


----------



## The_Tosser

The_Tosser said:


> WooHoo, buying back vix spread, sellin' calls against long 5yr notes.
> 
> rofl
> 
> WSOP baby  That's all it is.


lol +$500 per spread on a trade in 3 hrs and back to full-sized "core" to boot. So much opportunity.


----------



## The_Tosser

The_Tosser said:


> *OK Fute's account position update..*
> 
> We were @ a 'core' cost of -$68K the last we calculated everything.
> 
> The roll has been completed, albeit legged, with both sides hitting a credit.
> 
> We've rolled to June-Sept pairing. A bit unorthodox but we'll have a chance i am sure to squeeze this pair closer. I am assuming I'll get a chance to nudge June to July. If not, no worries.


With any luck we'll get a market beat-down enough to allow for the June-July roll for even money or pie-in-the-sky credit soon.


----------



## The_Tosser

The_Tosser said:


> lol +$500 per spread on a trade in 3 hrs and back to full-sized "core" to boot. So much opportunity.


This gives me a thought.

I'm half doing this anyway in the occasional fute's account summary, but admit i am not one to dot the "I's" and cross the "T's". $500 per here, $300 per there, it soon adds up. How much?, hell I don't know.

So I though i'd keep track for the rest of the year to find out. Again we're more or less doing it anyway but i thought i'd do it a little more formally just for shits and giggles.

I can't (can't be bothered to) add it up to this point for 2016 but from this past Monday i can.

The great part about vix is its mean-reversion properties. The next great thing about it is the available opportunities to scalp monies out of it on a daily basis. The volatility has enough volatility to be a great trader. This is what i mean about so much opportunity and it is this that I'll keep track of.

So far this week, we've taken 4 vix-spread scalp-trades with an average 'win' of just over $310 per spread, per trade. Max $500, Min $100. This is the type of info i am looking for.

I won't be giving trade by trade plays as there's just too many. the ones i do will go towards the "Core" and the ones i do not i'll keep the stats on and report here and there as it warrants.

Tonight the market is getting shitty and US T's are rising but it's all very dicey. I'd like to see this continue for a week or so. I still would prefer to roll the long front month vix Junes to July and this spread hasn't tightened one bit.

The "Core" vix-spread 2016 premiere trade is still sitting around -$65.40K, making it +$3K per spread on the year. I have full-core again and zero trading positions on.

Come and get me Mr Market, lol.

EDIT: 

ES @ 1990 area where it has been bouncing around for the past 4-5 days. 

Tomorrow @ 8:30AM EST the ECB has its monetary statement so things should be interesting. It's a tough call here. Therefore, no vix trading positions.

Also we'll get the US Fed Budget Balance @ 2PM EST. It's going to be real fat given the data we have to this point. By fat i mean a nice, juicy deficit :smilet-digitalpoint

Keep your trench coat to the side - you never know when you'll need to clear your side-iron. Jerk that smoke wagon. irate:


----------



## The_Tosser

The_Tosser said:


> ......
> EDIT:
> 
> ES @ 1990 area where it has been bouncing around for the past 4-5 days.
> 
> Tomorrow @ 8:30AM EST the ECB has its monetary statement so things should be interesting. It's a tough call here. Therefore, no vix trading positions.
> 
> Also we'll get the US Fed Budget Balance @ 2PM EST. It's going to be real fat given the data we have to this point. By fat i mean a nice, juicy deficit :smilet-digitalpoint
> 
> Keep your trench coat to the side - you never know when you'll need to clear your side-iron. Jerk that smoke wagon. irate:


LMAO, Yep 

Pull your pistols!


----------



## The_Tosser

Trying her here @ -$65.95K 1/4 size core, for a trade.

ES 1977

I'll exit @ -65.60K if i can get it by the close.

2PM EST news pending.

ES support way down there 1964 area.


----------



## The_Tosser

The_Tosser said:


> Trying her here @ -$65.95K 1/4 size core, for a trade.
> 
> ES 1977
> 
> I'll exit @ -65.60K if i can get it by the close.
> 
> 2PM EST news pending.
> 
> ES support way down there 1964 area.


Late post but price hit as per above, actually a bit better as it turns out, exit trading position @ $-65.55K for +$400 per spread......did i mention a LOT of opportunity trading vix? lol 

ES 1988  Pistol's flaming :biggrin:

FUTes account update then. ....... @ 1/4 core size for the trader, we now have a *fresh core cost of -$68.50k*


----------



## The_Tosser

The_Tosser said:


> Also we'll get the US Fed Budget Balance @ 2PM EST. It's going to be real fat given the data we have to this point. By fat i mean a nice, juicy deficit :smilet-digitalpoint


lol Look @ that fat number. Largest deficit for a month in a long time. Enjoy your gains from it.. lol *$192.6B*BBBBillion deficit for the month of February... :smilet-digitalpoint


----------



## The_Tosser

The_Tosser said:


> This gives me a thought.
> .............
> 
> So far this week, we've taken 4 vix-spread scalp-trades with an average 'win' of just over $310 per spread, per trade. Max $500, Min $100. This is the type of info i am looking for.
> 
> I won't be giving trade by trade plays as there's just too many. the ones i do will go towards the "Core" and the ones i do not i'll keep the stats on and report here and there as it warrants.


Along side the "Core" + called trades since (adj cost $-68.50k), we've done the following.

Added to the quoted above 4 trades, were 2 more 1/4 core sizes which makes for this week, 6 trades with an avg profit of just under $360 per spread. Since all trade are 1/4 core, if we were to add this to the core we'd get a 'new' cost of $-69.04k

Again we won't because i haven't called those particular trades. I'm just showing these stats to keep track of the availability of trading opportunities and their impact. Obviously we went 6 for 6 this week. I'm giving the update now since i doubt I'll be making more trades today, Maybe, but i doubt it.

Current price of the vix-spread is just about $-64.40k, making the core up about $4K per spread. Hell our trading positions on it are almost that  I'd like to see +$10K per spread on the core in the next few months.


----------



## The_Tosser

OK now bonds are getting were i like them a lot better. There's still risk to be sure given rate hikes on the horizon, but we've reached an 'add' point here but as prev mentioned I've sold (and held short) all the calls from much higher prices - thankfully! lol.

The short-calls expire next Friday and despite the gain in them i've no reason to cover.

5 yr fute's @ 119'182 currently.


----------



## The_Tosser

The_Tosser said:


> Current price of the vix-spread is just about $-64.40k, making the core up about $4K per spread. Hell our trading positions on it are almost that  I'd like to see +$10K per spread on the core in the next few months.


OK so lets put this trade in some perspective. 

Some of this info i think i have given before but its worth a thorough going over in some detail given we've got some trades and profits going on to work with.

Clearly you have to do this type of trading in a margin account. No TFSA, RRSP stuff - I'm speaking specifically to the "Premiere 2016 vix spread trade".

I have given some ballpark numbers to give some scope on sizing. First off "Armageddon" could leave a single spread pair with $35K draw-down and margin per spread is about $15k.

In sizing this trade up i feel that a minimum $100K account be used and exclusively for this trade. No side bets or other margin/cash robbing trades.

I have tested this trade many times in the past with $100K accounts so can attest it can be done. A bare minimum trade is 1 set and the maximum is 2 sets. Any combo in between is good, and where i played it. I generally held 1 set and traded a 2nd set around.

This is typically good for 20%-25% a year on OK years and a max of about 25% to 30% on good years (which will always follow shitty years) I am generally decent in predicting the next year based on the prev year as well as overall market conditions. Beside that the range of returns is decent enough that it really doesn't matter a whole lot if you're right or dead wrong anyway.

I've given projections on this trade in the past and when in $100K testing mode and have been pretty accurate just the same. I am predicting for 2016 for us to hit that 20% area (lower bound). Who knows.

So let's use the 2.5 months in 2016 that we have traded and have got numbers on and size it to $100K to see the return thus far. Pretty simple math. 2 sets max, with $4K current gain per set, Bingo, there's your 8% for the year. Take it, move to GIC and gain another % or two, Done, if that's' what you want. Not me, but it's a thought.

Let's look at the most conservative approach. 1 set @ start, hold - sit on it and do jack else. OK you're +4% - the last i checked that is beating all benchmarks for 2016. TSX, SP500 etc...

Trading a portion of it around, which is what i do hasn't made the 8% tops any better, but it has greatly increased your adjusted risk numbers for that same 8%, which do matter to me a lot of the time. This is not to say i want great looking risk-adjusted numbers but have the returns that suck......nope. That's not me at all. That's emphasizing the wrong side of the coin if you ask me, but where it counts, being smart about earning outsized returns, i want equal matching risk assessment numbers where possible.

This should give you a decent perspective on what has been accomplished, 2.5 months into 2016 and this return has been made as per all called-out trades with time stamps. Perfectly verifiable for those that desire to do so.

My desire here is to clearly point out that most of what you think you know, if it aligns with mainstream financial 'think' is pretty much, provable bullshit. Yes, you can beat the market. It's been proven for years, yet still to this day most think you can't (but secretly try to anyway, lol)


BTW, i think we we sell the rest of the day and continue to sell into next week......

ES 2002

EDIT:


To further that last comment, i am holding a full core so if wrong, will make money on it. If right, the long bonds will go a long ways (most likely but correlation is not 100%) in reducing the draw-down on the core. I'm waiting for better risk-adjusted chances. Anyone that plays poker knows you fold shitty hands sooner than later. It's no different. Short-vix odds suck at this point, in the short term.

We pull the pistols when we have a good chance, and duck out when it looks poor. Vix give you likely 5X more chances for a favourable gun-fight than any else i know. 6 for 6 this week alone, and i can assure you it ain't me, it's just a quality trade. If you really understood why, you'd run screaming away from what you've been doing your whole life, lol. :cower:


----------



## Rhaegar

Started following this a little late, like what you're saying but I'm missing some of the pieces. I get what you're doing but you keep referencing some other thread where I assume you explained all of this in more detail: "premiere 2016 vix spread trade"?

Tried doing a forum search, cant find anything.

If you could point me to it that would help me follow what you're saying


----------



## The_Tosser

Rhaegar said:


> Started following this a little late, like what you're saying but I'm missing some of the pieces. I get what you're doing but you keep referencing some other thread where I assume you explained all of this in more detail: "premiere 2016 vix spread trade"?
> 
> Tried doing a forum search, cant find anything.
> 
> If you could point me to it that would help me follow what you're saying


Somewhere @ the beginning of this thread i started calling the vix-spread trade, my 'Premiere' vix trade for 2016, because, well, it's the primary trade that I am and will be holding. It is the only trade some accounts i run, have..

Long M3, short M5 in 1:4 ratio. I will push that out to M5-M7 or similar forward contract months depending on desires. I am currently in Long June, short Sept which is unconventional but i will "fix" it when we get a favourable trade to do it with, otherwise i will not rock the boat.... This stuff is more forgiving than your mama ever was.  

*V-O-P update while I am at it.*

= Vix Ouch Potato, btw,......... small footprint long XIV gained 4.5% today, back to $22. ZIV which is the majority of the account with 50% invested, 50% cash, gained 2% today to $38 area. (Price are as of 30min to close)

Once again we don't need to 'find', 'pick' the best stocks or any of that nonsense. We just trade what is effectively the SPX 'index' with some balls attached to it.

V-O-P account is RRSP, TFSA ready, trading vix futures etfs exclusively. Again these are the only traded vehicle in these accounts. We are fully dedicated to this end. I see zero reason or redeeming qualities of any other instruments, having traded pretty much everything under the sun, for decades. Our world got substantially easier once vix futures came to the forefront. This **** is literally hiding in plain sight with the retail crowd, rofl. :smilet-digitalpoint


----------



## Rhaegar

What do you do in V-O-P? hold XIV and ZIV in a set ratio and switch one or the other to cash in certain situations?

Vix trading certainly has some great properties, the main flaw of course is the risk of big black swan events that can completely wipe you out. So obviously you hedge either with spread trades, or with ETF's in your V-O-P


Is there a post # in this thread where I can read the full strategy of what you are doing?


----------



## The_Tosser

Rhaegar said:


> What do you do in V-O-P? hold XIV and ZIV in a set ratio and switch one or the other to cash in certain situations?


yes. All the trades for the entire year have been given in this thread. I ramped up to 50% holdings, 50% cash. From there i dipped into the 50% cash by buying XIV @ $16 area and sold it out at some point higher to get back to 50% cash.

From there what you've basically seen is me sliding up and down the vix futures curve adding more exposure to M1 during times of market turmoil, then sliding it back to ZIV after volatility has relaxed a bit. This is why we're ZIV heavy. It's a better risk-reward.

As to black swans.... 1.) We hold 50% cash so we're always ready in fact we're always over-ready since they are near extinct these days........

2.) this process made us 16% last year in V-O-P accounts, now i want people to remind me of how 'bad' it must have been even as XIV and ZIV lost approx 22% and 4% respectively, for us to have made 16%.......... Irrational fear is a bad thing. Understand risk-reward and having patience is a wonderful thing.........

btw last year SPX and TSX did what?? lol. Again i need people to remind me of how bad vix trading is,.......... maybe i am looking at a different set of criteria and charts  

Yes, you need to respect that XIV can get cut 80%,............ so you budget accordingly as we do. yes you may occasionally need a respectable constitution time and again. If it wasn't worth it, I wouldn't do it. I don't see anyone offering a better alternative that i haven't already looked at and dismissed as fatally stupid or is not just inferior in some way that i cannot overlook. :rugby:


----------



## The_Tosser

Gonna cut 1/4 'core' @ -$64.15k if i can get it by the close...


----------



## Rhaegar

yes I see that you've posted trades but I'm missing some background. 

In the OP:
Currently we're 25% ZIV, 25% XIV, 50% cash.

so that's great, I understand it.

But most of your trades that have to do with it it are statements like:
"Doing the XIV/ZIV swap-a-roo @ $1.52 for 1/3 of the position."


So I get that you are making moves 1/3 of the amount at a time, but what exactly does the "swap-a-roo" entail? Switching money between xiv and ziv? or cash and one of them? 

I don't know the rules of the game so I don't know what any of your trades mean.


Are you simply doing re-balances to 25/25/50% at set deviations? or are you using some other indicator to change your asset weighting of ziv and xiv?


----------



## The_Tosser

Rhaegar said:


> yes I see that you've posted trades but I'm missing some background.
> 
> In the OP:
> Currently we're 25% ZIV, 25% XIV, 50% cash.
> 
> so that's great, I understand it.
> 
> But most of your trades that have to do with it it are statements like:
> "Doing the XIV/ZIV swap-a-roo @ $1.52 for 1/3 of the position."
> 
> 
> So I get that you are making moves 1/3 of the amount at a time, but what exactly does the "swap-a-roo" entail? Switching money between xiv and ziv? or cash and one of them?
> 
> I don't know the rules of the game so I don't know what any of your trades mean.


Swap-a-roo I explained it prior to using the term, then gave it that name so i would not have to repeat......but i repeat 

IE Sold 200XIV and bought 100ZIV. The notional @ the time were near the same. I did the trade as a 'spread' price because it's the only thing that matters......... then when the trade went how i wanted it to, i reversed that trade and made the difference on the spread as i detailed. usuallyt around $0.90 area, or $90 per spread of 200X100 shares.

I did this multiple times up until i had sold out of all XIV and then i sat with ZIV @ 50% position (total) more or less.

I see i did add to XIV on the pullback and then dumped them out - this was last week or ?? I don't recall exactly but that is how i had some additional XIV. I don't own it now, i sold it all @ the close... $22. I just own ZIV in V-O-P accounts.


*For the record i missed $-64.15k 1/4 core sell*....... I go into next week with a full core in the futures accounts.............

btw2,.......... i do a **** load of trading over a half-dozen accounts on a daily basis... sometimes i do miss a post here or there... lol. The only saving grace is other than actual dollar size they all have the same 2-3 strategies. :greedy_dollars:


----------



## Rhaegar

The_Tosser said:


> Swap-a-roo I explained it prior to using the term, then gave it that name so i would not have to repeat......but i repeat
> 
> IE Sold 200XIV and bought 100ZIV. The notional @ the time were near the same. I did the trade as a 'spread' price because it's the only thing that matters......... then when the trade went how i wanted it to, i reversed that trade and made the difference on the spread as i detailed. usuallyt around $0.90 area, or $90 per spread of 200X100 shares.
> 
> I did this multiple times up until i had sold out of all XIV and then i sat with ZIV @ 50% position (total) more or less.
> 
> I see i did add to XIV on the pullback and then dumped them out - this was last week or ?? I don't recall exactly but that is how i had some additional XIV. I don't own it now, i sold it all @ the close... $22. I just own ZIV in V-O-P accounts.


As I said, I think the threads where you explained all of this are older, and the forum search doesn't seem to be working at all (your post history as well cuts off and only really includes this thread). I've skimmed through the early pages of this thread and clearly the explanation was in another thread as you go right into your trades.



So you adjust your % of Ziv/XIV/cash based on market sentiment, and right now you are 50% ziv and 50% cash, i.e you expect volatility has a higher chance of increasing than decreasing

So if there were a big market crash and volatility went through the roof, you would then start to sell the ziv for a big profit, and start phasing that into XIV and cash and move towards a 50% xiv 50% cash allocation? 

Do you go back to 25/25/50 in certain conditions as well?


Are you basing your decisions off of your knowledge of the various volatility instruments, or where you think the ES is going? or both (and bonds)?


----------



## The_Tosser

> So you adjust your % of Ziv/XIV/cash based on market sentiment, and right now you are 50% ziv and 50% cash, i.e you expect volatility has a higher chance of increasing than decreasing


well, if not increasing, then at least the risk is higher and ZIV will produce just fine all on its own.



> So if there were a big market crash and volatility went through the roof, you would then start to sell the ziv for a big profit, and start phasing that into XIV and cash and move towards a 50% xiv 50% cash allocation?


If vix spiked ZIV would be losing money so no 'big profits' there.

I would be swapping ZIV for XIV as vix rose, yes.



> Do you go back to 25/25/50 in certain conditions as well?


If vix continued to rise, yes, i would be all the way back to 25/25/50..........followed by using that 50% cash component to add to XIV - the same recipe, over and over and over and over and over..if it's not able to be done 1000 times successfully it's not likely worth doing even once.



> Are you basing your decisions off of your knowledge of the various volatility instruments, or where you think the ES is going? or both (and bonds)?


Experience with vix, modelling the hell out of volatility for years of data to get a deeper understanding of it. Bonds are sometimes used for a hedge to an already hedged vix bet, but bonds for hedges aren't correlated exactly as much as I'd like in some cases. This is why my premiere trade is vix spreads alone because they correlated perfectly all the time so expected result are much better known. ES Levels I watch without a doubt but i accept that we're getting a bit into the realm of ideas that i loath (calling market direction) so i take it with a grain of salt. This is what most people do, they trade 'Delta'. It's a horrible way to try and make a decent buck. It's a lame, one-dimensional look at life. Just horrible. Intelligent Humans should be above this type of stupidity.

As you've seen i also watch for market moving news such as Thursday's economic events in US and Europe where we killed it day-trading. That **** you may not know the impact ultimately, but it's worth knowing when it's coming out since you'll get extremes to play. That's all you need. 

It also helps to have a real understanding of economics which i suggest near 100% of retail investors do not have. Who would that be? Anyone worried about sovereign debt and the bill being left to their kids. "We can't afford it" mentality.

You truly don't need to hear another damn word from them. They're ignorant, move on....... Do you play chess? If you **** your pawn base against a decent player for no reason other than ignorance, are you likely to recover and win? This is the boat they are in. Fucked from the start. :stupid:


----------



## The_Tosser

Rhaegar said:


> So if there were a big market crash and volatility went through the roof, you would then start to sell the ziv for a big profit, and start phasing that into XIV and cash and move towards a 50% xiv 50% cash allocation?


This likely needs better pointing out as the ideas are different between VOP and futures accounts.

Futures accounts we go short-long. Volatility futures are higher $$ and more volatile to boot so the idea here isn't gaining leverage - there's more than enough of that to go around - what we want to do is model a process and keep losses under wraps or at least known o a large extent.

In the VOP accounts i don't hedge anything. I just short vix across the Term Structure (TS). that is, long XIV, Long ZIV - it's all short vix. I just lose more on one than the other, lol. That i can play with. The reason i don't hedge is there's not enough $$ to screw with, seeing as there's no real leverage so i don't hedge as i do in the Futures accounts. The 'hedge' is a larger cash component. That's the trade-off i have decided upon.

There's 1000 ways to trade vix. I've looked at 950 of them. I've decided on what i do. Others do things differently. I haven't shown everything i do in vix simply because I've not been in a position to take other vix related trades. When i do, you'll see another facet of the trade that i've also decided to use, when its time is right.


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## Rhaegar

My bad, I thought ZIV was long vix for some reason. Obviously its inverse.

SO you are just short VIX at all times. Dont you get hammmered if theres a volatility spike? Just keep buying xiv/ziv into it and make it back on the other end? And theoretically you come out ahead?


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## The_Tosser

Rhaegar said:


> My bad, I thought ZIV was long vix for some reason. Obviously its inverse.


Yeah i knew that 



> Dont you get hammmered if there's a volatility spike?


XIV lost 67% From Aug 2015 to Feb 2016

I didn't. In fact i made note i went into 2016 100% cash in V.O.P. accounts after taking home that 16% in a shitty year for short-vix. I'll be the first to tell you i was 90% lucky, 100% risk-averse.

lol.


What i mean is, I have no issues walking away from everything when risk looks very bad. That will save you a ton of grief. Most won't do it. Most would never walk away and go to 100% cash. I drive people nuts around here doing it, lol. They want me to put $$ to work i guess  I am the nervous-nelly, crying wolf. I don't have the hang-ups others do, is how i look at it.

Would i get hit more than a 100% invested couch-tater? Yes, so what? My trade is or will be good, will theirs? When? What's their expected return? As good as mine a year out? 2 years out?

What's the RISK-REWARD?

This is tough to model, but any decent gambler can see the risk-reward trading vix is off the chart good. If one can't see it after trying for a while, I doubt i can help them. So i dont' care what the draw-down is. I have that luxury most of the time. I try and limit it - cash heavy, more ZIV, no XIV, 100% cash if it's really bad odds etc etc....



> Just keep buying xiv/ziv into it and make it back on the other end? And theoretically you come out ahead?


Within reason, yes. notice i was still 50% cash right up until this last bottom in the market in February, where i finally added, and added to XIV at damn near the bottom. Who knows? Not me, but hey, with 50% cash where/when are you going to start?

This goes to economics at large. What does a crashing market serve? No one.

Go back to what i wrote those few days. Market in the shitter, bonds spiked high (I went short), commodities in the shitter every day for 2.5 yrs straight, world markets unraveling (See my updates on Japan) - i mean, wtf? buy it!

This is what people are too afraid to do. Doomers have gotten to them. You are literally getting less risk and cheaper prices, is this not a recipe for long gains? Respect and fear are two different things. Respect for the market i have, fear, not unless you count Feb 200[9] where i am pretty sure everyone was shitting themselves by that point, lol. :upset:

Are we likely to see another 2008 in our lifetime? Not too likely. Are we going to get one this year? Not likely as 3-4 weeks ago everyone seemed to be assuming it was coming, lol. fade fade fade..

Look, it's no different thinking than what i am doing right now.......... I am taking risk OFF. I'm the only guy you know that hates a straight up market  

Will i cry and piss and moan internally if i take risk off and the market keeps running? Yes.... But it will never change how i play it so in the end it's irrelevant what i think or what the market does.

I guess what i am telling you is yes i take hits in VOP when vix spikes but they are not as bad as you seem to think they are. I take measures against it. They are greater hits than stock, but the flip side is the gains are better so risk-reward works out much better than long-stocks/indexes. It's been proven for a long time now - i gave a few links in a long removed thread where studies on selling volatility have been done with SPX options, not to mention i have done and many others still do. It's not just academic, it's real. Its just not well known by retail because they live in a very small world where by design is meant to keep you as uninformed as possible.


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## Rhaegar

Oh I get what you are saying. I've been casually looking at volatility strategies for a while now, just haven't found one I'm comfortable with or had the time to really get the fundamentals down.


A few questions:

1) speaking of risk/reward, wouldn't long vix be the better deal? The way I see it fear has an infinite ceiling but a set floor. If you are long vix (assuming you buy it when vix is low of course and not when it's spiking) at worst you get a slow decline as the markets trudge on fearlessly, and at best you spike to the moon and make a killing.

shorting vix has a set ceiling but could theoretically be wiped out by any spike. Yes volatility tends to decrease over time, which is why your strategy works, but why not an allocation to long vix at least some of the time (like when vix has settled down but the market is in the midst of a pretty obvious potential technical correction that will likely play out over the next while)


Fear is always going to come and will always fade. Why not play both sides instead of just one?

2) Why not hold bonds instead of (at least some of) the cash? You get a small return and theoretically any time fear spikes they should get a bump too.


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## The_Tosser

Rhaegar said:


> Oh I get what you are saying. I've been casually looking at volatility strategies for a while now, just haven't found one I'm comfortable with or had the time to really get the fundamentals down.
> 
> 
> A few questions:
> 
> 1) speaking of risk/reward, wouldn't long vix be the better deal? The way I see it fear has an infinite ceiling but a set floor. If you are long vix (assuming you buy it when vix is low of course and not when it's spiking) at worst you get a slow decline as the markets trudge on fearlessly, and at best you spike to the moon and make a killing.


That would be nice, wouldn't it? lol. Unfortunately everyone would have this idea sooner or later so the market would have to take that 'free money' away from you. No dice. It's called Contango (and Backwardation being the inverse.) We use the term "Term Structure" - I shorten it here to "T.S." in this thread.

Trying to be perpetually long vix would serve you getting broke in a hurry. It's true that on spikes you win massively but timing truly is everything if you're going to swim against a monster current such as the vix term structure provides. The truth is nearly the exact oppostie of what you're saying. Thre is no "floor" to vix futures. Fall through the floor, below you is just another floor to fall through, and below that, yet another.... You're not trading vix-spot "Index", you're trading futures. big difference. If you want to trade vix index then see VXUP and VXDN. Don't bother trying it but if you do, read the prospectus or get me to explain it to you. It's a great sounding idea, it works from dist-to-dist date (monthly) but in reality it's full of real operational problems that makes it a waste of time.



> shorting vix has a set ceiling but could theoretically be wiped out by any spike.


I went over that in this thread already. Who is getting wiped out by a vix spike? Show me the mechanism by which this can happen? I gave everyone a challenge. Pick the worst day in 2008-09 crash and choose the worst M1+M2 combo that XIV could have had and tell me what would have happened........ No need I already know. The max single day loss in M1 futures etf's in 2008-09 was about 40%, after that it gets harder and harder to wipe you out in a single day, which is the fear mongers cry. Thiis is rubbish, touted by ignorant writing columns and believed by people that haven't bother to lift a brain cell to see if it's true.



> Yes volatility tends to decrease over time, which is why your strategy works, but why not an allocation to long vix at least some of the time (like when vix has settled down but the market is in the midst of a pretty obvious potential technical correction that will likely play out over the next while)


Primarily because you don't understand how damaging it is, 95% of the time to be net long vix. It's why you don't know why being long vix perpetually won't ever work. Vix-Spot (Index) is mean reverting, Vix futures are a trend-machine. If you take away anything from my blathering...... take that last (underlined) sentence and run with it. Ignore everything else. Learn the implications of that sentence.



> Fear is always going to come and will always fade. Why not play both sides instead of just one?


See my above answer. Try it for yourself. This is why thing seem so easy for people that don't actually do it and why they get a head full of bad ideas they swear will work and there's no talking to them... Try it and see. Do it for real. I'm not saying this is you, I am just telling you what i am up against with people that don't "Do" anything. You're better off just playing short vix wisely, than you are screwing around with long vix on any long term basis. You can play ratios IE long XIV vs long VXZ. That is more similar to my futures accounts ideas. Nothing wrong with that. I just don't bother in VOP accounts. Again i've looked at hundreds of ways to skin the cat. I have decided on what i do for reasons acceptable to me.



> 2) Why not hold bonds instead of (at least some of) the cash? You get a small return and theoretically any time fear spikes they should get a bump too.


So you're saying hold nice juicy, safe US treasuries, AAA types. OK, let use etf's IEI or IEF... damn i just lost 2% in 2 weeks..... being 'safe'. In the last 1.2yrs, 5 year bonds have netted out to 0% return as of this week. Nothing is a panacea. 

Look, what you're asking me to do is maybe hold GIC's with part of the funds. So what will i make this year, 1-2% lol. Why would i waste my time doing that when i can be about 100% sure i can make that with the available 'cash' trading XIV on monster vol-spikes? I do just that and i will likely make 10% instead of 2% on those funds. It's why I added to XIV again on that small spike we had recently. I think i called it that day "Shallow-dip" suicide. lol. We dipped in the market. Not much but given the strength of the markets I took a short-vix, made easily 5% and walked away. There's my 'bond' gain for the year, in 2-3 days. If interest rates were much higher you'd have a point and i would be doing it, but here? Screw that, it's wasting my time to even talk about it.

In the futures accounts however, you should have already read where i am long US 5 year notes (futures and short calls against them). 3 posts about it in the last 2 weeks from my recollection. It worth it there (maybe) because i can lever it. You can't do that in VOP accounts so it's a waste of time. If you want to see how i play vix vs bonds, search for the thread back in Dec 2015 where i made 3% on the account doing just that. This is what you're talking about. I think it was called "Notes over Volatility"

Trust me my friend, I do this **** for a living, You're not going to tell or suggest to me things i haven't thought of 1000 times. It's not talking down to you, it's just reality. You're just going to have to accept my word on it that i don't want to lose money any more than anyone else does  lol

When the time seems even close to where i would do something crazy like be net-long vix in some manner, I will let you know what i am doing. I do have a trade for that but i use it very sparingly because it bleeds to death for 100 days to make it back in 2-3 days. Again, I get the asymmetry of vix trading. The only reason i do it is because i have found a way that makes it just palatable enough to do it in conjunction with a few other trades and then take if off my screen so i don't have to watch it die a death by 1000 cuts... lol. I hate it so much i often miss it entirely. Even when you get it right, it never make you look good. You never feel happy about it even when you make money. It's such a *****, lol.

What have i learned, or maybe relearned for the 50th time, just in case you think I don't actually think about these things anymore? Yes it would be this hard-learned idea. That regardless of how much i hate it, I really should place the above trade on. It's the toughest vix-related trade i do - when i do it at all.. It's such a dog and i am never comfortable with it. It's just completely backwards to my whole thinking. But forcing yourself to do good things you've palnned out when they feel so wrong will indeed make you a better trader.

Pheew, do I have to do a Hail Mary or two now? lol. That felt oddly like Confession..

I will tell you this though. If you want to be short the market vs long vix....... you've got it right. Long vix is a much better play when timing is really wrong or not. (All else equal). Either way being net short ES or net long VIX is a tough road and you will not win if this is your long term stance. The further away you can get from directional betting the market, the better off you are.


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## The_Tosser

> "Fear is always going to come and will always fade. Why not play both sides instead of just one?"


Just to add to this. 

In Futures accounts we do. I trade the term structure around based on volatility itself. I don't alter the ratio (which i could if i wanted to or felt the need to) but i may do what i am already doing, shifting that front month up or down.

In VOP, again in some sense i do this as well. This is where the swap-a-roo comes from. I am indeed playing the TS as vix ebbs and flows.

I know this is not what you really mean. You really mean why am i generally never net long vix. OK i gave that answer, but to suggest i don't play vix rises and drops within the context of what and how i trade would be to miss a fair part of what i am already doing and showing. This is my 'version', my 'answer' to playing the other (long) side of vix.

I hope that clears things up a bit more.

Good chatting with you, "*Rh+*". Ya gotta give the cool kids Nick-names


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## Rhaegar

Actually I'm Rh negative

Thanks for the answers, sorry if my questions seemed a bit silly.

I was never suggesting being perpetually long Vix, just that there may be times where a short term allocation makes sense. Yes that involves market timing, but it sounds like a lot of what you're doing here is a form of timing as well. But hey, I suppose if you are going to make a gut move, going all cash is about the best one you can make 

You're right, short vix is safer and you appear to have a good system going that works for you.


Finally found that other thread of yours, buried about 8 pages in. Maybe now I can go back a bit and get a better handle on what in the hells you are talking about.


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## The_Tosser

Rhaegar said:


> Actually I'm Rh negative


lol so noted.



> Yes that involves market timing, but it sounds like a lot of what you're doing here is a form of timing as well.


Yes, but in my case if the market timing is wrong, i still make money or gain some other edge in the process. That's the way to be wrong. IE if i sell XIV and hold ZIV and vix drops more (when i expected a vix rise) I'm gaining anyway - just not as much or necessarily in the same way. The plan is get short vix or more short vix, but pretty much never long vix  When i do decide to get long vix i know it's going to lose for months on end in most cases. I don't know, is that timing or is it just trading a plan, being hedged and letting it play out like it has for year and years?

My individual trades (1/4 core size) is indeed short term timing of the sort. I have no worries with this. I'm not against attempts to 'time', I'm against Oujia board and Elliot Wave type mentality. Big difference and you'll note you see no-one doing the trade frequency here using those means. I don't rely on 'timing' as it's not going to work unless the trade itself has some edge that you can exploit over and over again. Why i can have a decent win rate is not me, it's the edge that this trade gives. It properties are favorable to long term and short term outlooks.

EDIT: 

You gave me cause to go over some studies last night that i have seen and duplicated years ago and yes i can attest that on a per trade basis, given the conditions were right for those studies, a long vix trade makes significantly more money than the short vix trade, but the short vix trades come much more frequently. The logical take home is we should do both. The human bit inside us states we'll not likely ever be comfortable trading the long side. Thankfully it's a rare trade. My 'long vix' trade is looked at in this same light. 

The logic being we are not completely logical. We live on a gradient. Just admitting this is a step toward logic in the first place. Logical thinking will take you a long way in trading. If you think you have a trade plan, i suggest you try and break it. Yes, find a way to debunk it. When you exhaust that and if it's still favourable, then maybe you have a trade plan that's worth executing. You won't find too many of those that have real value.

While you're executing the ones that have passed your test, start the process of finding another trade plan over again. You'll find you'll be tossing away great plans just because you've found better ones. Having an excess of good and better plans is a decent place to be.

So go forth "*Rh-*" and stake your claim. FYI it may be called obsessive, i'll leave that for you to decide, but i think of vix trading pretty much 16 hrs a day, 7 days a week. I'm constantly searching for holes in my plan and ways to plug them. I'm never satisfied. If you come up with an idea, i'll run with it. I'm doing the same for others. That is what this thread is for. I don't ask for anything in return. The process and personal results are all i ever needed. Too bad i am not 20 anymore  Oh well, pay it forward. Don't let it be lost to time. Re-inventing the wheel takes too long.


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## Rhaegar

Great stuff, thanks for all the insight. 

I've actually been spreadsheet theorizing XIV to cash and back type strategies for quite a while. Silly me, never really thought to just go 50% cash and allocate like a regular portfolio with re-balancing. Ran some basic numbers on what you're doing in the V-O-P and was quite impressed. 

So I'd like you to clarify some of the "rules" if you can:

Seems to me that the "core" position is 50% cash, 25% each ZIV and XIV. Is that fair to say?

When you want to take risk off the table, you swap some or all of the XIV to ZIV, and at the extreme go 100% cash. At the other end do you sometimes go heavier XIV; and do you ever go all out and exceed 50% (i.e heavier or even fully invest your cash into ziv/xiv)

I'd love for you to give me some straight up rules for why and when you make any of these moves (wouldn't it be nice if life worked like that), but it seems a lot of it is based on experience that you have and I lack, and I'll just have to keep following this thread. So failing that..


How often do you simply re-balance? Do you wait until you decide to adjust the allocations, or do you re-balance as you go (i.e get the cash back to 50% at set deviations). Or do you have short term targets in mind that trigger you to make changes?


A couple scenario's that might help:

1) Say the market is in a long bull phase and volatility is calm for an extended period, so short vix is doing quite well. Do you just let it run for a while or carefully re-balance at set intervals? Would you be more aggressive and swap ziv into more xiv?


2) You are sitting in the core 50/25/25 mix and a big volatility spike catches you completely off guard. Is your only/best option to aggressively re-balance into it? Would you change the mix at all or stick to 50/25/25? (assume things stay choppy for a while and don't give you an easy recovery). Or do you shift to 50% cash/xiv and rebalance that into a recovery?


3) Volatility is being choppy, and just bouncing around a lot but not really spiking too high. Do you try to play all the short term tops/bottoms with rebalancing and/or asset mix swaps? or do you leave it alone, just re-balance at set (not too frequent) intervals and wait for it to settle down? Or does this usually mean trouble and better to go heavier cash for a while?


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## The_Tosser

Rhaegar said:


> Great stuff, thanks for all the insight.
> 
> I've actually been spreadsheet theorizing XIV to cash and back type strategies for quite a while. Silly me, never really thought to just go 50% cash and allocate like a regular portfolio with re-balancing. Ran some basic numbers on what you're doing in the V-O-P and was quite impressed.


One at a time, just a stream of thought as i read what you're saying.

Spread-sheeting XIV. This won't get you very far and here's why. When you're looking @ futures - any futures, you're dealing with two issues, statistically speaking. What you're doing there with XIV is a form of stat's analysis and most everything I do is stat's based so you need to know this info right away so you don;t waste your time 'studying' what could be pointless things which will bring you to a faulty conclusion without a doubt.

The two things to keep in mind when studying futures price series are that you can look @ them either with or without the roll-costs. Some platforms call it 'back adjusted or non-b-a'. You have to know when looking at a "continuous contract" how the numbers have been derived. In the case of XIV and in fact all VIX etf's you're dealing with back-adjusted continuous contracts. That's fine as it gives you your PnL, but it is wholly useless for deriving a trade plan/trigger mechanism which is likely what you're looking for. You actually want both 'views' but you have to derive the price series two different ways to get each view separately. There's no other way.

You can't get the 'non adjusted' view with vix etf's and there's no real way to back out those numbers. You have to go straight to the futures contracts themselves.

btw I am no math wizard nor do i have any advanced education in it on any formal level. I say this to point out the obvious that i will/may use terminology that would make a 'mathy' person cringe. I don't care as long as my main point has gotten through. When I come up against a math problem i can't solve i will fit that square peg in the round hole via judicious use of a large hammer. I know enough to know where i want to get and if it takes some brute force to move forward with a model i have no problems getting dirty. We're building a trading model to make money, not looking to get a Nobel award. Since we're going to use statistical testing, we have to know when we're making egregious errors. It starts immediately when trading futures that you have to make these distinctions that I've given you.

This is not much different than trading Options. Once a person decides to get even remotely serious with options they begin to understand the assumptions that the BSM model makes. Primarily fixed Volatility and Normal Distribution. Both will prove to be 'wrong' to some greater or lesser degree, but there's no other way to move forward so you take what you have and understand where the skeletons are buried. You don't need to be a math wizard, you just need to have a decent working understanding of whatever it is you're looking at. Stat's analysis is 10X harder than understanding the BSM model. Are you ready to get dirty? 

P.S. I will note that it was the BSM model that first got me interested in trading the single input of 'volatility' without the other variables. I realized it was those other variables that are the pain in the side of any stock and/or stock-option trader. I realized this because i used to trade those instruments. We all come up the same way. Some just decide to take it another step or two. In mid-2000's we were given that opportunity in a manner that made it incredibly easier than the mangle of options you would have to place on to simulate what you were looking for.


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## The_Tosser

Rhaegar said:


> So I'd like you to clarify some of the "rules" if you can:
> 
> Seems to me that the "core" position is 50% cash, 25% each ZIV and XIV. Is that fair to say?


No.

Let's make the distinction. I am running 2 different plans here. My futures plan and the RRSP, TFSA (V-O-P) ready plan. When i speak of "core" it's only in the futures accounts.

My VOP (Vix Ouch Potato) is a passive (nearly) 'sit on it' concept. As close to ouch-potato as i ever get. It has no 'core' position. It happens to be whatever it is given my market outlook and level of vix itself. I've ran the V-O-P accounts several different way. I actually think a previous idea is better than what i am doing now, but being a VOP and frankly given dollar size differences between the different accounts, it's a 'good enough' idea without spending time developing ideas for it vs my primary goal of developing ideas using futures. I really should spend the time and if this was a perfect world i guess I would, but it's not and time is not completely free. I mentioned that being long XIV vs long VXZ is a decent idea. I should go back to that model because it's likely better, but it's also more work to administer.


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## The_Tosser

Rhaegar said:


> A couple scenario's that might help:
> 
> 1) Say the market is in a long bull phase and volatility is calm for an extended period, so short vix is doing quite well. Do you just let it run for a while or carefully re-balance at set intervals? Would you be more aggressive and swap ziv into more xiv?
> 
> 
> 2) You are sitting in the core 50/25/25 mix and a big volatility spike catches you completely off guard. Is your only/best option to aggressively re-balance into it? Would you change the mix at all or stick to 50/25/25? (assume things stay choppy for a while and don't give you an easy recovery). Or do you shift to 50% cash/xiv and rebalance that into a recovery?
> 
> 
> 3) Volatility is being choppy, and just bouncing around a lot but not really spiking too high. Do you try to play all the short term tops/bottoms with rebalancing and/or asset mix swaps? or do you leave it alone, just re-balance at set (not too frequent) intervals and wait for it to settle down? Or does this usually mean trouble and better to go heavier cash for a while?


1.) This is a tough place to be in. I can tell you my tendencies and my experiences. That's about it. I tend to take profits where I have gained experience that i should let them run - usually  lol. Welcome to the world of trading. You're never going to hit it 100% so it's time to get over the idea. Let's use real world. Back in mid-2014 it was 'statistically clear' to me that the easy money being short vix was over. Looking @ XIV i guess i was right. We double-topped mid 2014 and mid 2015. I could explain, but i'm not going to. It takes too long. Since then (mid-2014) i was more cautious and shied away from being heavy XIV at all. My 2015 gain in vix short was because i was cautious until it made sense to be less so. I simply look at risk-adjusted reward. If risk is high, I am gone and i don't give a **** how much something runs up in my face without me in it. This is volatility, you'll get your chance, believe me.

2.) I swap-a-roo until i get to 50% cash and 50% XIV and 0% ZIV, the i reverse that process as you've seen me do here 5-6 times. If we keep spiking in volatility, i add only to XIV and eat into that 50% cash base. I've done that only once here. I take a good return out of that if i can get it and then go back to 50% cash, then swap-a-roo back to 50%-25%-25%, then 50% cash, 0% XIV, 50% ZIV. This has some good properties to it. Properties? Look @ the long term returns of VXX vs XIV, its mirror opposite. Are the symmetrical? No? Why? Which one gets hurt more? (short VXX vs long XIV) and what can you do to lessen the blow of what causes this asymmetry. It's these hiding in plain-sight issues that i work with. This is why swapping around like this even if not perfectly timed does indeed have great value. You just don't see it day to day.

3.) In a sense this answer is the same as # 2. If the bounces are not great, like recently, i just leave it alone. V-O-P.!


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## Rhaegar

Thanks. Obviously I'm more interested in a vop for my tfsa. Don't have a margin account and don't have the time to be that active. 

I'm about halfway through that other 40page thread of yours and starting to get a handle on what your up to. Doing my homework. 100% cash, don't trust this market at all right now. I've made a few nice scalps recently but something is brewing


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## The_Tosser

Rhaegar said:


> ......... but something is brewing


I find it hard to disagree with you, but here's the rub.

From my model, the level of vix and the pent-up coil spring that it is, is only partially unwound. Vix just has that characteristic that we easily under-estimate its potential to unwind. It's impossible to 'see' on the etf's, but impossible to miss when you're looking at the term structure.

This is how you can become of two minds quite easily. On one hand i am all in your camp. We did get a "V" bottom even as i thought we would not. I still think we need to pull back. On the other hand, the TS is ripe to give good things and will do so unless the market does unwind. Slightly wobbling here and there is not enough to undermine the coiled spring that vix still is at the moment.

Since this is where we're at, and am forced by the model to be short vix, but i am giving a bit more than lip service to expecting a market drop with enough substance to warrant being hedged (VOP accounts) in some manner, meaning yes stay short vix, but do it via ZIV and not XIV.

Example: I wanted exit 1/4 core in Fute's account @ $-64.15 on Friday. Well the market is unchanged-to-down today and i could easily get this price. Vix unwinding. It's tough to let it go.

As it turns out Bonds are getting a lift (something is brewing?) So I'm way up on the day on both vix and bonds...I'm sitting on my hands. Generally speaking If vix hurts, bonds will win. So far today I am getting gains form both. I'm not inclined to upset the apple cart until i get a real reason to.

EDIT:

Oh hey here's another reason to go psycho. Recall that net-long vix position i spoke of on the weekend? Yeah, it's not even close to be asking to be put on. Gotta stay short vix............ I have no choice. It's been shown time and again that overriding a 'model' every time you feel like you should, is rarely the best thing to have done. Knowing this doesn't make it any easier


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## Rhaegar

The_Tosser said:


> Since this is where we're at, and am forced by the model to be short vix, but i am giving a bit more than lip service to expecting a market drop with enough substance to warrant being hedged (VOP accounts) in some manner, meaning yes stay short vix, but do it via ZIV and not XIV.
> 
> EDIT:
> 
> Oh hey here's another reason to go psycho. Recall that net-long vix position i spoke of on the weekend? Yeah, it's not even close to be asking to be put on. Gotta stay short vix............ I have no choice. It's been shown time and again that overriding a 'model' every time you feel like you should, is rarely the best thing to have done. Knowing this doesn't make it any easier



I don't disagree with you, I'm just not inclined to start fresh positions right at this moment, when I see better opportunities ahead.

Besides, I'm still doing my homework.

EDIT 

Do you put any stock in vix/vxv ratios? Seen quite a few papers suggesting it as an indicator for cash vs short vix


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## The_Tosser

Rhaegar said:


> I don't disagree with you, I'm just not inclined to start fresh positions right at this moment, when I see better opportunities ahead.


There's no way i would start a position now. No chance in hell. In fact the exact opposite if a gun was to my head.

How?

Here's how. Just dumped 1/4 core.... +$4.35K per spread.


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## The_Tosser

Rhaegar said:


> Do you put any stock in vix/vxv ratios? Seen quite a few papers suggesting it as an indicator for cash vs short vix


Yes. 

There's a whole school on that thought. I have used similar in the past for real trades. I like the idea.


----------



## Mechanic

Thanks for your wisdom. Just read the whole 20 pages. Have been a frequent user of both XIV and VXX but am realizing the error of that strategy and have had some nasty hits when I got it wrong. Going to find the other thread too. Currently short vix, holding XIV but I need to bring ZIV into play. I also need to get better at taking a loss, lol.


----------



## The_Tosser

Rhaegar said:


> Obviously I'm more interested in a vop for my tfsa. Don't have a margin account and don't have the time to be that active.


OK got it. If i were to suggest something, it would be to not do what i do in my VOP's. I am about 100% sure there are better methods including ones i have used in the past. I mentioned XIV vs VXZ. Since you can't be short in TFSA, you have to be long two instruments and since you are likely better off being long-short, you'll have to be 'long' a short product (XIV) and 'long' a long product (VXZ).

Let's look briefly @ why pair trades are a good way to go from a trading perspective - keeping it to TFSA 'rules' although the same, and more, is true in any account type.

Primarily pairs trading gives you some range parameters to live by. Ensuring they co-integrate well, you have yourself a respectable trade by all accounts. I mentioned several posts back (The one with the latest Tastytrade link) that Tom's gold-copper (Or maybe it was oil-copper?) was shitty thinking as a pairs trade. The reason is and this can be tested for, is it's a shitty co-integration. vix vs vix is clearly not going to break down like 95% other co-integrations/pairs can and will. I generally can tell you without any testing what stinks to high heaven as far as co-integration is concern. The major problem with 'pairs' is when they break down - they stop co-integrating. Now you don't have the trade you thought you did, in this case a mean-reverting strategy turned to ****. The entire idea behind most pairs is to turn some unknown 'mess' into a manufactured mean-reverting process that can be harvested over and over - and have it not fall apart. That way the only thing trending will be funds into your pocket.

Finding the right vix etf parameters using vix futures to make this happen is a bit of work. Most of us ham-fisted knuckle-dragging traders just brute-force or 'rule of thumb' things to get it done with satisfactory results, so i can't tell you the exact ratio's to use. Running a proper analysis would give you closer to ideal.


----------



## Rhaegar

The_Tosser said:


> Since you can't be short in TFSA, you have to be long two instruments and since you are likely better off being long-short, you'll have to be 'long' a short product (XIV) and 'long' a long product (VXZ).
> 
> Let's look briefly @ why pair trades are a good way to go from a trading perspective - keeping it to TFSA 'rules' although the same, and more, is true in any account type.


Since when? I've never had any problems buying inverse ETF's in a TFSA, or puts for that matter. I know you can't actually short (like on margin) but I was unaware of any rule saying I cant use these etf's. If there is such a rule it's never been enforced by any broker I've seen.


I'm a bit confused, you've been saying all along that the V-O-P is what you use for TFSA and RRSP money...


----------



## The_Tosser

Rhaegar said:


> Since when? I've never had any problems buying inverse ETF's in a TFSA, or puts for that matter. I know you can't actually short (like on margin) but I was unaware of any rule saying I cant use these etf's. If there is such a rule it's never been enforced by any broker I've seen.
> 
> 
> I'm a bit confused, you've been saying all along that the V-O-P is what you use for TFSA and RRSP money...


You misunderstood the whole thing. 

You can 'buy' anything you want. You can't 'short' anything.

Co-integration is being long and short and since you can't be short, you have to 'buy' the inverse instrument, which gets you short the underlying.

Thus 'buy' XIV vs 'buy' VXZ as a pairs trade to that end.

I would just rather myself use cash as a large position and play the TS, and not co-integrate anything in my VOP's.

This is in direct opposition to my futures accounts where co-integration is key to almost everything.

I'm just giving you ideas to think about and placing mathematical names to them if you want to look them up and explore them further. 

There's 1000 ways to skin the VIX cat.

Even if it's not mathematically perfect, pick something that makes sense and that you've tested and are comfortable with. This alone is better than most are running with as we speak.


----------



## Rhaegar

The_Tosser said:


> You misunderstood the whole thing.
> 
> You can 'buy' anything you want. You can't 'short' anything.
> 
> Co-integration is being long and short and since you can't be short, you have to 'buy' the inverse instrument, which gets you short.
> 
> Thus XIV vs VXZ


Isn't the whole point of the V-O-P to be "short" VIX by being "long" XIV and/or ZIV?

Now you're telling me to pair XIV with a long VIX component, after spending several posts telling me never be long vix?


----------



## The_Tosser

Rhaegar said:


> Isn't the whole point of the V-O-P to be "short" VIX by being "long" XIV and/or ZIV?
> 
> Now you're telling me to pair XIV with a long VIX component, after spending several posts telling me never be long vix?


Yes, pairs trading is statistically a better bet. I don't in VOP for the reason given. I'm not going to defend it beyond that because it works given the high cash component. I'm just telling you what i do and my reasons for doing it. I'll also tell you the things that are not in many books "proper" about it. IN my own book it's not 'proper' and i will not ever do this in futures account. For one because of the leverage used and for two, direct futures is much much easier to model and trade.

Let me re-quote you again for emphasis because you're going to get your *** in a sling if you don't pay attention to the details.



> Now you're telling me to pair XIV with a long VIX component, after spending several posts telling me never be long vix?


Yes, that's what i told you, because i already know how you're going to end up. You're going to end up being nasty long vix at some point and getting killed in the process.

This is different than being intelligent about being short-long in ratio's previously defined by some process. This is completely different than what you're talking about. 

You are literally speaking about going straight up long vix. I am talking about spread/pairs trading it in a defined manner. I mentioned before that getting too close to directional trading is not a good thing.


----------



## Rhaegar

The_Tosser said:


> You are literally speaking about going straight up long vix. I am talking about spread/pairs trading it in a defined manner. I mentioned before that getting too close to directional trading is not a good thing.


I'm not sure what you mean. I didn't ask that, you're the one who brought up pairs trading

I want to do what you are doing in your vop, be short vix through inverse etfs as you've been describing all along.

You then started telling me not to, and saying I should do long /short pairs trading instead, which I've never seen you recommend before.

Edit
(perhaps you are confusing my hypothetical questions the other day about going long vix as meaning I want to do that. I've read enough of your posts to agree that's a bad idea)


----------



## The_Tosser

Rhaegar said:


> I'm not sure what you mean. I didn't ask that, you're the one who brought up pairs trading


Yes i did. Maybe i should not have, but i did.

The reason why is it is a superior way to trade that maybe you can study and use one day.

The reason why i don't do it in VOP is i have ways of making my 'inferior' trade work and it falls within the parameters of what most people want, which is V-O-P. You have no time to trade and watch? Then simple, do not be long vix.

Ways to cushion the blows have been given. They seem to work.





> (perhaps you are confusing my hypothetical questions the other day about going long vix as meaning I want to do that. I've read enough of your posts to agree that's a bad idea)


Yes, that is my major fear. It needn't be done at all when stepping away or scaling down might work better. If you do decide to go this route (long vix), you'd better have a good plan. (See long vxx, tvix, uvxy) ouch. That's definitely not a good long trade, lol.



> I want to do what you are doing in your vop, be short vix through inverse etfs as you've been describing all along.


OK, good. Just remember to have a nice cash component as the norm throughout once you start your process. Trade the term structure as best you can and respect the brutality of M1 futures and vix in general. 

While you're doing this with relative ease, start looking ahead to your next trade idea.


----------



## Rhaegar

The_Tosser said:


> Yes i did. Maybe i should not have, but i did.
> 
> The reason why is it is a superior way to trade that maybe you can study and use one day.
> 
> The reason why i don't do it in VOP is i have ways of making my 'inferior' trade work and it falls within the parameters of what most people want, which is V-O-P. You have no time to trade and watch? Then simple, do not be long vix.


Yes we discussed that a bit, how theoretically long vix is a better trade, those few times it makes sense and doesn't kill you. 

I like what you're doing with the VOP though and am satisfied studying that for now.


----------



## The_Tosser

Rhaegar said:


> I like what you're doing with the VOP though and am satisfied studying that for now.


OK so i will keep the comments to VOP.

Remember my first comment as to data snooping for trade ideas on etf continuous contracts. For instance, Feb 13, 2011 the M1 futures contract was @ the same level as it was today. Can you derive that easily from looking @ XIV?

I'm assuming this info would be useful to you, but completely inaccessible by how you're forced to look at it when viewing the etf's.

btw part of my willingness to 'jump' on to other related topics are because i can see you're doing your homework. When i see you asking about VIX/VXV ratio's as triggers, i know you're not sleeping on the job. Who knows what you're going to pull out of your hat tomorrow.


----------



## Rhaegar

The_Tosser said:


> Remember my first comment as to data snooping for trade ideas on etf continuous contracts. For instance, Feb 13, 2011 the M1 futures contract was @ the same level as it was today. Can you derive that easily from looking @ XIV?


First of all, that reminds me that as with any inverse or leveraged ETF, you should base trades off the underlying asset, not the product itself. 


Second, both days you mention are the weekend, so no, the ETF's are useless. But If I'm only trading them, I'm restricted to weekday hours anyway.


But I see what you're saying, all of the ETF's I'm aware of track either the vix spot price or some blended price of several months (short term, medium, etc). To see just the M1 prices I would need to look directly at futures.


So you're saying M1 is the same now as it was Feb 13th. So since spot VIX itself is much lower now than then, that means spot vix was above the M1 on feb 13 and below it now?


----------



## The_Tosser

Rhaegar said:


> First of all, that reminds me that as with any inverse or leveraged ETF, you should base trades off the underlying asset, not the product itself.


That's not true at all, but that is an entirely different math story and set of trades.




> Second, both days you mention are the weekend, so no, the ETF's are useless. But If I'm only trading them, I'm restricted to weekday hours anyway.


Dude let's use our heads, i don't care about the exact day, I am talking M1 vix in and about those days. Friday/Mon who cares, lets get the main idea here. It's nothing to do with weekday hours etc.




> But I see what you're saying, all of the ETF's I'm aware of track either the vix spot price or some blended price of several months (short term, medium, etc). To see just the M1 prices I would need to look directly at futures.


Now that's the main idea. Except that you can ignore the ratio of M1-M2 tracking since that is minimal. That's not what you need to focus on. What you need to focus on are Adjusted and non-adjusted continuous contracts when devising a trade plan. You only have access to adjusted pricing with XIV/ZIV which is wholly useless for trade triggering ideas by themselves.




> So you're saying M1 is the same now as I was Feb 13th. So since spot VIX itself is much lower now than then, that means the TS curve is much steeper today. So what does that mean to me? is it just that on Feb 13th, spot Vix was much higher than M1 indicating an inverted curve at that time (and a good opportunity to short vix through xiv)?



Like i've said 3-4 times already, viewing XIV only, masks your trade triggers so devising a plan with only XIV in mind is an issue. I don't know if that's what you're doing or plan to do, but it makes sense you would go down that route and likely are. It's a problem you need to be aware of, that's all.

EDIT:



> .........that means the TS curve is much steeper today


Another good point and since you brought it up i will expand the 'continuous adjusted contract' issue with vix etfs. You also have no idea what the term structure looked like using etf's, what the (for example) M1 M3 M5 spread is, which again will matter to you sooner or later. Again this is all the same issue with only looking @ the etf's. What i am suggesting is people gain access to vix futures to run any testing for trade ideas against. It's really the only way to do it well.

You either have to create the continuous contract yourself or if given it you have to know how it has been derived so you're using it properly. I'm just trying to shorten your learning curve.


----------



## The_Tosser

The_Tosser said:


> There's no way i would start a position now. No chance in hell. In fact the exact opposite if a gun was to my head.
> 
> How?
> 
> Here's how. Just dumped 1/4 core.... +$4.35K per spread.


Back in that 1/4 core, saving $600 per spread.  lol

$-64.65K

EDIT: Not that i don't think we go lower, but long 5 yr is working as a decent hedge and we're only talking re-taking the 'core'. I'll leave the trades for dirtier times.


----------



## Rhaegar

The_Tosser said:


> Another good point and since you brought it up i will expand the 'continuous adjusted contract' issue with vix etfs. You also have no idea what the term structure looked like using etf's, what the (for example) M1 M3 M5 spread is, which again will matter to you sooner or later. Again this is all the same issue with only looking @ the etf's. What i am suggesting is people gain access to vix futures to run any testing for trade ideas against. It's really the only way to do it well.
> 
> You either have to create the continuous contract yourself or if given it you have to know how it has been derived so you're using it properly. I'm just trying to shorten your learning curve.


All good points. I'll admit I have no idea where to look at the futures and would probably have no clue what I was looking at if I saw it.


----------



## The_Tosser

Rhaegar said:


> All good points. I'll admit I have no idea where to look at the futures and would probably have no clue what I was looking at if I saw it.


http://cfe.cboe.com/data/historicaldata.aspx#VX

http://cfe.cboe.com/data/dailyvxfutureseodvalues/default.aspx

Using these links you'd have to build your own continuous contracts. There are ready-made cont-contracts out there but i don't know where and i don't know if they give you the details IE Non-adj or if adjusted, when exactly they rolled etc.

This is where the data-mining starts. This wall of entry keeps most away  Good! lol. Making excellent returns should involve some work.


----------



## Rhaegar

The_Tosser said:


> Remember my first comment as to data snooping for trade ideas on etf continuous contracts. For instance, Feb 13, 2011 the M1 futures contract was @ the same level as it was today. Can you derive that easily from looking @ XIV?


Ok first of all, I glazed over and thought you were trying to tell me the Feb 11th 2016 M1 was the same as it is now. I've been trying to figure out wtf you were talking about since last night and now I realize, lol.


Yes, looking at XIV, which is about $22 today, and was over $150 in Feb 2011 according to google finance (was there some sort of split or major change to the ETF back then that google isn't showing?). So no, looking at XIV I would have no idea that the VIX m1 was roughly the same on those dates.

However all I need to do is look at the VIX indexes to see that it was around 17 then just as it is now. I can derive that VIX was roughly the same on those two dates just fine that way, and I'm well aware trying to use XIV to do that is useless.


You seem to have assumed I do all my analysis off XIV prices. I can assure you that's not the case. I'm aware though that the ETFs and listed indexes only tell part of the story though. My next step is to learn how to look at the futures contracts directly and what to look for.


----------



## Rhaegar

The_Tosser said:


> http://cfe.cboe.com/data/historicaldata.aspx#VX
> 
> http://cfe.cboe.com/data/dailyvxfutureseodvalues/default.aspx
> 
> Using these links you'd have to build your own continuous contracts. There are ready-made cont-contracts out there but i don't know where and i don't know if they give you the details IE Non-adj or if adjusted, when exactly they rolled etc.
> 
> This is where the data-mining starts. This wall of entry keeps most away  Good! lol. Making excellent returns should involve some work.


Questions:

I notice for 2016 there are a bunch of weekly contracts in addition to the monthlies. Should I ignore these for now and just look at monthly contracts?

When you refer to M1, M2, etc. M1 is always the shortest term, soon to expire monthly contract, correct? Once it expires what was previously referred to as M2 rolles over and becomes M1, etc?


If I'm going to be a spreadsheet nerd with this stuff, is the "settled" price good enough to use or do I really need to be looking at open/high/low/close?

Should I focus my analysis on M1-5 or so, or is it important to go out further as well? At first glance it seems to me that the spreads beyond M5 kind of level off, not sure if they are as important...


----------



## The_Tosser

Rhaegar said:


> Ok first of all, I glazed over and thought you were trying to tell me the Feb 11th 2016 M1 was the same as it is now. I've been trying to figure out wtf you were talking about since last night and now I realize, lol.
> 
> 
> Yes, looking at XIV, which is about $22 today, and was over $150 in Feb 2011 according to google finance (was there some sort of split or major change to the ETF back then that google isn't showing?). So no, looking at XIV I would have no idea that the VIX m1 was roughly the same on those dates.
> 
> However all I need to do is look at the VIX indexes to see that it was around 17 then just as it is now. I can derive that VIX was roughly the same on those two dates just fine that way, and I'm well aware trying to use XIV to do that is useless.
> 
> 
> You seem to have assumed I do all my analysis off XIV prices. I can assure you that's not the case. I'm aware though that the ETFs and listed indexes only tell part of the story though. My next step is to learn how to look at the futures contracts directly and what to look for.


Yeah XIV had a 10/1 split in 2011 i think it was,...

I'm not assuming much about anything on what you're doing. I'm merely pointing things out that you would need to know to figure out how to operate more effectively. If you already know it, great. Odds are you don't because you're new to this and likely futures in general. 

I try not to make too many assumptions, plus i've been around more than long enough to know when you ask about vix-vxv ratio's what you're doing and thinking so i know you're not just using the etf's. It's obvious to me, even if you think it isn't, lol.

Using VIX-spot is better but still is lacking because it doesn't tell you about the TS and then using only -spot- screws you on real PnL tests.

Once again you must use vix futures and look @ them both ways, if you want to maintain some sort of rigid frame-work and work with real-world data. Using spot prices are much better than nothing, by a long shot.


----------



## The_Tosser

Rhaegar said:


> Questions:
> 
> I notice for 2016 there are a bunch of weekly contracts in addition to the monthlies. Should I ignore these for now and just look at monthly contracts?
> 
> When you refer to M1, M2, etc. M1 is always the shortest term, soon to expire monthly contract, correct? Once it expires what was previously referred to as M2 rolles over and becomes M1, etc?
> 
> 
> If I'm going to be a spreadsheet nerd with this stuff, is the "settled" price good enough to use or do I really need to be looking at open/high/low/close?
> 
> Should I focus my analysis on M1-5 or so, or is it important to go out further as well? At first glance it seems to me that the spreads beyond M5 kind of level off and aren't as important...




I ignore weeklies because they haven't been around long enough. I trade them once in awhile on extreme vol-spikes.

M1, M2, M3 all the monthly contracts. Yes when M1 expires the old M2 is the new M1.

I go out to M7 myself, but i know there's hardly any working difference to speak of, much beyond M5. My main work is M1, M3, M5, and some M7.

If we get some incredible vix spike i may go short M1 and long M2 but there i go again talking non-VOP. I usually trade 2 month spreads to get something to work with, otherwise.

EDIT:


> If I'm going to be a spreadsheet nerd with this stuff, is the "settled" price good enough to use or do I really need to be looking at open/high/low/close?


I use end of day price (close) for most of my work that isn't going to be day-traded.

You've likely seen what i call the '4-20 trade'. That's an interesting time-frame. Since you're trading etf's i'm assuming you'll use close of regular market hours whereas the futures get kinda jiggy after 4Pm EST. They stretch a lot. sometimes for ya, sometimes against ya. It's usually a continuation of that days move if it big enough. Yesterday yes, today, not much movement so tough to say how it'll go > 4PM. we'll see soon enough.


----------



## The_Tosser

Fed Funds Rate tomorrow 2 PM EST

Looks like a hold consensus.

http://www.cmegroup.com/trading/interest-rates/countdown-to-fomc.html

Keep you mouse-clicking finger nimble. 

If I get a chance, i will scalp-out 1/3 of my long bond-short call spread.

Also be prepped for 8:30AM EST CPI news. This could be an opportunity as well.


----------



## Rhaegar

Did some playing around, made myself a few nice charts and graphs of the futures at the various M's. Only really looked at the past year or so, haven't had time to go and chart more than that. Pretty much see what I expected to see, based on papers and articles I've read. Normal term structures, inverted term structures, the way they stretch or compress during spikes and drops.

Also looked at the "spreads" between different months and made some charts with that. Gives a nice visualization of "normal" structures vs what happens to them during various events. I see why you've referred to this as a "coiled spring" before. 



The_Tosser said:


> If we get some incredible vix spike i may go short M1 and long M2 but there i go again talking non-VOP. I usually trade 2 month spreads to get something to work with, otherwise.


just to see if I'm understanding what you're doing there properly:

In that case you would be looking at an inverted TS where M1 has risen and is much higher than M2 (as opposed to normal TS where M1 is lower than M2). 

In order to return to a normal TS, either M1 must come down or M2 must go up. You are shorting M1 because it's more likely the TS will normalize due to M1 coming back down, and going long M2 as cover in case the spike runs a bit more or takes a while to settle.


----------



## The_Tosser

Rhaegar said:


> just to see if I'm understanding what you're doing there properly:
> 
> In that case you would be looking at an inverted TS where M1 has risen and is much higher than M2 (as opposed to normal TS where M1 is lower than M2).
> 
> In order to return to a normal TS, either M1 must come down or M2 must go up. You are shorting M1 because it's more likely the TS will normalize due to M1 coming back down, and going long M2 as cover in case the spike runs a bit more or takes a while to settle.


Yeah. this is on extremes so it happens very rarely. We're talking like last Aug 23rd or whatever it was. Limit-down before 9:30AM open that Monday. M1-M2 spread was crazy and not likely to remain that way.

It's pretty much a knife fight. Anything moves, swing at it and hope it's not a friendly  lol. It's a tough entry because no-one wants to give an inch so spreads are very wide. If you want in, you have to give. If it goes against you, all else equal you gotta add or walk away completely for an hour to two with a sell order in for a profit you would be happy with. Think fat.

What would take you a year to get out of M1-M2 trade you got in less than a day. I gotta tell you it's pretty scary and i am used to this stuff- supposedly lol. I was in some sort of fresh hell that day so it wasn't all smiles by any means but i honestly did do more on one series of trades in like 2 hrs? than i will make on it in probably 2 years (Only partly because i don't do the trade that often to begin with, but still...)

Just another war story to tell the grand-kids


----------



## The_Tosser

Rhaegar said:


> Did some playing around, made myself a few nice charts and graphs of the futures at the various M's. Only really looked at the past year or so, haven't had time to go and chart more than that. Pretty much see what I expected to see, based on papers and articles I've read. Normal term structures, inverted term structures, the way they stretch or compress during spikes and drops.
> 
> Also looked at the "spreads" between different months and made some charts with that. Gives a nice visualization of "normal" structures vs what happens to them during various events. I see why you've referred to this as a "coiled spring" before.


Can you post in a pic here of one of your months, say M1 'continuous' for the last year or whatever you have close to that length? 

I'm wanting to see (and maybe you know) are you looking @ it roll cost adjusted or not. (Back-adj or non-Back-Adj).

It would have to be M1, since i would bet a lot of $$ you've not got to making continuous M3 etc, yet.


----------



## Rhaegar

The_Tosser said:


> Can you post in a pic here of one of your months, say M1 'continuous' for the last year or whatever you have close to that length?
> 
> I'm wanting to see (and maybe you know) are you looking @ it roll cost adjusted or not. (Back-adj or non-Back-Adj).
> 
> It would have to be M1, since i would bet a lot of $$ you've not got to making continuous M3 etc, yet.


I am just using the closing prices off the spreadsheets downloaded from the CBOE site you linked. I havent adjusted anything for roll cost and don't know how to. Do I need to? Can you let me know how to do that?


I actually have M1 to M9 charted from Jan 1 2015 to present. It's actually pretty easy, once you copy the prices for each contract into it's own column and match up the dates by row, you just have to move everything over each month as the contracts expire, and you get continuous chart for each M.

Here's a basic example of how I organized the data:

from this:









to this:









And heres M1, 3, 5 and 7 graphed for the last year based on that data










Am I doing that right?


----------



## The_Tosser

Rhaegar said:


> ....
> 
> 
> Am I doing that right?


OK so far so good, we're on the same page. Now on to page # 2.

Let me ask you this. If you had bought M1 on your first date shown, and held it to the final date shown, what is your profit or loss?

Let's just use M1.


----------



## Rhaegar

The_Tosser said:


> OK so far so good, we're on the same page. Now on to page # 2.
> 
> Let me ask you this. If you had bought M1 on your first date shown, and held it to the final date shown, what is your profit or loss?
> 
> Let's just use M1.


17.85 on 2015-01-02

17.45 on 2016-03-14


Though clearly there's roll costs and other costs I'm not accounting for that make the loss much more than the 40 cents it would appear based on those prices, right? And thus why VIX loses money over time


----------



## The_Tosser

Rhaegar said:


> 17.85 on 2015-01-02
> 
> 17.45 on 2016-03-14
> 
> 
> Though clearly there's roll costs and other costs I'm not accounting for that make the loss much more than the 40 cents it would appear based on those prices, right? And thus why VIX loses money over time


Right.

So what you're looking at in your plots are Continuous Non-adjusted. As you can see, it's a mean-reverting look, just like spot. This is the view you use when you're deciding on your parameters to trade with, do your statistical analysis with, spread triggers, whatever else you want etc etc.

But to get your actual PnL, you have to adjust for as you say, those roll returns. You're making or losing on each roll and it is substantial with vix. This "PnL" plot is what you'd call your Continuous Back-adjusted view. Now you have to go back and make this new plot using the data you already have plus calc the roll-costs for each month and adjust it all the way. (don't do it manually, use software.) You only need a date and the roll cost for that month and it does the rest Or go out and find the Back adjusted data.

I know we were talking M1, but i happened to have M3 at my finger tips. Sorry about that. See the legend. "Blue" is 'real money', green is what you have already plotted. This goes back to Jan 2012.


----------



## The_Tosser

The_Tosser said:


> Also be prepped for 8:30AM EST CPI news. This could be an opportunity as well.







lol! Markets down, bonds down, reminded me of this tune..


----------



## The_Tosser

The_Tosser said:


> This gives me a thought.
> 
> I'm half doing this anyway in the occasional fute's account summary, but admit i am not one to dot the "I's" and cross the "T's". $500 per here, $300 per there, it soon adds up. How much?, hell I don't know.
> 
> So I though i'd keep track for the rest of the year to find out. Again we're more or less doing it anyway but i thought i'd do it a little more formally just for shits and giggles.
> 
> I can't (can't be bothered to) add it up to this point for 2016 but from this past Monday i can.
> 
> The great part about vix is its mean-reversion properties. The next great thing about it is the available opportunities to scalp monies out of it on a daily basis. The volatility has enough volatility to be a great trader. This is what i mean about so much opportunity and it is this that I'll keep track of.
> 
> So far this week, we've taken 4 vix-spread scalp-trades with an average 'win' of just over $310 per spread, per trade. Max $500, Min $100. This is the type of info i am looking for.
> 
> I won't be giving trade by trade plays as there's just too many. the ones i do will go towards the "Core" and the ones i do not i'll keep the stats on and report here and there as it warrants.


So a a week and half into actually tracking this sub-component, short term trade that i'm not calling out and not adding in any way to the "Premiere" vix pairs trade.

7 round trips, averaging $358 per spread, per trade. Last week we left off with 6 round trips so have done only one this week. I don't think I'l be doing any more so thought I'd update this now for the week. I have no trade related positions on. Just the 'core' which not even counting that $600/spread on 1/4 core trade called out previously, is up $4k/spread still.

As i mentioned @ the close last Friday, I think the market is due for a cooling off period. The vix trading has slowed as the ranges have narrowed.


----------



## Rhaegar

The_Tosser said:


> Right.
> 
> So what you're looking at in your plots are Continuous Non-adjusted. As you can see, it's a mean-reverting look, just like spot. This is the view you use when you're deciding on your parameters to trade with, do your statistical analysis with, spread triggers, whatever else you want etc etc.
> 
> But to get your actual PnL, you have to adjust for as you say, those roll returns. You're making or losing on each roll and it is substantial with vix. This "PnL" plot is what you'd call your Continuous Back-adjusted view. Now you have to go back and make this new plot using the data you already have plus calc the roll-costs for each month and adjust it all the way. (don't do it manually, use software.) You only need a date and the roll cost for that month and it does the rest Or go out and find the Back adjusted data.
> 
> I know we were talking M1, but i happened to have M3 at my finger tips. Sorry about that. See the legend. "Blue" is 'real money', green is what you have already plotted. This goes back to Jan 2012.
> 
> View attachment 8953


That's great to see it like that. 

Are these costs already accounted for in the various vix trackers and etfs? Is that why my unadjusted numbers don't jive with the vix index? 

Where can i get this info to update my numbers? 

And finally, is an inverse etf like xiv benefitting from the losses that these costs impose on the vix contacts? Is that what makes short vix successful even when vix itself is relatively flat?


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## The_Tosser

Rhaegar said:


> Are these costs already accounted for in the various vix trackers and etfs? Is that why my unadjusted numbers don't jive with the vix index?


Yes. This is it exactly. You are batting 1000%




> Where can i get this info to update my numbers?


 They're found within the data you already have on the futures. When you 'jump' from one month to the next to created say your M1 continuous chart like you have, there's a price 'gap'. That gap is your roll value, either positive or negative (Contango or backwardation).

That is your adjustment price. You have to get this every month and accumulate it over time. Thus the plot i gave you. This is how that one data series is calc'd. (M3Back) in the case of my plot.


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## The_Tosser

The_Tosser said:


> lol! Markets down, bonds down, reminded me of this tune..


lmfao covered short calls on the draw-down, just resold 5 yr calls on the Fed-Pop.

Mothafu**a, Holy **** what a win.

You gotta be in it to win it rofl :rugby:

EDIT: Of course, why did i not think of it sooner?


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## The_Tosser

Sellin' 1/4 core again. call it an extra $100/spread on top of prev core gain...

Gonna take some funds and run. We're running very hot on returns so it's time to peel out after shoring up everything on the 2PM Fed reports. I don't even know what was said, rofl.

This is why i mention these things the day before. It's your money play.

Fundamentals? roflmao.


----------



## The_Tosser

Rhaegar said:


> And finally, is an inverse etf like xiv benefitting from the losses that these costs impose on the vix contacts? Is that what makes short vix successful even when vix itself is relatively flat?


Sorry man, had to cut it short on answering so i could get those 2PM EST trades done.

Yes, most times the futures curve is in contango which cost the long player every month. This is additive to the short-vix products (XIV etc).


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## The_Tosser

Closed out all my positions in the Fute's accounts.

Yep, gone to cash for now on Fute's accounts.

V-O-P acct's are unchanged.

Too much $$ has been made in fute's and risk-reward isn't good enough for me to hold anything other than smaller in V-O-P.

I'll see you in April, lol, or May, or....


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## Rhaegar

The_Tosser said:


> Sorry man, had to cut it short on answering so i could get those 2PM EST trades done.
> 
> Yes, most times the futures curve is in contango which cost the long player every month. This is additive to the short-vix products (XIV etc).


Ok lets look at a couple examples of the rolls to make sure I'm getting it right

2015-10-21
M1 = 15.50, M2 = 18.20

2015-10-22
M1 = expired, M2 = 16.05, becomes the new M1

So what exactly is happening here? On 2015-10-21 at the close, the M1 contract would be worth 15.50 but is expired, and would need be rolled into the the m2 contract at 18.20. The difference then is a loss because you are paying more for that M2 contract. (18.20-15.50 = $2.70)

The next day the new M1 is 16.05. Do I take that $2.70 and add it to all previous M1's to represent that loss, and then count forward with M1 at 16.05 until the next rollover occurs, at which point I would calculate it the same and add it to all previous M1's again?


So doing that means the M1 drops from 18.2 on 2015-10-21 to 16.05 on 2015-10-22 which is a combination of that $2.70 loss as well as any changes to the M1 price during the day on the 22nd?


2016-02-17
M1 =24.05, M2 = 22.92

2016-02-18
M1 = expired, M2 = 22.80, becomes new M1

In this case the M2 was cheaper than M1 on the 17th because the TS is in backwardation, therefore the roll actually has a gain of $1.13. So subtract that from all previous M1's instead of adding it?


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## The_Tosser

> So what exactly is happening here? On 2015-10-21 at the close, the M1 contract would be worth 15.50 but is expired, and would need be rolled into the the m2 contract at 18.20. The difference then is a loss because you are paying more for that M2 contract. (18.20-15.50 = $2.70)


Yes



> 2016-02-17
> M1 =24.05, M2 = 22.92
> 
> 2016-02-18
> M1 = expired, M2 = 22.80, becomes new M1
> In this case the M2 was cheaper than M1 on the 17th because the TS is in backwardation, therefore the roll actually has a gain of $1.13. So subtract that from all previous M1's instead of adding it?


Yes.

So look at it as if you're long. That's the pos (pay out) or neg (receive) roll. Do that every month and rebuild the entire contract for as long as you've got and you'll get the plot of 'real' PnL.

I would chose a day prior to expiration and set that as your roll date. This is much cleaner looking and more in line with how you'll actually trade. 5 days before or whatever, type of thing. You don't want to run a vix futures to expiration - never never!


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## Rhaegar

The_Tosser said:


> Yes.
> 
> So look at it as if you're long. That's the pos (pay out) or neg (receive) roll. Do that every month and rebuild the entire contract for as long as you've got and you'll get the plot of 'real' PnL.
> 
> I would chose a day prior to expiration and set that as your roll date. This is much cleaner looking and more in line with how you'll actually trade. 5 days before or whatever, type of thing. You don't want to run a vix futures to expiration - never never!


Of course, but I'm not looking to actually hold these futures. What I need is to be able to plot all of this in a context that will help me trade the ETN's. And the VIX etn does it's rolling as a portion of the position each day, so it gets smoothed out even more. I could probably simulate that actually with some fancy math. 

Looking at just M1 though, is there really any difference between me doing all that work, and just tracking the VIX ETN instead? That is after all what XIV is the inverse of, and XIV is what I want to trade (as well as ZIV and it's corresponding medium term ETN)

Now of course if I want to see the full TS of M2-5+ properly I need to do this for those M's, because there aren't ETN trackers specific to each M. 



So I see how this works now, and how it helps you with your futures spread trades. But how does this help me trade XIV and ZIV?


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## The_Tosser

> And the VIX etn does it's rolling as a portion of the position each day, so it gets smoothed out even more. I could probably simulate that actually with some fancy math.


Like i said yesterday, don't worry about that. It's immaterial when compared to the other factors.



> What I need is to be able to plot all of this in a context that will help me trade the ETN's


Yes, which is why i brought this topic up first (Back-adjusted vs Non-back adjusted). It's key to trading all volatility.



> Looking at just M1 though, is there really any difference between me doing all that work, and just tracking the VIX ETN instead?


If you have your etn (which you do) and now you have your Futures Non-back adjust, you could run with this. I've seen clutzier methods! 



> So I see how this works now, and how it helps you with your futures spread trades. But how does this help me trade XIV and ZIV?


Trading the spread via XIV-ZIV, reducing risk, making a trading methodology between XIV-ZIV which would necessitate you also use futures - (non adjusted) to devise that plan in the first place.

There's a lot of ways to skin the vix-etf cat, but they all require info such as your non-adjusted futures to run the triggering process. IE M1-M3 goes into backwardation - do "X" wrt XIV/ZIV. If the M1-M3 spread is x.xx, then do "Y" wrt XIV/ZIV.

Trying to trade ZIV-XIV blindly would work OK, but we want to be partially ideal-driven


----------



## The_Tosser

Rhaegar said:


> So I see how this works now, and how it helps you with your futures spread trades. But how does this help me trade XIV and ZIV?


You're a smart guy so i know you already know, but here a spread-plot anyway 









So let's say you're going to devise a plan to trade M5 and M3 - again, this is what i have loaded into Matlab @ the moment so that's what we're going to look at.

If it was a trade idea that was built around the spread, you'd require the 'green' plot, but must trade the actual 'blue' plot in dollar terms. Since you have to match the 'green' for the triggering with the blue 'correct dollar ratio' on the whatever the dollar value of the etf's happen to be @ the time. So X shares of etf "A" against "Y" shares of "etf "B".

The green plot will go on forever more or less range bound, the blue plot will continue to diverge from its start, forever.


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## The_Tosser

lmao,

I don't care what your slant, this is good TV right here. A very fun watch, lol.






BTW @ 28mins area....

This should all be old news to readers by now because i've mentioned it many times including giving links to those studies.

Oh i'm not going to tell you, you've gotta watch the vid and see what beats hands down the SP500. :smilet-digitalpoint This has been known for decades.


----------



## Rhaegar

Interesting discussion. 

I agree with most of what TS is saying but I think he's overlooking the barriers to entry that most people face. Take put writing for example. It's a great strategy but it only works if you have a big enough portfolio to be buying 100s of shares of individual stocks. It's also not allowed in RRSP's or TFSA's, which is what the vast majority of people have the bulk of their investments in. I'd love to have a few hundred grand in a non registered portfolio to play with, but I don't and am not going to any time soon.

And think about the life cycle of most investors too. People start RRSP's in their 20s when they start working, and they have no clue what they are doing (I sure didn't and that was only ~10 years ago), so typically they just throw it into the company plan's sunlife funds or whatever balanced fund the bank lady tells them to use. At this stage someone probably only has a few thousand dollars so who cares anyway. Then they ignore it for a decade or two and just throw in a bit more every year at tax time when the bank lady calls and guilts them into investing something. 

If the money grows well they probably just get complacent and never touch it until they get close to retiring. At that point the bank lady tells them to throw it all in GIC's paying 1.5% and they do it because they are afraid to lose it.

Or a market crash happens and one of two things happen. They panic and tell the bank lady to throw it all in GIC's and leave it there till they retire because they are afraid. Or they go and start learning and paying attention to what they are doing with their money. 95% probably go with the GIC panic route.


I've spent the last 5+ years trying to educate myself out of a combination of personal interest and an unwillingness to just give it all to the bank lady to deal with. Out of all my friends and co-workers maybe 1 in 20 actually cares enough to learn about any of this stuff. The majority of people I work with over 50 have all of their money in GIC's if they have anything at all outside the pension (probably biased, because having a good pension these days is such a luxury I find those that have it get really lazy and often don't save anything at all on their own). More often than not when it comes to RRSP's I see people focus 99% of their energy on the sole purpose of avoiding a bit of tax that year, and hardly any care at all for what that money is going to be doing once "invested". 

"I went to the bank and bought some RSP's" is something I hear regularly. Mankind is doomed


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## The_Tosser

Exiting some ZIV in VOP +11% area @ $39.50 I've gone from approx 50% of the VOP accounts down to about 25% invested, all most recently in ZIV.

Getting skinny everywhere.

The coil spring really unwound over the past 2 days (ZIV + 5% area alone). There's juice left but in the short term the odds are not really all that great. It's such a darn fine trade (short vix) i find it hard to ever be negative but it's hard to justify what has happened in the last 6 weeks and not pay some respect for the gains thus far. Hell we're not even out of March.

There's lots of time to eff it up before the year ends. :smilet-digitalpoint

I think i finally smell that vacation that has been put off for 2 months at least.


----------



## The_Tosser

Rhaegar said:


> Interesting discussion.
> 
> I agree with most of what TS is saying but I think he's overlooking the barriers to entry that most people face. Take put writing for example. It's a great strategy but it only works if you have a big enough portfolio to be buying 100s of shares of individual stocks. It's also not allowed in RRSP's or TFSA's, which is what the vast majority of people have the bulk of their investments in. I'd love to have a few hundred grand in a non registered portfolio to play with, but I don't and am not going to any time soon.


Yes, a very real concern. VOP accounts are how i play these types of accounts. SPX put-writing and playing vix is near identical, certainly in the thought process, except VIX has no delta and frankly is a better trade in general. All doable in registered accounts of any size.



> And think about the life cycle of most investors too. People start RRSP's in their 20s when they start working, and they have no clue what they are doing (I sure didn't and that was only ~10 years ago), so typically they just throw it into the company plan's sunlife funds or whatever balanced fund the bank lady tells them to use. At this stage someone probably only has a few thousand dollars so who cares anyway. Then they ignore it for a decade or two and just throw in a bit more every year at tax time when the bank lady calls and guilts them into investing something.


Yes, i think this pretty much how it's done. However, it doesn't make it right and it isn't defensible as an intelligent process - and that is what most retail traders do (defend the indefensible) because it's what they've been taught. People hate being proven wrong, so telling them what the true score is after years of them thinking otherwise actually makes them dig their heels in more. You see this everywhere, religion etc. It's still wrong, no matter how much one defends it. The earth is not flat any more than it is <10,000 years old.



> I've spent the last 5+ years trying to educate myself out of a combination of personal interest and an unwillingness to just give it all to the bank lady to deal with. Out of all my friends and co-workers maybe 1 in 20 actually cares enough to learn about any of this stuff. The majority of people I work with over 50 have all of their money in GIC's if they have anything at all outside the pension (probably biased, because having a good pension these days is such a luxury I find those that have it get really lazy and often don't save anything at all on their own). More often than not when it comes to RRSP's I see people focus 99% of their energy on the sole purpose of avoiding a bit of tax that year, and hardly any care at all for what that money is going to be doing once "invested".


There's no rule that says life has to be fair to you, but your willingness to take control in an intelligent way should result in superior results over time. The willingness to learn puts you already much further ahead of the pack. If you're young on top, you are a lock!


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## Rhaegar

The_Tosser said:


> There's no rule that says life has to be fair to you, but your willingness to take control in an intelligent way should result in superior results over time. The willingness to learn puts you already much further ahead of the pack. If you're young on top, you are a lock!


Young enough, but old enough too that other obligations (kids, mortgage, etc) are eating up most of my surplus cash for the next few years. I could have done some wonderful things back when i was fresh out the gate, living with my parents and putting away 90% of my pay. At least savings accounts were paying 3-4% back then... LOL

But that's fine, i have lots of time to learn still, and when I'm a bit older and can ramp up the saving/investing I'll know what I'm doing. And I can teach my kids as well.


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## The_Tosser

Rhaegar said:


> ......... And I can teach my kids as well.


That's it right there isn't it? That's your legacy. This will hopefully go a long way in securing the future of your lineage including the ones you'll never know. Seeing you children succeed in some part due to what you're doing and teaching them is worth its weight in short-vix futures @ 30


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## The_Tosser

Let's keep an eye on the next FFR decision.

http://www.cmegroup.com/trading/interest-rates/countdown-to-fomc.html

93% hold @ 0.50%, 7% @ 0.75%


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## The_Tosser

Ben Shalom, the man with the plan... "tools of the Fed"

http://www.brookings.edu/blogs/ben-bernanke/posts/2016/03/18-negative-interest-rates


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## The_Tosser

Post # 182



Rhaegar said:


> If you are long vix (assuming you buy it when vix is low of course and not when it's spiking) at worst you get a slow decline as the markets trudge on fearlessly, and at best you spike to the moon and make a killing.


I know you know it doesn't really work this way since you're paying dearly every day to own vix futures vs vix index(spot), but what you're getting at here is the ideal situation, which is to be able to trade a product that exhibited something close to a very good mean-reverting price series.

I had left you on my subsequent post to this (#183?) that "Wouldn't it be nice?"....

It is to this that i turn to next. 

Keep in mind that the next volley of posts and graphs are to this end and only this end. I don't provide full solutions, but i will attempt to provide the mindset and a small bit of math, of how to approach mean-reversion trading systems. First off how to theoretically make one (They don't exist as tradeable single-products) and from there I'll give possible ideas of how to implement them as a process. Remember this is mean-reversion trading, not trend trading.


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## The_Tosser

Preliminary homework.

Grab a random stock. Use DJ-30 product, SP500 top hundred rank etc.

What i'll show here may not be intuitive to people right away so lets just make sure you're all on the same page.

You can see there's no mean-reversion going on here. It's a spectrum so there are slight mean-reversion properties everywhere to some statistical degree, but no-one would mistake a price series of any stock to exhibit mean-reversion qualities.

Now go take a look at the daily returns in a histogram. What do you see? As it turns out, daily return very much do have a mean-reversion look to them. If only we could trade the daily returns and not the price..alas we cannot 

If we could, we could simply be 'long' when daily returns we far under the mean, and be 'short' when daily returns were way above the mean. Ah, how easy it would be


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## The_Tosser

So let's start by taking two 'stocks'

Stock "A"








Stock "B"








Clearly neither could be considered mean-reverting. Remember we're going to look at mean-reverting processes only. I would not try to mean-revert trade either of these two.

I mentioned in the last post that it's a simple mathematical fact that given the daily returns of a stock being normally distributed, the return (price) will be decidedly not normally distributed. 

Here's the histogram of Stock "A" - Daily returns over Cumulative returns. If you did your homework, you'll get with your randomly picked stock to look similar.


----------



## The_Tosser

But what if..

What if we could combine Stock "A" with Stock "B" in some manner, to create a single, tradeable 'security' in a mean-reversion manner.

This is the idea that we could 'buy spot vix' when 'low' and simply hold until 'high' and then switch teams...

For us to do this would simply mean we would need a security that would have a normal distribution with a 'mean' of near zero on a 'cumulative return' basis.

How would we do this?

How do we do this?

I'll tell you how most of us do this. We data snoop/data mine, our chosen pair and time frame. We 'fit' to the data.

I mentioned some time ago when T-Snooze talked about pair-trading gold (or oil?) against copper. This is the type of garbage-pairs that loses its co-integration very easily. 

Not good. Not good at all. It's very weak. I had said that most pairs easily do this and are not truly worth doing. At least, how most of us do it. IE 'simple' methods. This 'simple method' has a low barrier to entry. Most Grade 12 graduates can do it. Hell, I'd like to think that most grade 8 graduates can do it, however, having seen these days what our 'education' system is producing, I'm not really sure what to think anymore, lol.

The Achilles heel of pairs trading is indeed just this. The loss of co-integration. Typically when you're mean-reversion trading pairs, when the pair 'goes against you' it means you add more. There is no easy 'stop' you can put in. 

At some point you must stop 'adding' even as the trade supposedly gets better and better (odds) all the way.

Is there a better way? We know what we want as a 'look', but can we get there in a tradeable product?


----------



## The_Tosser

Wait, what??









A 'parameterless' method IE, a pure statistical driven process devoid of the usual data-snooping methods of us mere peasants, that tend to over-fit the data.

So what we have done here is combine "A" with "B", two tradeable securities into a single entity, that still gives a normal distribution of daily returns, run through a statistical means that i would guess none of us could explain in any meaningful way, much less use effectively.

This is the high barrier to entry of quality mean-reversion trade analysis.

On the other side of this barrier lay the truly knowledgeable mathematician/traders such as Jim Simons, Ed Thorp, to name only two. 

What has this method given here now done? As you can see, the cumulative return has now become stationary and normally distributed, centered around zero with a high level of significance. We have succeeded in making absolutely no money, on average!

Does this have value?

Certainly not as shown, unless you're this traders broker collecting commissions. All this has done is produce a mean-reverting priced 'single instrument' via statistical methods that essentially dynamically buy and sell on a pre-defined basis both instruments @ the close of each bar of data.

From here, you can now create a mean-reversion strategy to trade, now that that you have a mean-reverting price series to use. 

In theory anyway.....


----------



## The_Tosser

Bettin' long, for a (painfully) long hold...lol ........4XL Apr, 5XS Jun. ........-27.70K


----------



## The_Tosser

The_Tosser said:


> Bettin' long, for a (painfully) long hold...lol ........4XL Apr, 5XS Jun. ........-27.70K


The idea today is to get back short a vix spread sandwiched in-between the long side legs, ratio wise the same as our regular premiere trade.

Ratio between the two, and the original 'core' is an approximate but is as follows. The net-long spread is tops 50% core because it's such a ***** to watch bleed every day. It's 25% right now  The short-vix spread adds will start @ 25% core, up to 50% core against the long side, but will go full 100% core-hold again upon any market tank. 

Then we assess the situation.

Getting short the spread does a nice job of paring the margin down too, as a nice short-term bonus.


----------



## The_Tosser

VOP's are cash, letting go of ZIV >$39

3 months in and taking a break. We'll be over the boards just as soon as we see a vix spike. It's only a matter of time.


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## The_Tosser

The_Tosser said:


> Bettin' long, for a (painfully) long hold...lol ........4XL Apr, 5XS Jun. ........-27.70K


Added last 1/2 (50% core is as big as i get in this trade), net -27.90K

Now we let it sit and ferment for a while. I'll happily trade 1/2 of this position around.

I'll continue to actively get short vix against this hold too.


----------



## The_Tosser

The_Tosser said:


> Added last 1/2 (50% core is as big as i get in this trade), net -27.90K
> 
> Now we let it sit and ferment for a while. I'll happily trade 1/2 of this position around.
> 
> I'll continue to actively get short vix against this hold too.


There ya go.

That's deep enough to starting hitting short vix. We're sandwiched between the long spreads, using long may, short jul in the "Premiere ratio trade". -61.45K to start.

The idea is simple. It's like your ******* log-rolling contest. Stay at the crest and take what's given and use it best to your advantage. Play like you mean it. Play to win every day.


----------



## The_Tosser

Inverse 4-20 looks like it'll work today. 

If'n yerr long vix, i'd hang out for a bit yet


----------



## The_Tosser

The_Tosser said:


> Inverse 4-20 looks like it'll work today.
> 
> If'n yerr long vix, i'd hang out for a bit yet


Bingo, shorts the TOP of the day for the add to the short 'core' side, 1 min before extended market close, rofl.


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## The_Tosser

So we ended today being net-long prev mentioned spread @ -27.90K for 50% core and we are now long a full 'core' of prev net short spread @ -61.60K and a 25% core trader @ that top vix tick of -$62.40k

I've got some leeway on what to do with this extra 25% I'll play it separately or combined with the core for a net price of -$61.75 area.

With the long-spreads on we have some space to 'roll the log', lol. 

Maybe it's called Solo-Teeter-Totter(ing). rofl.

I'm going to fund France and Britain in the war, oh they both gonna pay sooner or later.. :smilet-digitalpoint


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## The_Tosser

After laughing at the usual suspects again today re: their ignorance of Federal Sovereign debt, i literally tripped across this article that explains it very well. Substitute 'Canada' for "USA" and ignore that this is a jimmy cramer site. Imagine that, a useful article on "The Street". It may be the first in 30 years.

http://realmoney.thestreet.com/articles/03/22/2016/national-debt-doesnt-need-fixing

I suggest those same ignorant posters continue with the equally ignorant comments on this linked page. 

Why?

Because if you ever get a clue, the linked article will be much harder to find later on, so your ignorance will be more deeply buried as a result.

Hey there's an upside to everything, rofl. :smilet-digitalpoint

Kicking and screaming, one by one, you will learn the reality of Sovereign Money. Education in canada is a total joke. Dumb people elect dumb politicians. It's your own fault for not knowing at this point. Do note you're not getting this in any level of education. FAIL.


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## Rhaegar

The_Tosser said:


> After laughing at the usual suspects again today re: their ignorance of Federal Sovereign debt, i literally tripped across this article that explains it very well. Substitute 'Canada' for "USA" and ignore that this is a jimmy cramer site. Imagine that, a useful article on "The Street". It may be the first in 30 years.
> 
> http://realmoney.thestreet.com/articles/03/22/2016/national-debt-doesnt-need-fixing
> 
> I suggest those same ignorant posters continue with the equally ignorant comments on this linked page.
> 
> Why?
> 
> Because if you ever get a clue, the linked article will be much harder to find later on, so your ignorance will be more deeply buried as a result.
> 
> Hey there's an upside to everything, rofl. :smilet-digitalpoint
> 
> Kicking and screaming, one by one, you will learn the reality of Sovereign Money. Education in canada is a total joke. Dumb people elect dumb politicians. It's your own fault for not knowing at this point. Do note you're not getting this in any level of education. FAIL.


good article. Was writing a reply but closed my tab 


I was just saying how ridiculous the right wing propaganda around this is and how clueless the average person is. It's always the same old arguments. We have to balance our budget just like families do (yeah.. right). We have to run government as a bunsiness (they never borrow). We have to get our act together or we'll end up like greece! (and who fucked over greece? i.e made an example of them)


I live in manitoba right now and we are just getting into our election. Incumbent NDP are pretty much doomed, and for most people it's purely because they raised the PST and have been running deficits. 

Now truth be told, if a government ever deserved to be defeated it's this one. Not because of the debt and taxes, but because they've done a really, really shitty job the last few years on just about every file. They also had a messy leadership fight last year and stupidly chose to stick with the unpopular premier instead of passing the torch to their well liked health minister for free "party renewal" points...

Unfortunately the party that will benefit is the PC's who are running on a pure cut taxes slash and burn and balance the books platform. I can't blame people for turfing the incumbents, I may have to even vote for these guys just to clear the deck. Just wish they were doing it for the right reasons and the alternative was better. Our liberals unfortunately are non-factors in this province. They are getting a big bump just from people who want the government gone but can't stomache the PC's, so we're basically looking at an intentional vote split to turf the government here.

EDIT:

And there we go, this morning driving in to work CBC radio announces that this weeks budget means "every canadian owes $3100 more in national debt". Lets go ask a bunch of random joe blows what they think about that.


----------



## The_Tosser

The_Tosser said:


> VOP's are cash, letting go of ZIV >$39
> 
> 3 months in and taking a break. We'll be over the boards just as soon as we see a vix spike. It's only a matter of time.


Triggered back long ZIV only, @ $38 about 40% area for V.O.P. accounts.


----------



## The_Tosser

Rhaegar said:


> And there we go, this morning driving in to work CBC radio announces that this weeks budget means "every canadian owes $3100 more in national debt". Lets go ask a bunch of random joe blows what they think about that.


lol yep. 99.9% of canadians evidently think in "Joe Blow" terms. That's a lot of misunderstanding.

Vix is starting to shape up again I see.


----------



## Rusty O'Toole

The_Tosser said:


> After laughing at the usual suspects again today re: their ignorance of Federal Sovereign debt, i literally tripped across this article that explains it very well. Substitute 'Canada' for "USA" and ignore that this is a jimmy cramer site. Imagine that, a useful article on "The Street". It may be the first in 30 years.
> 
> http://realmoney.thestreet.com/articles/03/22/2016/national-debt-doesnt-need-fixing
> 
> I suggest those same ignorant posters continue with the equally ignorant comments on this linked page.
> 
> Why?
> 
> Because if you ever get a clue, the linked article will be much harder to find later on, so your ignorance will be more deeply buried as a result.
> 
> Hey there's an upside to everything, rofl. :smilet-digitalpoint
> 
> Kicking and screaming, one by one, you will learn the reality of Sovereign Money. Education in canada is a total joke. Dumb people elect dumb politicians. It's your own fault for not knowing at this point. Do note you're not getting this in any level of education. FAIL.


Boy wouldn't it be great if that article were true? If the government could just print money and throw it around like confetti with no down side? If there was no relationship between the amount of money, the amount of goods and services produced in the economy, and the value of a dollar? If there were no other countries in the world and no other currencies? If there were no long term consequences to unlimited money printing? Wouldn't that be great?


----------



## The_Tosser

The_Tosser said:


> Triggered back long ZIV only, @ $38 about 40% area for V.O.P. accounts.


lmao the fun never ends.

I really am not buying this "V" bottom 'thing', but i didn't buy the last one either as i recall. rofl.

Guess i"m holdin' it all until Monday


----------



## The_Tosser

#224



The_Tosser said:


> So a a week and half into actually tracking this sub-component, short term trade that i'm not calling out and not adding in any way to the "Premiere" vix pairs trade.
> 
> 7 round trips, averaging $358 per spread, per trade. Last week we left off with 6 round trips so have done only one this week.



Last week,



> ............a 25% core trader @ that top vix tick of -$62.40k
> 
> I've got some leeway on what to do with this extra 25% I'll play it separately or combined with the core for a net price of -$61.75 area.


Updating for last week..

Added near the lows last week (-$63.30K?) to get to 50% of core for the trading positions... Dumped the "extra's", tonight.. -$62.05K and -$62.20K

3 weeks into her and the stats are 13 round-trip trades with an avg gain of $470 per spread.

"Core" is in @ -$61.60K

"Hedge" continuing to do the slow bleed, cost @ -$27.90K, current price -$29.25K area (50% core for sizing).


----------



## janus10

I'm finding this thread very interesting but won't pretend to understand it all. I have dabbled with going long/short Vix related ETFs for the past several months, but not frequent enough to approach trading.

On Jan 20, I sold naked calls on UVXY - jun 17 65 @ $20.40 and Sep 16 110 at $19.50. I considered that UVXY decays quite strongly over time, and with VIX spot well over its historic norm, it should pay off with having these futures expire worthlessly. I didn't even know to look at VIX futures and whether or not they were in contango (and how strongly).

Last Sep 4, I sold a naked call on UVXY - Dec 18 65 for a whopping $31.15 just to test the waters. I also bought SVXY calls, but did not get out when they had almost tripled in price - so lesson learned.

This time, on Feb 11 I bought SVXY June 17 30 calls for $6.20 but I did not wait for it to triple, as I sold half on the Feb 22 and the rest on March 3 ending up with about double. They have traded over $20, so I certainly left a lot of money on the table, but I was surprised at how the SPX just kept going through 2000 and onto 2050ish area. Since I'm generally long the market, and had some HVI and SVXY, I still profited on the continued run up.

Last Tuesday I sold SVXY naked calls Sep 16 52 for $6.80, and bought UVXY Apr29 23 calls for $2.95 as I don't believe VIX will be able
to stay this low for very long.

Now, in the youtube video of Top Trading Ideas for 2016, Tom Sosnoff made some calls perhaps a little early. I've never traded anything to do with bonds, and he mentioned both TLT and TBT. One play was to go long TBT and sell calls (45 days out and roll them, I suspect). Since TBT is down a bit more than 10% from his call, it would seem to be a better trade now than when he said it (as he mentioned that he doesn't trade on fundamentals, although maybe I've taken that out of context).


----------



## The_Tosser

janus10 said:


> ....


Yeah, a lot of good points you bring up there.

Re Tom-Snooze and his bonds (TBT/TLT). As Tom himself say, TBT has 'structural issues'. I think he's making a very bad call by even talking about it. It's simply not the best way to play his short-bond idea. It's just so bad. You'd do far better simply selling calls on TLT. If he thinks it's a good idea for retail traders to trade bonds (etf's) at all, then he should stop talking about TBT completely and focus on the far better trade. It's clearly TLT short in some manner as one can do it in their specific account.

This is one of the few time that Tom has holes in his thinking big enough to drive a truck through. I think what is running his thinking here is that he really really thinks short-bonds are going to be the trade of the year. I am not so sure. It's a better bet now than it has been in the past several years, but that is not saying much, lol.

Anyone that plays bonds futures can readily see the destruction that has happened to anyone 'early', betting as Tom has prescribed. It's been ruinous. 

MY best suggestion would be to not play bond short at all. Just leave it alone. If you must and had to use etf's, i would net-short TLT on spikes. However you want to play it is your call, but that's the only single-etf version i'd play.

It's such a wishy-washy bet for me right now, I am out. I'm not touching it here either way. The only way i would short bonds here would be on a much higher run up - like back to when i was doing so a month ago. We'll get there if the market cracks. If we don't, I miss it completely. I have vix, I don't need bonds. 

As to your vix trades. I won't discuss UVXY as i think it's not fit for occasional traders. I think you want to have your wits fully wrapped around vix itself before you attempt to tame that dragon.

Other than short-vix, i try not to direction-trade vix futures/etf's. It's too much of a juggernaut. It's not that we can't get lucky trading it long sometimes, its just that if you're wrong at all you may never get out alive or if you do it'd be much more work than it's worth. I think it you pair it up well, right here, you'd get a favorable result sooner or later. My "hedge" is just such a pair @ what i believe is a decent level.

I prefer to make as you've seen, pairs trades @ certain levels and term structure points etc. You can't see that using etf's as previously discussed, but you should really make move to try to do so. Today's a perfect example of why. I am gaining today on both the net-short 'premiere' trade as well as the net-long hedge. It's not all that common that this does happen, but again there are long stretches where it does and it's been academic to see why this is so. I don't kow if it will continue, i just know the odds are more favorable.

Again you can't get there from just viewing etf's so you're left with much less info that others do have. None of us know at any point in time what the market may or may not do, but my point has always been that you don't need to. What you need is a solid mathematically founded plan, applied to strong contenders to use it on. (vix futures).


----------



## The_Tosser

janus10 said:


> Now, in the youtube video of Top Trading Ideas for 2016, Tom Sosnoff made some calls perhaps a little early. I've never traded anything to do with bonds, and he mentioned both TLT and TBT. One play was to go long TBT and sell calls (45 days out and roll them, I suspect). Since TBT is down a bit more than 10% from his call, it would seem to be a better trade now than when he said it (as he mentioned that he doesn't trade on fundamentals, although maybe I've taken that out of context).


And check it out again today. Short-bonds getting smoked. This is getting to the point that i may consider a small short-call position on the futures soon. There's been like 20-30 days in the history of forever that bonds have ever been this high, lol.


----------



## The_Tosser

#251



The_Tosser said:


> VOP's are cash, letting go of ZIV >$39
> 
> 3 months in and taking a break. We'll be over the boards just as soon as we see a vix spike. It's only a matter of time.


A day or two later........



> Triggered back long ZIV only, @ $38 about 40% area for V.O.P. accounts.


Out again, $39.45 rofl.

Vacation is looming  lol


----------



## The_Tosser

The_Tosser said:


> "Core" is in @ -$61.60K
> 
> "Hedge" continuing to do the slow bleed, cost @ -$27.90K, current price -$29.25K area (50% core for sizing).


Cuttin and runnin'

-$61.20k @ 50% core. +$400/spread

This should mesh decently with the 50% of core "hedge' trade.

I believe this puts the core @ +$4.4K per spread. We're looking to see 8K-10K per spread by the end of the year for the core alone. I'd say we're on our way.

I should wait for 4-20 as if the mkt holds together it will certainly work is my guess, but lets not get overly greedy. Everything is coming up gold as it is... lol :smilet-digitalpoint We're completely smoking it on the 'premiere' trading positions, lol.


----------



## The_Tosser

Update to trading positions.

None held at the moment. For this week (2 days in) 5 round-trip trades, avg $590/spread.

For the 4 week ending this Friday, since it's likely i am not going to do anything else for the rest of the week, she's 16 round trips @ $437/spread avg.

You'd have to head to some seedy parts of town to see action like this, rofl. :cower:

EDIT:

I'll also note this interesting fact as well. The net long vix "hedge" has not lost a dime today, lol. 

Uhuh, that's what i said. irate:

ES resistance 2045


----------



## The_Tosser

The_Tosser said:


> Cuttin and runnin'
> 
> -$61.20k @ 50% core. +$400/spread
> 
> This should mesh decently with the 50% of core "hedge' trade.
> 
> I believe this puts the core @ +$4.4K per spread. We're looking to see 8K-10K per spread by the end of the year for the core alone. I'd say we're on our way.
> 
> I should wait for 4-20 as if the mkt holds together it will certainly work is my guess, but lets not get overly greedy. Everything is coming up gold as it is... lol :smilet-digitalpoint We're completely smoking it on the 'premiere' trading positions, lol.


lol screw it. Out all core here @ -60.45K

Call it a generous +$4.5K all-in profits per spread on the core thus far this year.

Heading into next week with only net-long vix hedge in play, rofl.


----------



## The_Tosser

Because i am bored.

Vix Futures term structure mid 2008 until now.

X-axis - time, y axis vix level, z axis the TS. I have the M1 set back and M5 closest. 1-2-3 on Z represents M1, M3, M5


----------



## The_Tosser

The_Tosser said:


> And check it out again today. Short-bonds getting smoked. This is getting to the point that i may consider a small short-call position on the futures soon. There's been like 20-30 days in the history of forever that bonds have ever been this high, lol.


And..done. Short Apr calls on 5 yr futures. 122's 'cause i am a weenie.


----------



## Rhaegar

The_Tosser said:


> Because i am bored.
> 
> Vix Futures term structure mid 2008 until now.
> 
> X-axis - time, y axis vix level, z axis the TS. I have the M1 set back and M5 closest. 1-2-3 on Z represents M1, M3, M5
> 
> View attachment 9274


Nice chart, thanks


----------



## The_Tosser

Rhaegar said:


> Nice chart, thanks


No problem. 

You can likely see just how much further vix futures could drop from here as well. This is why i caution people trying to go long vix as a single-entity trade. One really needs to think it through and get some sort of viable plan for being able to hold a net-long vix in a spread so they don't get completely clobbered because they're wrong by a month or whatever in timing.

This is why i am showing my net-long vix spread trade. Take the last 3 days. Vix has come unglued, falling a pile of points. The net-long spread is flat to UP. One has to think these things through. This isn't happening by accident either, as much as i cannot know it would do this for a certainty. Clearly i have a defined mathematical reason for being in this trade and it's clearly working to this point. This is not an Ouija-board trade, lol. It could very well be that i am 'stuck' in this trade for months for all i know. But the odds are in my favour here. Had i just been silly and went long-vix straight up, any single vix month/etf i would be hurtin' fer certin' :smilet-digitalpoint

This is what separates the foolish retail nonsense you see on this site from most everyone, against intelligent and reasoned positions.


----------



## The_Tosser

WooHoo,...lol too much yellin' for me. :smilet-digitalpoint






lmao i don't have much to say about this.

Tom's best idea: Given low volatility, there are no juicy moves. I can't agree more. This is really a ho-hum market currently. He's short bonds/short markets. (still).

As of Wed? I am more or less the same way. Got short 5 yrs in a small way and trying to size it a bit tonight but there are no takers thus far. I'm also long that vol-spread even as the vix is @ multi-day lows the long-vix spread is still @ 2-4 day highs, so hanging in.

More or less, this is boring ****. 

Here's the "Hedge" trade look that is on in the Fute-s accounts. 









The position is sitting right @ the bottom-left of the corner of that X-Y-Z price window. It gets real scrappy down at those levels as you can see by all the black-dot data points. Just have some patience. A small run up the mountain will pay off pretty well. We're not looking for any home run.

EDIT:

I will say something.

@ 11:25 "The confidence is in the strategy, it's in what your approach is" 

This is exactly right. If you don't have this, you're swatting at flies like a fool. "You're a total amateur going up against major league pitching and you're going to strike out every time." 

"Put yourself in a position for opportunity"


----------



## The_Tosser

The_Tosser said:


> Added last 1/2 (50% core is as big as i get in this trade), net -27.90K
> 
> Now we let it sit and ferment for a while. I'll happily trade 1/2 of this position around.
> 
> I'll continue to actively get short vix against this hold too.


Gonna have to roll this soon so i am taking 1/2 off @ flat. Not bad at all given vix has been crushed and this net-long trade has held its own.

I'll let the last 1/2 sit for maybe a day or two at most, then we shall see.

Hoping to get my vix-short spreads back on soon.

EDIT: Sellin' some $35 puts on oil too


----------



## The_Tosser

The_Tosser said:


> EDIT: Sellin' some $35 puts on oil too


This is @ 92 cents for $35's @ Apr 15th Exp.

Very steep curve here. Starting small as always.

Long vix spread one tick away from being let go for a few bones.


----------



## The_Tosser

Taking 1/4 core net-short "Premiere" trade using months Jun-Aug @ $-59.50k

I take this while i wait to see what happens to the net-long vix.

This necessarily over-laps the two separate trades - so keep your head in the game and know what you're 'in' despite the overlap.


----------



## The_Tosser

The_Tosser said:


> Taking 1/4 core net-short "Premiere" trade using months Jun-Aug @ $-59.50k
> 
> I take this while i wait to see what happens to the net-long vix.
> 
> This necessarily over-laps the two separate trades - so keep your head in the game and know what you're 'in' despite the overlap.


Out the net-long vix for a few bones - not worth counting up really.

So now we sit net-long oil, and 25% 'core' in the short vix-spreads.

I am not especially keen either way on this market so we will step lightly everywhere.

the VOP's are cash and i will note that not all are played exactly the same way but the best of the best went >+9% for Q1 2016 lol.

I think VOP's will wait for greener pastures, lol.


----------



## The_Tosser

The_Tosser said:


> This is @ 92 cents for $35's @ Apr 15th Exp.
> 
> Very steep curve here. Starting small as always.
> 
> Long vix spread one tick away from being let go for a few bones.


And.. cover the short-put @ 71 cents..sweet deal, gotta take it for a day trade.


----------



## The_Tosser

The_Tosser said:


> Taking 1/4 core net-short "Premiere" trade using months Jun-Aug @ $-59.50k
> 
> .........


Oohh if this market hangs in today I am taking this chunk and runnin' rofl.

winner winner holy cow too many days in a row...rofl...

I'll wait for the '4-20' move if we keep rollin' or i'll be willing to give it back short term.


----------



## Earl

Bought FIT.

Just look at the popularity of Fitbit, it's become a household name.


----------



## The_Tosser

Earl said:


> Bought FIT.
> 
> Just look at the popularity of Fitbit, it's become a household name.


who gives a ****. this is vix-bit land  take your **** and walk. irate:


----------



## Moneytoo

And I finally maxed out my TFSA and bought a shitload of XAW and a wee bit of ZPR... Oh wait it's the wrong thread - but the right one looks half-dead lol

(Still keeping that HVI in my RRSP thou - was tempted to sell it last week, but decided to wait a tit-bit longer :biggrin


----------



## The_Tosser

Moneytoo said:


> Oh wait it's the wrong thread - but the right one looks half-dead lol


lol! yep. the same old boring nonsense will get just that.

imascared of vix right now.

EDIT:

btw i am starting to think this is going to be a traders market this year. I believe it's going to be easier to make the $$$ by trading vs sitting around. Do your best at timing, don't worry about being cash-heavy at times etc. More so than usual i mean.


----------



## The_Tosser

FOMC minutes @ 2PM EST today may provide some needed market juice.

I'll be looking to swing first and ask questions later given my light footprint in the markets currently.


----------



## The_Tosser

Back in the long VX spread Apr-jun @ $-28.25k

25% of core.

sitting also on "Premiere" @ 25% core.

Playing both sides of the fence once again, bettering prices everywhere.


----------



## The_Tosser

The_Tosser said:


> Taking 1/4 core net-short "Premiere" trade using months Jun-Aug @ $-59.50k
> 
> I take this while i wait to see what happens to the net-long vix.
> 
> This necessarily over-laps the two separate trades - so keep your head in the game and know what you're 'in' despite the overlap.


added 25% core @ -$60.20K


----------



## The_Tosser

The_Tosser said:


> added 25% core @ -$60.20K


lmao well that was easy, out $-59.80k, rofl. +$400 per spread.

Tell me again how it's possible to under perform the 'market' by trading? rofl. 

How is it possible that you would never make a good move? That you would go out 100% on the wrong side of every trade on net? rofl.

Gallus gallus rofl. :stupid:


25% core net long vix, 25% net short vix are the spreads......... play it again, Sam lol 

https://www.youtube.com/watch?v=q5gfZR71o1M


----------



## The_Tosser

short 10yr bond fute's vs long 5 yr @ -$9.4265K @ 1:1 ratio

Hit me Yellin,


----------



## The_Tosser

The_Tosser said:


> Taking 1/4 core net-short "Premiere" trade using months Jun-Aug @ $-59.50k
> 
> I take this while i wait to see what happens to the net-long vix.
> 
> This necessarily over-laps the two separate trades - so keep your head in the game and know what you're 'in' despite the overlap.


And.out the final short-vix 'premiere' spread trade @ 25% core here @ -59.00k even, +$500 per spread. Oh the pain and agony of the viewer lol. :sour:

Now sitting only of the 'hedge' (net long vix).

I'm not counting this towards the 'core' earnings which i think is sitting @ +$4.4K per spread for the year, I'll counting these toward what they are, short term trades, which I'll update soon enough. :smilet-digitalpoint


----------



## The_Tosser

OK, the vix-short 'short-term trade' book is as follows.

We've done eighteen, 25% of core trades since i start keeping track here, which is about a month ago for this particular situation. The average profit per spread has been $440.

The 'core' has realized gains as per prev records of +$4.4K per spread with no positions on. This trade also has no positions on and if we were to spread this short-term profits onto the core, it gives us a core-sized gain in total of +$6.5K per spread. 

My 'core' goal is 8-10K per spread, plus the trading gains on top whatever than may be.

Given this is April, i think there's no real reason to risk a whole lot here. Just let it come to us. The risk-metrics thus far has been amazing. Let's stick to the window dressing if we can  It's not going to work this pretty, but that's what we're aiming for, lol.


----------



## The_Tosser

The_Tosser said:


> short 10yr bond fute's vs long 5 yr @ -$9.4265K @ 1:1 ratio
> 
> Hit me Yellin,


takin' 1/2 off $30 per spread - lol hey what do you want? it's a small spread. With $500 margin you can do lots and it's still 6% on margin in 2 hrs - good work if you can get it  

Let's size up this 2PM Fed minutes thingy.

To be sure, there's a ton of market strength here. You've done well to be aggressive thus far. If'n ya keep it small, you're not going to get hurt,..much. :biggrin:

Size it up again once the fear hits as per the set-up for the gains we've had over the past 2 months.


----------



## The_Tosser

Gonna take a long nap today.

Stopped out for even smaller gains on bonds..

I have an order to sell the 'hedge' @ -27.50k, buy the next month's 'premiere' jul-sept @ -$61.50k for 25% starter...

and yeah why not, selling Apr 15th 122's calls on 5yr notes @ 0'040.

All stink bids thus far that will likely not take. :smilet-digitalpoint


----------



## The_Tosser

The_Tosser said:


> Gonna take a long nap today.
> 
> Stopped out for even smaller gains on bonds..
> 
> I have an order to sell the 'hedge' @ -27.50k, buy the next month's 'premiere' jul-sept @ -$61.50k for 25% starter...
> 
> and yeah why not, selling Apr 15th 122's calls on 5yr notes @ 0'040.
> 
> All stink bids thus far that will likely not take. :smilet-digitalpoint


lmao...........YAWN............

The joy of not being balls-deep in stocks 24-7 

Bond = triggered
"Premiere' = triggered.

Back to bed.

P.S. just did extra 25% on prem/short vix pair.


EDIT: 

Stretched the hedge sell-order to -25.50k so i can go back to sleep again.


----------



## The_Tosser

The first edition of "**** that makes me smile"

https://www.yahoo.com/finance/news/...-record-quarterly-loss-100902354--sector.html


----------



## The_Tosser

VOP's taking ZIV @ $39.50 and under. 

Out of 100% cash.

I dunno, abut 25% area for ZIV. Nothing monster. Kinda hoping we get killed again, lol.

Fute's accounts unchanged from yesterday.

We'll see Monday how things look to roll the 'hedge' trade.


----------



## The_Tosser

trying for the 4-20 move to add to premiere.

This market doesn't seem to want to go down worth a ****, so we gotta stay aggressive. (but let's keep that hedge just in case,..it's the weekend doncha know)

i've got the next 25% tranche @ -62.15k with 10 mins left.


EDIT:

Nope,..neither side gave in lol. It should not have worked given the day it was and the print i wanted...........and it did not.

And so we head off into the weekend.

50% short-vix spread, 25% long vix spread.


----------



## The_Tosser

Gotta say, there's some decent cross-currents here in the market place.

I'm trying to decide what the hell role i am supposed to be playing, lol. I guess that's why I'm on the tiny side, size-wise.

On the bullish side we have commodities still well off highs, US financials are in the same boat, GS, JPM, WFC etc. I don't see anything equity related that is stretched.

We have the USD taking the big dirt-nap vs JPY, CAD etc. Shorter term it's been a big move down but the USD is still relatively lofty in general. This move down could continue easily, and would continue to foster equity gains.

I do not see however any FOMC rate hike expectations and T-Bills (Covered those short-calls near the close for a gain) are certainly nearing some low recent yields. This is what really doesn't make a lot of sense to me given the above data. Somebody is fibbing a bit here.

Some of the monthly US data i look @ was supposedly released today but i have yet to see it. I will likely have to wait until Monday, but all expectations are around most of the major economy's, are that governments have indeed been spending nicely. This will foster growth and again should give the Fed an easier move later this month if they choose to take it.

A gun to my head, I would have to be more bullish than bearish thus the willingness to re-enter the short-vix spreads on what is really a minor dip, plus get back into ZIV at least, on the VOP accounts.

I am rarely long vix of any sort here, but i have to say I'm forced to do it @ these levels and TS of the futures. It may well be a few months before anything happens here. Either way, we're rolling the net-long fute's on Monday, Tues @ the latest.


----------



## The_Tosser

Let's hope we get some volatility out of this, Monday and Tuesday.

http://www.federalreserve.gov/aboutthefed/boardmeetings/20160411advexp.htm

http://www.federalreserve.gov/aboutthefed/boardmeetings/20160412advexp.htm


----------



## The_Tosser

If we dump tomorrow, which looks likely given the turn-around this afternoon, i'll just go ahead and top off the "Premiere" trade to a full core position.

I'll also likely start to add to VOP's again.

I'll roll the fute's hedge as well.

Inverse 4-20 ruled today. In fact an hour later, it's even better.


----------



## The_Tosser

The_Tosser said:


> If we dump tomorrow, which looks likely given the turn-around this afternoon, i'll just go ahead and top off the "Premiere" trade to a full core position.
> 
> I'll also likely start to add to VOP's again.
> 
> I'll roll the fute's hedge as well.
> 
> Inverse 4-20 ruled today. In fact an hour later, it's even better.


Can't say as i like it, but call me 'in' full core @ $-62.20k Jul-Sept

Will roll the hedge today...waiting for 2PM EST and some Fed-speak...

Looking to tap VOP's again as well.


----------



## The_Tosser

The_Tosser said:


> Can't say as i like it, but call me 'in' full core @ $-62.20k Jul-Sept
> 
> Will roll the hedge today...waiting for 2PM EST and some Fed-speak...
> 
> Looking to tap VOP's again as well.


Cuttin' 25% on Premiere trade , +$1050 per spread from the lows 3hrs ago. Gotta do this prior to 2PM Fed-Speak.....

Nothing done in VOP's yet.


----------



## The_Tosser

The_Tosser said:


> Cuttin' 25% on Premiere trade , +$1050 per spread from the lows 3hrs ago. Gotta do this prior to 2PM Fed-Speak.....
> 
> Nothing done in VOP's yet.


Cuttin' a 2nd 25% position @ -$61.05 for +$1450 per spread, ooh chee-mama.

I'm going to count the last 2 25%'ers as 'trades' and not core holdings. The balance (50% of core) will be 'core', lol.

Thus far for 'trading' going on 5 weeks we're 20 round trips with an avg PnL per spread of $574.00


----------



## The_Tosser

I'm likely done for the week, so the Fute's accts updates are as follows.

Core PnL +$4.4K per spread. Realized.

Trading PnL adds another +$2.6K realized, in the past 5 weeks for a total of +$7K per spread, on our way to the goal of $8K to $10K per spread. 

Currently on the table is 50% 'core' @ $-61.45k (adjusted accordingly) and that ******* Hedge which i said from the start will likely hang around for a few months. I'll keep that updated as i roll/trade it. I have 25% of core position on it with the option to go to 50% - and zero willingness to do so yet.

VOP's are ZIV @ $39.50 and under..... i dunno 20-25% as i recall, without looking.

I shouldn't ***** too much, but i am. I want some action... This is just too boring.


----------



## The_Tosser

The_Tosser said:


> I'm likely done for the week, so the Fute's accts updates are as follows.
> 
> Core PnL +$4.4K per spread. Realized.
> 
> Trading PnL adds another +$2.6K realized, in the past 5 weeks for a total of +$7K per spread, on our way to the goal of $8K to $10K per spread.


A final note on this trade for 2016 currently. Going back to post # 1, i mentioned position sizing for a given account $ size.

I suggested you could do from 1 to 2 spread per $100K. 

One spread is a bit light, two could get a bit heavy if we had a serious market draw-down. I've regularly done it this way and am likely more comfortable with draw-down than most - which doesn't give me any reason to experience more of it that i need to, lol.

I bring this up to put into context the types of returns you've been looking at for the year thus far.

I think we're about 16 weeks into the year and thus the math is pretty easy. Doing only the 'premiere' trade for the entire account, you've done a minimum of 7% running, with a max of 14% for the year thus far. Some where in between would be reasonable.

Just think, one trade, done 10,000 times with zero single-stock worries, or whateverthehell else it is people with stocks seem to waste so much time doing.

VOP's accounts have done a bit worse or average, with the best of the best of those as i had mentioned, >9% for the year. We've not changed much in the past week or so.

Time to slide it back in neutral for a while.. There's lots left to 2016. We can eff it up, no problem  lol


----------



## The_Tosser

Government Deficit is your Surplus. How could it be any other way?










After a long battle, the US has about caught up with their 'potential'........ economically speaking anyway. They may have to bell curve their Southern States, rofl. Holy 1850's hicks.  










Use this next one, combined with the first one...phewww, we averted a disaster 6-8 weeks ago. I was buying but sweating bullets until US+CAD+recently JPY started spending like it's water, when in fact it's the lifeblood. The selling in Feb could have been very contagious had someone not got a grip...









Analysis is as 2 weeks ago. Continued inflation, rising rates, still not @ full employment but as close as we're likely to get.


----------



## The_Tosser

holy melt up.

Rollin' the back month of the hedge for 70 cent credit/contract......

covering 1 of the 4X-5 hedge, per spread, of the back month for another small credit...

IE fudging it around down here with VIX @ 13.60 spot.

VIX isn't moving much today so not a lot to worry about thus far.

Still gotta roll the front month on the hedge, and not interested in selling of any of the 50% 'core' remaining...

Sleepy days.


----------



## The_Tosser

My news-smile of the day:

http://www.businessinsider.com/john-afriyie-insider-trading-arrest-2016-4



> "On some days, he was pretty much the only person buying options for ADT's shares, according to the complaint"


rofl, hiding in plain sight. :stupid:

Making money the old fashioned way. Robbing and pillaging in politician style.


----------



## The_Tosser

The_Tosser said:


> Rollin' the back month of the hedge for 70 cent credit/contract......
> 
> covering 1 of the 4X-5 hedge, per spread, of the back month for another small credit...
> 
> IE fudging it around down here with VIX @ 13.60 spot.
> 
> ............


Rolled 1/2 the front month @ $2.25 debit.... (Apr to May). Leggin' it, looking to grab an edge.


----------



## coolnameguy

Really enjoying this thread even though most of it is going over my head

I have a very basic understanding of finance and a bunch of cash i want to put to work. What would you recommend i do to try and learn the processes being described here? Books etc

A bit about me. Own my apartment with no mortgage. over a half million in cash. mid 30's. I have a professional background but i also have considerable experience and proven long term track record in poker. I think i am ahead of the curve (general public) when it comes to things like creating and exploiting edges, statistics, and risk management. I don't however have any formal finance experience other than some basic accounting courses and recently reading some beginner finance books. I would really like to take things a step further than having a 100% passive portfolio and willing to put in considerable effort in learning but it seems like its easy to drown yourself in info while chasing your tail in the finance world. some direction would be great

Thanks for the great thread. Any and all info appreciated


----------



## The_Tosser

We'll chat soon CoolnameGuy, and yes you seem way ahead of the curve given your enjoyment of poker, stats and odds-related events in general. This is where the game is played and your ability to realize what i would call the obvious, puts you ahead of most, before you even get out of bed in the morning, lol.

I gotta run, but before the close, I've finished the roll of the last 1/2 of the front month "Hedge" @ $2.22 debit.

I'll do the the final number tally soon, but the current Hedge is again 25% of full core size, and is May-July. I believe we made a gain on the week and it was not due to the Hedge! lol.

EDIT: You can do the math or accept my word on it.

I'm net long 25% of core Hedge @ -24.00k (all-in costs after roll).

The 3 week hedge cost was about $1020/spread on the core. A hefty price to pay to be sure but it also makes it easier to slam the hell out of the 'premiere' for adding to full core or making 'premiere' trades against the hedge, which is what I've been doing. This keeps the net-long vix wolves mostly at bay while you maneuver around to gain position at some point in the future as you're 'wrong' in the short term.


----------



## The_Tosser

coolnameguy said:


> What would you recommend i do to try and learn the processes being described here? Books etc


I just saw the new Tasty-Tom upload. The gods must be smiling on you because i was about to say there's not a lot of quality info out there on what we're discussing here in this thread, and then I was reminded of this guy..






The first 14 minutes or so. There are many avenues we could discuss around this thread's ideas, but for a one-stop shop I don't think you'd find better info in general. The format is also appealing. You've got a long time trader talking his craft, explaining his mindset and discussing his actual trades. Where are you going to find a better deal than that? You're literally looking over his shoulder for free, as he explains what he's doing and why he's doing it, as Dylan the guy playing the new person to the game role, asking basic questions.

It should not come as much of a surprise, but we're both thinking the same thing. The title of this recent video is "Trading when there's no market volatility". This is what I've been saying for a week or so. It's dried up "We're closer to a floor than a ceiling" (in volatility).

The question is, do you understand without much thinking involved, everything Tom is saying here? If you don't then start there. That info is likely all over his site. 

Let's take a look at what he's saying about vol-trading in this video.

4 mins in, he basically spends the next several minutes talking about EXACTLY what i am doing in this thread and more importantly my immediate trades that are on the table. For instance, he's talking about being long volatility. I say as a general 'rule' to anyone new to the game, just forget-about-it. It's not worth it, you'll likely do it very poorly and get hammered badly. You need to know how to do it and by that all i mean is keep yourself in the game without losing a boatload of money while you wait to possibly make some sort of return out of it. It's a horrible trade in general.

Why"? It's DAMN costly..he give stats starting @ 5 min. Specifically @ 5:48......'the cost of maintaining that long-vol position......'

What's his example here?


> For every $15K you put up, there's about $1K to $1.5K a MONTH expense.


 ouch!

Now go look @ what I wrote in post #313 about my cost for my hedge. To break it down for you to compare apples to apples, what Tom is saying is exactly equal to what, on a per spread basis I wrote was my current hedge cost. I gave it as $1020 for 3 weeks.

He is DEAD ON. It's just too easy for actual traders to know who's a punk and who knows wtf they're doing. You just listen to what they're saying and doing. This is why i think you would do well listening to Tom's ideas and get into his head. He's the real deal. Listen to the guy. Come back in 6 months after you've learned and played and listen again and reap additional benefits out of the same video. You'll be surprised to see what you missed, or misunderstood, the first time around.

Is Tom long vix? (10:25) Yes,..How?........... long vix futures call-spreads and short vxx puts (May cycle).......... do you understand the position? Again if you don't, dive into his videos, you'll figure it out. At this oint he's just talking options. It's no big deal. Go look @ BSM model and understand it inside out and backwards. Dive beyond the 'top line'.









From that you will learn where volatility 'fits in'.

11:30 Why, Tom?


> "Because I want to get long volatility too, I'm not blind, I understand it, I know the risk I am taking".................."I'm just going to get long it the right way".


Bingo. He nailed it.

I am more or less doing what he's doing. The same idea. I'm just short 3rd month in higher $$ amount and skipping vxx short puts, and call-spread. I'm just term-spread futures trading with the same basic look. We're both attempting to gain in the next while by being long vix BUT getting the market to covered a whole pile of cost of being long vix. That's it. There's a hundred ways to do it. What matters is the mindset, the idea, the why.

How I don't get taken to the cleaners is just by selling enough back month to pay most of the costs while i wait for a hugely asymmetric move in my favour. Who knows it might not work. But I will lose as little as possible while i take that shot. That's the risk. That's trading. 

What else am I doing? I am also net-short vix a long(er) way out in time (Premiere trade) - see what Tom says @ 5:26 mins. What we're selling for Sept-Oct etc is >$20 vol. We're selling, on average, expensive vol while we take a near term shot at long vix in a time that we think volatility is more risky to be short. 

To sum up, watch the videos on Tasty with Tom-Dylan and skip most of the rest. Listen and understand what Tom is saying. Know his positions and the 'why' of them. You need to be somewhat immersed in what you're doing. Having fellow traders around you may help. They have to be equally serious about it and they have to want to trade what you've decided to trade so you can feed off of each other and at times keep each other from jumping off the ledge by doing something stupid. I have a closet full of those T-shirt. If you want one, just ask. Don't go out and 'buy' your own  lol.


----------



## Moneytoo

I think I'm a punk who feels lucky - VXX under $17 looks oh so tempting..


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## The_Tosser

Moneytoo said:


> I think I'm a punk who feels lucky - VXX under $17 looks oh so tempting..


long VX call spreads + short VXX puts.............. run with Tasty-Tom 

Or just dump your long HVI .............. :smilet-digitalpoint


----------



## Moneytoo

I'll sell my HVI in May or @$10.29 - whichever comes first lol Will call it either silliness & stubbornness or optimism & patience 

But my husband still has 8K+ cash in his RRSP that i was thinking to convert to USD anyway - might as well use it for a short-term long-VIX play..


----------



## The_Tosser

98% hold on rates for Apr 27th.

http://www.cmegroup.com/trading/interest-rates/countdown-to-fomc.html


This may not be 'why' your average citizen is an economic ignoramus, but this rubbish doesn't help one bit...

http://time.com/4293549/the-united-states-of-insolvency/?xid=homepage&pcd=hp-magmod

Let's be clear. 

James Grant, the author of this Times piece of trash, is a fu**ing retard. A complete know-nothing. His ignorance shows in the opening sentence


> This much I have learned about debt after 40 years of writing and study: It is better not to incur it.


 Right. Game, Set , Match, I rest my case. He knows nothing about Sovereign Money. Nothing.

https://www.washingtonpost.com/news...nsational-claims-time-magazine-has-ever-made/



EDIT:

OH jeez, roflmfao

http://www.bloomberg.com/news/videos/b/7bb8d3de-473e-4891-b60f-b39aec29a5bd

I guess i called it this past week about people with an eye for "Gold" 

So of course I find out this Grant retard is a gold bug. lmao. It's exactly what I said. It's not gold, itself, it's the losers that gold attracts. Know-nothings and doomers. This fool is no different than Schiff, Rogers, Ron Paul and other gold/debt-clowns.

I love hearing that gold-backed currencies are the only ones that have never failed. But wait, you don't see any now do you?

Ever ask why that is? roflmao.

Damn!


----------



## The_Tosser

lmao this is just too funny. I can't let it go, rofl.

This is why i read this stuff to begin with lol.


Grant writes:



> To understand our financial fix, put yourself in the position of the government. Say you earn the typical American family income, and you spend and borrow as the government does. So assuming, you would earn $54,000 a year, spend $64,000 a year and charge $10,000 to your already slightly overburdened credit card. I say slightly overburdened–your outstanding balance is about $223,000.


OK, SO I am putting myself in the Fed Gov's shoes. I'll do this one step at a time. Who knows who it might just help......



> Say you earn the typical American family income,


Aw ****, We're effed already. As I am now in the Government's shoes, I realize I don't 'earn' anything. I have no need to 'earn'. I am the sole issuer of a sovereign fiat currency, fixed to nothing.

Oh well, let's move on from there,.. let's just ignore that one and move to step # 2....



> and you spend and borrow as the government does.


Aw ****, we're effed again,... Oh sure, I spend. Of course I do. If i didn't spend first, how the hell would anyone get my sovereign money to begin with? But wait, do I borrow? Why would i do something silly like that? I am the sole issuer of money. Why would I need to borrow my own money? If i needed it, which i don't btw, I would just wave my hand and conjure it up like I've done with every last bit of it thus far.

Grant, maybe you've played Monopoly before. How did you buy that first piece of land? Yeah, you were given a starter-kit of money from the banker. Had he not done that how would you buy anything and play the game? 

Well I am the banker, dude. You can't get what I don't first hand out. Oh sure, I make you work for me to get it, and you will, because i have levied a tax on your *** payable in a form that only I can create, to immediately give what I have, (fiat) worth a **** ton to you. Oh yes, b*tch! I now own your ***. Look, I have >300M peeps in the USA alone that want what I've got. No problem creating a continuous need, huh? rofl... Poof! Done. 

BTW, if you think what i have is of no value, stay home next week. No wait, stay home until October......2018. I'm sure things will be great. Oh, no you won't have a job by then but who cares, you're only getting my worthless fiat in return for your brilliant reporting, so why are you bothering to work at all for 'nothing'?

Oh well, lets forget this too, just for the sake of being able to move on,........so far Grant is swatting at flies.



> So assuming, you would earn $54,000 a year, spend $64,000 a year and charge $10,000 to your already slightly overburdened credit card. I say slightly overburdened–your outstanding balance is about $223,000.


Well I am sorry Grant, you ****, but the previous fact that I've given makes everything you say from this point on, nothing but ignorant blather. I am the sole issuer of a non-convertible currency that I don't need, on top of the fact that I can print any amount I would need to, to produce the desired effect mandated.

Brace for it, Grant and other dooms-dayers,....... what you call the national 'debt' is only going one way. And it is of no real concern, unless it doesn't go up! We are living WAY below our means and it's only the ignorance of the type that the likes of Grant displays that is holding us back.


----------



## The_Tosser

Grant Continues:



> A thin cheer went up in January when the deficit (calculated over the 12 preceding months) weighed in at a mere $405 billion, the lowest over any 12-month period since 2008. Only $405 billion. It’s not so much, as Washington strums its calculators.


rofl. That's right, fool. I noted this here in this thread in Jan and Feb of this year. You know, when i owned NOTHING and said so, coming into 2016, rofl. And look what happens to the economy when we attempt to run 'balanced budgets', rofl. Yep, you get exactly what is expected - if you actually understand economics that is.

I correctly assumed that the Gov would not let us run off the cliff as we were getting dangerously close to 'balance'. As Feb wore on and it got even uglier yet for the markets, sure all investor get nervous, including myself. I get scared because i know just how many stupid people, like yourself, Grant, actually are in government, rofl. Fortunately the operations people aren't the dumb ones, it's just the retards that get elected, news columnists and reporters 

I've been following the increase in deficit spending data and reporting it here ever since. rofl.

Reader, if you're walking down the street and think you see this James Grant character, get close enough to him, then look for the feces all over him for confirmation. lol. :stupid:

He literally doesn't see that what he's saying in the above quote is proof he's completely backwards in his thinking. This by no means is an anomaly. I recently linked JPG's to this affect, going back decades and decades.

It's brain-dead simple. If the government stops 'spending' money, and they are draining it via taxes, wtf do you think is going to happen to the economy?

Do you know what this


> 'thin cheer'


 was Grant? It was people that actually understand economics that are traders, cheering because we were being given a gift, rofl. :beaten: I guess i should thank you for maintaining the ignorant fear factor. It makes my life a lot easier. irate:


----------



## Rhaegar

I agree with most of what you are saying, just wondering what your thoughts are as far as if there is a "limit" to how high sovereign debt can be sustainable before it actually becomes a problem (i.e debt/gdp or whatever ratio you want to use)?

As much as the usual media crap about our grandkids "paying it back" and whatnot is BS, certainly there can be issues if the financing costs become too high or the total debt becomes too high for the country to handle it?

Now of course there's always the ability to print more money but that can be a problem too. Maybe not for the US in the global position they are in can do what they want, but a smaller country like canada can't debase the currency too far, and can get screwed over by global financing issues.


Personally I've always hated the media treatment of debt and deficit, and I would love to see a proper political discourse where X% of GDP is treated as ok debt/deficit levels, and you are actually doing a shitty job if you aren't taking on debt at at least that level.


----------



## The_Tosser

> I agree with most of what you are saying, just wondering what your thoughts are as far as if there is a "limit" to how high sovereign debt can be sustainable before it actually becomes a problem (i.e debt/gdp or whatever ratio you want to use)?





> As much as the usual media crap about our grandkids "paying it back" and whatnot is BS, certainly there can be issues if the financing costs become too high or the total debt becomes too high for the country to handle it?


As incredulous as it sounds, the simple facts is there is no limit to what can be paid back when you freely print it. How exactly could there be a debt too high when all you have to do is hit the 'print' button to cover it? It can't be so. More on this in a minute, because I already know what some might be thinking.



> Now of course there's always the ability to print more money but that can be a problem too. Maybe not for the US in the global position they are in can do what they want, but a smaller country like canada can't debase the currency too far, and can get screwed over by global financing issues.


Ok now you've hit one point. This is that minute i just ask you to give me. Printing money can be a problem of course, but it's not what everyone thinks it is. There is no limit to what can be printed. There is no ratio, number etc etc that can't be out done. What IS a problem is if you're pissing it away and using it stupidly. This drive up prices and causes inflation. "Too much money chasing too few goods" There are relatively easy ways around that. The problem is as usual, a complete misunderstanding among those that call the shots. Will they eff it up? Well yes, of course. They always seem to manage to do that.

I see you really don't want to totally let go yet of the idea that we can print. You feel that there must be some limit we can't cross. There just isn't. What we can do is use it poorly. The mandate is full employment (They eff this up all the time and never gt us to even close of what we could easily have) and price stability. These things can be achieved. What the deficit and debt is if we did what it would take, are completely irrelevant. It's that simple. They are just accounting entries to balance the books. They are meaningless otherwise. I'm being brief of course, but this is the major thrust of it.



> ....and I would love to see a proper political discourse where X% of GDP is treated as ok debt/deficit levels, and you are actually doing a shitty job if you aren't taking on debt at at least that level.


Remember the Fed Gov needs only to balance the economy. The "amount" you're going to run in deficit in any single year is the number you get after you employ all available and willing workers in an efficient manner and are able to provide the real goods we all need for a proper and functioning society. What's that number? Who gives a ****. It is what it is. It is that irrelevant. It doesn't need to be set before hand. It can't be set before hand. In fact there are very real reasons why the Fed Gov needs to step on the brakes from time to time (usually because they've used the press poorly), so overspending for the sake of it is not what you want to do either.


----------



## The_Tosser

Oooh look. ES -13/DOW -100

Selling a bit more back-end solo Oct's just in case we run this thing back up by the morning. I think we may have finally caught some headwinds.

Bonds-a-boncin' too.

Not near willing enough to short those bad-boys yet.

Hey btw, have you ever wondered why the safest asset in the world (US T-bills) carry any interest at all? Well OK maybe a point or two for inflation's sake, but why ever would it move up like it once was?

Just a thought for one to think about. lest they think that they're staring at the mother of all shorts, in Treasuries


----------



## Moneytoo

Moneytoo said:


> But my husband still has 8K+ cash in his RRSP that i was thinking to convert to USD anyway - might as well use it for a short-term long-VIX play..


Damn, should've done it last week (tm)... :upset:


----------



## The_Tosser

Moneytoo said:


> Damn, should've done it last week (tm)... :upset:


are you saying that it your trade mark?


> (tm)


lol


----------



## Moneytoo

The_Tosser said:


> are you saying that it your trade mark? lol


Looks like it sometimes - but oh well, there'll be another mole


----------



## Moneytoo

PS Glad I didn't buy VXX last week (tm) lol


----------



## The_Tosser

Dumping 25% sized position of 'premiere' +$1300 per spread,..........also covered all Oct short vix from last night

#323


> Selling a bit more back-end solo Oct's just in case we run this thing back up by the morning.


winner winner, chicken dinner...lol :smilet-digitalpoint

I am getting perilously close to a net-long vix over-all, so here i sit and wait, for now.

Position update is 25% of core "Hedge", 25% core 'premiere'.


----------



## The_Tosser

*UPDATE*

April 13th:


The_Tosser said:


> I'm likely done for the week, so the Fute's accts updates are as follows.
> 
> Core PnL +$4.4K per spread. Realized.
> 
> Trading PnL adds another +$2.6K realized, in the past 5 weeks for a total of +$7K per spread, on our way to the goal of $8K to $10K per spread.
> 
> Currently on the table is 50% 'core' @ $-61.45k (adjusted accordingly) and that ******* Hedge which i said from the start will likely hang around for a few months. I'll keep that updated as i roll/trade it. I have 25% of core position on it with the option to go to 50% - and zero willingness to do so yet.
> 
> VOP's are ZIV @ $39.50 and under..... i dunno 20-25% as i recall, without looking.


Since i am on vacation I'll not likely be doing anything else for the week, or next for that matter, so here's the weekly position update, one day into this week 

VOP's are unchanged.


Fute's accts are "Core" unchanged @ +$4.4k per spread. Trading positions after today's sells, +$3K per spread, for a *total of +$7.4K per spread*, on our way to the goal of $8K to $10K per spread.


----------



## Moneytoo

But do you understand what happened this morning? Last night VIX futures were up ~5%, this morning it reversed. I looked at the markets at noon, oil is slightly down, everything else is up, including CAD... I heard that markets are unpredictable, but usually there seem to be some logic behind all the greenery - and today looks puzzling (at least to me  Thinking of actually selling my HVI... lol)


----------



## Rhaegar

Moneytoo said:


> But do you understand what happened this morning? Last night VIX futures were up ~5%, this morning it reversed. I looked at the markets at noon, oil is slightly down, everything else is up, including CAD... I heard that markets are unpredictable, but usually there seem to be some logic behind all the greenery - and today looks puzzling (at least to me  Thinking of actually selling my HVI... lol)


Markets aren't making very much sense right now. 

I think what's going on, is everyone has been expecting a drop after the big rally we've had (i certainly have been) and it's turned into a bit of an anti self fulfilling prophecy. The short interest on the SP500 has been crazy and there have been so many "obvious" short levels as we've run up from 1800. The shorters have been getting crushed at every level and just driving the market higher with covering. But its ok, 2100 is a super obvious level to short, so im gonna go all in on it... what could go wrong? lol

So VIX has of course been getting crushed the last couple months and will continue until the market actually does roll over a bit. Will it stop at 2100? It probably should, which means it definitely won't. I find new ATH's a bit hard to believe at this point, and even if we hit them I would expect some sort of pullback, but who knows, thing's aren't exactly being logical right now. Big money could be trying to pump and dump it but it's impossible to know when, and the pump probably goes until the majority of investors capitulate and jump on board. From what I'm reading there's still lots of money sitting on the sidelines so it might be a while before that happens.


----------



## Moneytoo

Thank you - and screw it, sold HVI... actually found my private message to a fellow volatility noob from January 8th:



> *I have a limit sell order @ $10.10* (so I'll make 8%/$300 - the bare minimum that makes sense to me considering that I bought a first batch a month ago ) We've been there last week, and the futures look promising now - don't think we'll get there tomorrow, but maybe next week? *If not, I'll cancel the order and will sit with it till the spring*/until the markets calm down, whichever comes first lol


- and decided to be a woman of my word: *sold for $10.11 lol* Yeah, a few months wait to make $300 bucks - but now I can brag that all 3 of my trial HVI trades were profitable lol


----------



## The_Tosser

Moneytoo said:


> But do you understand what happened this morning?


Nope, nor do i really care.

It's this preoccupation with this type of requirement to 'know' the unknowable that is a complete waste of time and i can assure you takes up ZERO of mine.

Once people realize how unimportant that stuff is to making money, you'll all be a lot better off.


----------



## The_Tosser

Out everything, once again.

100% cashola baby. Now i can get back to my vacation.

High water marks everywhere so i see. A nice place to slip it into neutral. :rugby:

The fresh updated numbers will come at some point..... lol.


----------



## The_Tosser

The_Tosser said:


> The fresh updated numbers will come at some point..... lol.


Call it a wash. I just made enough on the last 25% 'prem' to cover all loss on 'hedge' - but have to admit the hedged helped me some a bit today too  

VOP's Out +5% (41.50 area) from $39.50 and under.

close enough. We're running a bit hot and i don't mean all of this great summer heat


----------



## Moneytoo

C'mon, let's have some fun, open a new thread and play long VIX! :biggrin:


----------



## The_Tosser

Moneytoo said:


> - and decided to be a woman of my word: *sold for $10.11 lol* Yeah, a few months wait to make $300 bucks - but now I can brag that all 3 of my trial HVI trades were profitable lol


Congrats. Good job. You have more patience than I.


----------



## The_Tosser

Moneytoo said:


> C'mon, let's have some fun, open a new thread and play long VIX! :biggrin:



No Ma'am. I'll just be watching from the sidelines, lol. 

Have a good one!


----------



## The_Tosser

It's rampant 

http://247wallst.com/economy/2016/0...absorb-a-750-billion-saudi-arabian-fire-sale/


> While Japan’s holdings have been steady since 2012, China’s have fallen 20% since 2014, for an absolute fall of $780 billion in 21 months. Despite that sell-off, interest rates on US government debt have not increased since China began liquidating its Treasuries.


Now if they knew how it actually worked, they would understand that the 'market' does not control the rates that the US pays on their T-Bills. This should be of no surprise, but evidently, lol :stupid:



> However, if the Saudis panic or intentionally dump their entire holdings on the market at once in a revenge move, the bond market could crash, sending interest rates skyrocketing.


Uhhmmm,.......... Nope.... or more precisely, only so far and for as long as the US itself says so, rofl. 

More rubbish from the financial 'experts' lol

Recent history....What happened when S&P downgraded US Debt? You now call it the recent BOTTOM of the Bond market for the last several years, rofl... duh! :cower:



> The $80 million number is based on bond yield fluctuations on October 15, 2014, about four months after China became a net seller of Treasuries. On that one day, bond yields fluctuated 14% from highs to lows, something that had never happened before.


Calm down fools. 14% of an extremely small number, is still an extremely small number. Fear mongering! We are *STILL* @ all time highs in the bond market - what do you believe more?! Reality or rhetoric? lol irate:


----------



## The_Tosser

http://www.cnbc.com/2016/04/19/saudi-arabia-takes-out-10bn-in-bank-loans.html

lol.

Maybe they gotta sell US T's cause they need the cash  lol.

Don't forget, selling US T's only give them their cash back - it actually makes them worse off all the way around... Driving their own prices down to some degree and losing the interest income from the T's they no longer have. 

These guys are clearly listening to the brain-surgeon economist in the USA. Oh well, their loss. Keep sending that real output to us :smilet-digitalpoint lol

EDIT:

btw i notice bonds rolling over the last couple of days. There's now about 15 days in the history of forever that have seen bond prices greater than thus far today. I think i might have missed it. I don't really have the appetite for it here. My ducks have not lined up. Maybe they will not.


----------



## The_Tosser

Vacation is grand. You get to do whatever you want 

If I told you Paul Krugman (Nobel Memorial in econ 2008) plus a list of achievements as long as his arm, didn't know what the f*ck he was talking about, would you believe me?

No, I wouldn't blame you for not doing so. What I thought I would do instead, is let Krugman tell you himself.

Here's today's link to ponder..

http://krugman.blogs.nytimes.com/2011/07/16/italy-versus-japan/?_r=0

As you can see, this is from about 5 years ago.



> A question (to which I don’t have the full answer): why are the interest rates on Italian and Japanese debt so different? As of right now, 10-year Japanese bonds are yielding 1.09%; 10-year Italian bonds 5.76%


So let's set the stage here:

Krugman's field is macro economics. He's penned over 20 books, He's already watched the 2008/09 disaster and had time to think about it. He's 58 years old in 2011 so he's had enough time to ponder his entire field for longer than one would ever need. He taught @ Princeton, His 'influences" so his wiki page states are Samuelson and Keynes.....



> Mr. Krugman received his B.A. from Yale University in 1974 and his Ph.D. from MIT in 1977. He has taught at Yale, MIT and Stanford. At MIT he became the Ford International Professor of Economics.


OK, Now go re-read the single-line quote from above.

Now ask yourself, is his idea of how an economy work correct, or is he being paid to tout **** he knows is incorrect?

You cannot state the guy is 'dumb'., as in low IQ - no way can you say that, so it has to be one of the above choices.

Is he just plain wrong along with most of the rest of main stream economists, or is he being paid to sell bullshit to people, students etc?

Since "Paul" says he doesn't know the answer, lets provide it to him.

I restate the comment:


> A question (to which I don’t have the full answer): why are the interest rates on Italian and Japanese debt so different? As of right now, 10-year Japanese bonds are yielding 1.09%; 10-year Italian bonds 5.76%





> I ask this because in a number of ways the two countries look similar. Both have high debt levels, although Japan’s is higher. Both have awful demography. In other respects, the numbers if anything favor Italy, which has a much smaller current deficit as a percentage of GDP.


There you have it folks. A grade 2 question and he's feeling around in the dark for the answer. Hopeless.

Paul, you dope (Hey it is 4-20 today, lol) .....

Who issues Italy's currency? Well it's not the Italian Government. In Euro land, the ECB runs the show. What can't Italy do then? Yeah, they cannot freely print their own money - they are NOT the sovereign currency issuer. This by the way, is why Euro is DOA without ECB re-setting to a workable mandate such as the US Fed has.......... and to my point, also what Japan has :hopelessness:

Yes,"Paul", the simple reason why Italy's interest rates @ the time were 5.76% and Japan's were 1.09% are that Japan is the sovereign currency issuer AND RATE SETTER. That's why they are so different even as the economies look surprisingly similar.

The next time some jaggaloon with a Social Science Nobel speaks, you might want to remember just how screwed up they're likely to be. Krugman is no different than Greenspan, Bernanke and Grandma Yellin. They all have the wrong model and they are so entrenched in their wrong models, they refuse to back out of them. 

They've gone too far to come back. It's that simple. They actually believe what they are saying even though it is plainly and wholly incorrect. He at times looks like he wants to get there, but in the end these guys always **** the bed and fall back into their tried and failed ideas. The truth is much simpler than he will ever accept.

Krugman is telling you himself. It's right there. He doesn't understand the first step. Form there he just gets it more wrong. It's a disgrace. He of all people should know better.

EDIT:

Ask yourself this. If you want to buy a US 10 year T-bill today, what would the rate be? 1.854%

Now, what's the 10 year rate for a Euro?

Ahah! ........... not enough info......'where' are you getting it?, lol. Germany, Greece? That's right, the SAME note has different rates! They don't control their own currency.

That's like getting a different T-Bil rate in California vs New York, lol.

Does that put how whacky this is, into perspective? lol But I bet you it makes perfect sense now doesn't it? Of course this explains perfectly why Ontario rates are different than Nova Scotia's for provincial bonds. They too, do not have autonomy even though they use the same currency, that the Fed Gov controls.

this stuff is obvious to most everyone,... somebody please explain it to Krugman, lol.


----------



## The_Tosser

So why the above info/posts?

So you stop, or don't, get suckered by people that you're likely to hear in the media that one would assume must have a working knowledge of their very profession.

I am still amazed at the height someone can reach and still have no clue. I kid you not, I've talked to hedge fund managers that don't believe the type of stuff that I've written recently. Very basic stuff, imo. 

Not a bit of it! lol

I like to believe they are a rarity since people that are actually paid to be right generally know the real situation, but I am not convinced either way in all cases, lol. It hasn't seem to hurt their personal bank accounts though  

I want people to be leery of these debt-doomsday-nazis, the bond bubble bursting fools etc. It might not be what you think it is. In fact you can bet if the majority of people believe something (that means you), it's likely NOT true, lol.

Who thinks Volker saved the day back in 80's ? 

ROFL, Nope - failed economics with his own hand. Why don't you believe me? Because the media has cobbled up some bullshit story that you've bought for decades, that's why, lol. It never fails, you're just wrong if you think 'mainstream', lol. They brought him back a few years ago for what? lol. His ideas @ the time were worse than Krugman's are now! Debunked!

The question you need to ask yourself the next time you form a belief on markets is,......"OK, where did I go wrong?". 




Bonds have begun to roll over. Did i miss it? I dunno. What's my position here? 100% vacation, 100% cash.

The odds suck for vix short imo, i don't really see any obvious plays on anything. Nothing has reached an extreme that I would take, given where we are here. The market has kind of gone a pit parabolic on a few stocks. I dunno, I don't like it. The last I saw the US Gov was still on the gas pedal and so far it's still showing. I have no vision here either way. There's too much fog. 

I know, another week in the fresh air :smilet-digitalpoint


----------



## The_Tosser

And this is Krugman 3 years later in 2014.. please note once again what he said in the 2011 post..

http://krugman.blogs.nytimes.com/20...e=blogs&smid=tw-NytimesKrugman&seid=auto&_r=0



> Now, wait a second, you may say: higher debt will mean higher borrowing rates, because people will fear that we’re about to turn into Greece, Greece I tell you..................*As many of us pointed out*, however, such results were driven almost entirely by the euro crisis; high-debt countries that borrow in their own currencies haven’t seemed to face anything like the same costs. And a funny thing has happened to the euro area itself since the ECB started doing its job as lender of last resort: not only have rates come down, but the relationship between debt and borrowing costs has become much flatter.......................I don’t want to say that debt doesn’t matter at all. But it clearly matters a lot less than the fearmongers tried to tell us.


But wait a minute, Krugman. that fear-monger ******* was YOU, lol. You pointed out what again???? rofl. Revisionist history much?

Anyway, Krugman is still wrong, just not as embarrassingly. The ECB is closer to what they need to do, but they still are riding a broken mule.

When they fix that (they won't, because "they've gone too far down that road to come back now"), I'll let you know


----------



## The_Tosser

Well that was a sizeable pullback in the vix spread.

I have no choice. 

Back in 25% core @ -$61.40K, Jul-Sept her in the after hours.

This is a $3K drop since my last sell, and $1K or so under the 2nd best sell.

I'll place an order to re-buy ZIV back once again 20%-25% position @ < $39.50 for starters. We caught the top on her @ $41.50 for the exit.

Staying light because I'm always hoping we get killed, lol, but i needed to take a foot-hold tonight, just the same.


----------



## janus10

It's not VIX related, but today I made my initiated my first bull call spread. Those commissions are pretty pricey even at IB. It's part of my "play small and often" tactic to learn about options spreads.

Looked at historical VIX and saw some incredibly long periods of low volatility (July 2012 to last August for example) so I better understand your strategy of playing the spread rather than being directional (although I'm guessing that there will be certain extreme periods where you'd feel comfortable being somewhat directional).

I know a little more than I did last week, but it's also clear that there is a lot more to understand and master. I'm looking forward to it.


----------



## mordko

@Tosser - nice selection of Krugman quotes


----------



## The_Tosser

The_Tosser said:


> Well that was a sizeable pullback in the vix spread.
> 
> I have no choice.
> 
> Back in 25% core @ -$61.40K, Jul-Sept her in the after hours.
> 
> This is a $3K drop since my last sell, and $1K or so under the 2nd best sell.
> 
> I'll place an order to re-buy ZIV back once again 20%-25% position @ < $39.50 for starters. We caught the top on her @ $41.50 for the exit.
> 
> Staying light because I'm always hoping we get killed, lol, but i needed to take a foot-hold tonight, just the same.


Out -$61.00K, +$400 per spread

ZIV missed by a few cents! 100% cash everywhere again.

Catch you well into next week, maybe even longer


----------



## The_Tosser

*UPDATE: Apr 22, 2016*



The_Tosser said:


> *UPDATE*
> 
> April 13th:
> 
> Since i am on vacation I'll not likely be doing anything else for the week, or next for that matter, so here's the weekly position update, one day into this week
> 
> VOP's are unchanged.
> 
> 
> Fute's accts are "Core" unchanged @ +$4.4k per spread. Trading positions after today's sells, +$3K per spread, for a *total of +$7.4K per spread*, on our way to the goal of $8K to $10K per spread.




Trading today added $100 per spread on the core.

Fute's accts are "Core" unchanged @ +$4.4k per spread. Trading positions after today's sells, +$3.1K per spread, for a *total of +$7.5K per spread*, on our way to the goal of $8K to $10K per spread.


EDIT: 

+$614.00 Avg per spread on 22, 25% core-sized trades.


----------



## The_Tosser

25% core @ -62.45k (jul-sept)

sprinkle of short Sept (more) and Oct vix, 20.50, 21.15 respectively.

short UVXY Sept calls......

from 100% cash to cruising speed  solo-stuff was @ Fri mid-afternoon.


----------



## The_Tosser

The_Tosser said:


> 25% core @ -62.45k (jul-sept)
> 
> sprinkle of short Sept (more) and Oct vix, 20.50, 21.15 respectively.
> 
> short UVXY Sept calls......
> 
> from 100% cash to cruising speed  solo-stuff was @ Fri mid-afternoon.


I'm booking the Oct gain right now, $400 per contract. Let's start the week out right after much too long away.

btw those VOP account ZIV @ $39.50 took i do believe. I haven't confirmed but i see the prices hit. If the order were still in, we're 20% @ that price, again coming out of 100% cash on the VOP's too.


EDIT:

VOP's are in @ $39.40 as it turns out.


----------



## The_Tosser

The_Tosser said:


> short UVXY Sept calls......
> 
> from 100% cash to cruising speed  solo-stuff was @ Fri mid-afternoon.


covering uvxy short calls + 17% over the weekend.

Good percentage, small $$$ ......

It's good to be back in the saddle, lol


----------



## The_Tosser

The_Tosser said:


> sprinkle of short Sept (more) and Oct vix, 20.50, 21.15 respectively.


Order is in to cover 1/2 Sept shorts for +$1K per contract. Not gonna happen too soon.... ($19.50)


----------



## The_Tosser

The_Tosser said:


> 25% core @ -62.45k (jul-sept)


lol Out, -$61.35 +$1.1K per spread, taking that less-than-one day cash and runnin' !

Also cancelling that Sept solo-cover. No need to get over cautious yet


----------



## The_Tosser

*UPDATE: May 2, 2016*



The_Tosser said:


> *UPDATE: Apr 22, 2016*
> 
> 
> Fute's accts are "Core" unchanged @ +$4.4k per spread. Trading positions after today's sells, +$3.1K per spread, for a *total of +$7.5K per spread*, on our way to the goal of $8K to $10K per spread.
> 
> 
> EDIT:
> 
> +$614.00 Avg per spread on 22, 25% core-sized trades.



Update for possibly the week? I dunno, seems like it was a good day so no need to get muddy the rest of the week unless we get another juicy shot.

Fute's accts are "Core" unchanged @ +$4.4k per spread.

Trading positions after today's sells, +$3.4K per spread, for a *total of +$7.8K per spread*, on our way to the goal of $8K to $10K per spread.

The number are slightly rounded, this time in my favour but i have been giving to the other side for months on end with the rounding so to keep the numbers easy, i'm gonna take this one. It's still way conservative.

So 4 full months in and your year is easily 8% and up to a max of 16%. Time to go into a coma and maybe get on with all of this under-performing that everyone says must happen, rofl. :rugby:


----------



## The_Tosser

First 10 mins: Selling risk.

9:30 Carl Icahn is just and old guy... and a bully....just like Goldman Sach. No stars, old school and crappy, why are you listening to either of them lol

13:00 long USD.JPY ( i half kind of like this trade)

17:30 The Bond market is the real risk he see's. (again/still).

24:30 The best investment for the next decade - selling the bond market? Uhmm, nope i absolutely disagree. 1000% - Since i missed the last decent short @ Apr highs, i'm sitting out. The way i see it playing out is that i miss the short, rates move next month and i end up going long the bond market towards the end of the year. Until then, or until further data comes out,..out i will sit


----------



## The_Tosser

Keep laughing at Europe.

http://uk.mobile.reuters.com/article/idUKKCN0XM1AF?irpc=932

Germany, she hates her citizens, you, and anyone that looks like either 

Euro-land continues to be a total cluster-****, with germany being the center-piece of stupid, working their hardest to give you their labour in return for 'paper' promises. Sounds like a deal - for everyone else but germany 

There is a place for Krugman in Germany. lol. They are a perfect match. :stupid:


----------



## The_Tosser

I've said it before, I'll say it 1000 more times if i get the chance.

Yanis Varoufakis is easily the most intelligent and upright politician in modern times.

This guy knows his ****, period. Of course he got tossed to the curb with a knife in his back, via his own party, lol. The anti-austerity party at that! holy ****! rofl.

btw, proof positive your vote doesn't mean ****! never has, never will!


----------



## The_Tosser

YM -107 atm..

lol well OK, back in premiere spread Aug/Oct as roll is close, @ $-62.90k (25% core for starters).


----------



## The_Tosser

My early morning daily belly-laugh moment.

Oh no he didn't!


----------



## The_Tosser

lol bleed sucker, bleed. I need to get > 20% invested again, rofl.

YM -164
ES -21

another 500-1000 YM points would work! rofl

we may get our preferred bond short price yet - here's hoping


----------



## Moneytoo

The_Tosser said:


> lol bleed sucker, bleed. I need to get > 20% invested again, rofl.


Yay my tiny HUV (CAD VXX) position is up 10%! I didn't sell it on Friday when it was up 15% - decided to wait for 20%+ - and yesterday it went down instead of course... but it's "Sell in May" high volatility season, right? lol


----------



## The_Tosser

my single day-trade attempt for the day (unless we drop a few hundred YM points..)

short Oct @ 20.90 - solo


----------



## The_Tosser

The_Tosser said:


> YM -107 atm..
> 
> lol well OK, back in premiere spread Aug/Oct as roll is close, @ $-62.90k (25% core for starters).


25% core added @ -$63.20k.


----------



## janus10

The_Tosser said:


> YM -107 atm..
> 
> lol well OK, back in premiere spread Aug/Oct as roll is close, @ $-62.90k (25% core for starters).


I've closed out all of my VIX related trades except for one. 

So, when you put "YM - 107 atm" are you saying you shorted the June DIA mini futures or you are just reporting that it is down 107 points?

Are you long Aug/Short Oct VIX spread? And you keep adjusting the ratio and/or take profits as the market shifts? Are you looking at technicals to decide when to adjust the ratio or is it fundamentals or based on "gut feeling"?


----------



## The_Tosser

janus10 said:


> I've closed out all of my VIX related trades except for one.
> 
> So, when you put "YM - 107 atm" are you saying you shorted the June DIA mini futures or you are just reporting that it is down 107 points?
> 
> Are you long Aug/Short Oct VIX spread? And you keep adjusting the ratio and/or take profits as the market shifts? Are you looking at technicals to decide when to adjust the ratio or is it fundamentals or based on "gut feeling"?


Re YM: I quoted a level at the time.

I'm only ever 'long' the "premiere trade" as noted and quoted, in many many posts. long aug/short oct in the usual ratio. Nothing fancy.

I'll place a trade based on current position(s) (if any), ES support/resistance, size of a given move for the day, major news items (if any), general vix level which is a bit tough to explain and proprietary in nature, as well as a couple of basic technical indicators of major SPX sectors. I'll bring into the mix occasional currencies/levels as well as the same for bonds to get an over-all feel for what is happening. If i am a little unsure as i have been lately, I stay small and chip away until something big happens, which is why i am always rooting for some market-hurt so i can size stuff up a bit more 

I also play the 'right stuff' and have a good gauge of historic distributions so i can be wrong a lot and still hit 90% winners or otherwise work it out in decent enough time.

As you can see i came into today with pretty much nothing 'on the table' after dumping almost all the vix short by the close yesterday for some real nice 1 day and over-the-weekend gains. I don't much care what happened or why, if i wake up with zero on the table and we are -100 or more on the DJ-30 I'll take a piece of short-vix wherever it lays.

I caught the Oct short and the 2nd premiere pair @ the best print of the day i think, aiming for the ES lows of last Friday. What happens tomorrow? Beats me. You may need to ask Lonewolf to fire up his Ouija Board  lol.


----------



## The_Tosser

June 0.25% increase probability rising slightly to 15%

http://www.cmegroup.com/trading/interest-rates/countdown-to-fomc.html


----------



## The_Tosser

gonna keep dribbling in some Fall 2016 short vix.

Added to Sept short now net $20.65

The premiere trade is @ 50% core size and I'll be waiting for better numbers, hoping to catch a nice market beat-down.

Non Farm Employments numbers just came out. Not what the market wants to see evidently 

This is all falling into my macro-look that unemployment has bottomed, as sad as it is. I think we may have some head-winds on the horizon, but again we have to remember that once the gov's start to spend as the major countries definitely are, we're going to have a natural support.

This keeps us centered. Not too bullish, not too bearish. Not too invested @ this level.

I will likely be adding to VOP's today if we get a further ES draw-down. Being only 20% 'long' the market, it's time to get involved a bit more. back-month vix only. We'll wait for a real obvious move to look @ front month vix. I don't see it here.


----------



## janus10

Hi TT, I'm curious why you chose the long front/near month short 4x later month for VIX futures. I can see taking advantage of the contango and less than volatile move on latter months, but how did you arrive specifically at a 1:4 ratio?


----------



## The_Tosser

Hmmm.

US Balance of Trade just got a whole lot less negative 

Conventional wisdom generally likes this so i hear, but all else being equal this is actually a negative sign.


BTW I have not been posting any USD.CAD shorts in recent months but i just placed a trailing sell-stop 60-80 pip under current prices. I think the USD will rally (see recent JPY comments up-thread) so I am looking to fade this rally once it stalls.

With any luck the 60-80 is enough room to not get suckered on any head-fake. I'm starting @ 10% final size so in the end any head-fake won't mean a whole lot. Right now we're sitting @ 1.2720 area for the first short.


----------



## The_Tosser

janus10 said:


> Hi TT, I'm curious why you chose the long front/near month short 4x later month for VIX futures. I can see taking advantage of the contango and less than volatile move on latter months, but how did you arrive specifically at a 1:4 ratio?


There are 1000 ways to play it. Chose your blend of D/Down, risk etc, sit down @ the table and play your hand as best you can. 

I could (and have) play it many different ways, it would make no difference to me. I would study it, learn the important details then play it accordingly.

It's nothing more than a poker game to me. My sig-line says it all.


----------



## The_Tosser

janus10 said:


> Hi TT, I'm curious why you chose the long front/near month short 4x later month for VIX futures. I can see taking advantage of the contango and less than volatile move on latter months, but how did you arrive specifically at a 1:4 ratio?



Oh i should have mentioned too, look @ the VOP accounts. They are never long any vix. They are short vix, front and/or back. Again, there's a 1000 ways to play it. Abstract out the irrelevant, which btw is 90% of what people discuss and worry about, lol.

Most of it is meaningless. Play the cards you're dealt - done! Don't worry about any short-term results. If you know your game, you'll be fine. I play vix for good reason. I don't waste my time with ****-odds, inefficient games. That alone makes what i do about 1000% easier.


----------



## janus10

*New USD Vix related ETFs*

https://www.etftrends.com/2016/05/rex-shares-joins-bats-exchange-launches-2-etfs/


----------



## The_Tosser

If/when ZIV crosses under $38, consider VOP's +20% added to move to approx 40% invested.

We can sit and stew on that for a while.


----------



## janus10

I'm actually pretty excited about trading VIX. Not necessarily as often as you are (I'll look for higher probability, high reward setups) until I get a better understanding. Still learning (losing money sometimes, but overall making more) and it is nice to have that ability to help the overall portfolio value when the markets are suffering.

I assume the VOP accounts are in the other thread? I'll read up on your postings this weekend. I appreciate your willingness to share.


----------



## The_Tosser

janus10 said:


> https://www.etftrends.com/2016/05/rex-shares-joins-bats-exchange-launches-2-etfs/



lol weeklies etf's! 

Thx.

I guess it was only a matter of time. I generally do not play weeklies- futures direct. I do look @ them on serious market beat-downs as you can make some serious coin during those periods. Of course you puke like crazy the entire time. It is brutal. A broken-bottle bar fight. Do not look @ PnL, just play (and puke). It'll work out.


----------



## The_Tosser

janus10 said:


> I'm actually pretty excited about trading VIX. Not necessarily as often as you are (I'll look for higher probability, high reward setups) until I get a better understanding. Still learning (losing money sometimes, but overall making more) and it is nice to have that ability to help the overall portfolio value when the markets are suffering.
> 
> I assume the VOP accounts are in the other thread? I'll read up on your postings this weekend. I appreciate your willingness to share.


VOP's are found in this thread, but they are, by name *V*ix *O*uch *P*otato, meaning i don't trade them that often. They are as close to sit and hold as i get. They've been cash since the big score from Feb, and over the last couple of days are getting pushed back into shorting the back-end.


----------



## Moneytoo

janus10 said:


> https://www.etftrends.com/2016/05/rex-shares-joins-bats-exchange-launches-2-etfs/


Cool - thank you!


----------



## The_Tosser

The_Tosser said:


> If/when ZIV crosses under $38, consider VOP's +20% added to move to approx 40% invested.
> 
> We can sit and stew on that for a while.


Done. 

Approx avg then is $38.50 area i think.


----------



## The_Tosser

The_Tosser said:


> my single day-trade attempt for the day (unless we drop a few hundred YM points..)
> 
> short Oct @ 20.90 - solo


Meh, dribble-dribble.. @ 21.20 net 21.05.

btw these 'dribbles' constitute essentially, partial-size 'premiere' core sizing trades.

It's just a smaller way of playing until i see the 'juice'. If we don't see or get the 'juice' then it's money in the bank.

The ES is trying to hold last Fridays lows and succeeding thus far.

USD.CAD short trailing @ 1.2785 currently.


----------



## The_Tosser

The_Tosser said:


> 25% core added @ -$63.20k.


Uhuh -$64.40k, oh yes i did irate: lol.

The first time i've been > 50% core in months!


----------



## The_Tosser

Properly found in the entertainment section.

http://www.thestreet.com/story/13554272/1/

Bow-tie guy is a total clown.


----------



## The_Tosser

You wouldn't think Bill Gross has a clue either, would you?

http://www.cnbc.com/2016/05/04/bill-gross-fed-should-drop-the-money-from-helicopters.html



> Gross may not be entirely serious about "helicopter money," but in his latest Investment Outlook note published Wednesday, he said the Federal Reserve and U.S. Treasury should engage in another round of quantitative easing (QE), printing trillions of dollars to buy government bonds and thereby boost the economy


Sorry Bill, but QE - a monetary policy, doesn't do a hell of a lot to stimulate anything and truth be told is a net-negative even if you and the rest of North America, Nobel's of economics etc, think otherwise.


----------



## The_Tosser

lol my apologies for linking RT article, but the content is worth it. Mike Hudson is a bit hard to listen to, but he is spot on.

I especially enjoyed him kicking the balls of that Council of Economic Advisors fool then laughing @ Chicago Business School that is the center of this nonsense, rofl... 

https://en.wikipedia.org/wiki/Council_of_Economic_Advisers






So let's recap, 11T "debt" 5 years ago, now we're what 19T? So i ask again, if it's so bad, how much is enough to cause a default? rofl. Give me a number so when we reach and surpass it you can shut up for good about it! rofl.



> "What's the point of having the debt limit anyway"


 Says the bimbo not getting anything he's saying? Well at least she got that right. There is no reason to have it. Well, other than once in a while it scares people and turns the situation into an ATM machine for those us us that get wtf is going on, rofl.

Unfortunately that game is wearing thin since I believe they have suspended this 'need' until sometime in 2017


----------



## The_Tosser

The_Tosser said:


> Uhuh -$64.40k, oh yes i did irate: lol.
> 
> The first time i've been > 50% core in months!


LMAO..

I guess we're calling that 3rd 25% tranche a trading position. 

Out @ -$63.65k +$750 per spread.

Will recap the running totals later this morning.


----------



## The_Tosser

*Update May 5th, 2016*




The_Tosser said:


> *UPDATE: May 2, 2016*
> 
> 
> 
> 
> Update for possibly the week? I dunno, seems like it was a good day so no need to get muddy the rest of the week unless we get another juicy shot.
> 
> Fute's accts are "Core" unchanged @ +$4.4k per spread.
> 
> Trading positions after today's sells, +$3.4K per spread, for a *total of +$7.8K per spread*, on our way to the goal of $8K to $10K per spread.
> 
> The number are slightly rounded, this time in my favour but i have been giving to the other side for months on end with the rounding so to keep the numbers easy, i'm gonna take this one. It's still way conservative.
> 
> So 4 full months in and your year is easily 8% and up to a max of 16%. Time to go into a coma and maybe get on with all of this under-performing that everyone says must happen, rofl. :rugby:


Fute's accts are "Core" unchanged @ +$4.4k per spread. with 50% core still on the table.

Trading positions after today's sell, +$3.6K per spread, for a *total of +$8K per spread*, reaching our goal of $8K to $10K per spread in 4 months and 5 days into 2016.


----------



## The_Tosser

Oooh just got triggered in short USD.CAD @ 1.2809, 10% of my intended final size.

I guess the game begins here.

EDIT: btw US unemployment claims just in. Yep, rising.


----------



## The_Tosser

The_Tosser said:


> Oooh just got triggered in short USD.CAD @ 1.2809, 10% of my intended final size.
> 
> I guess the game begins here.
> 
> EDIT: btw US unemployment claims just in. Yep, rising.


Next 10% order in on another sell-stop trailing 60 pips, currently is 1.2810

added a dribble of Sept short (more) @ 20.70 , net still 20.65 close enough.

Oct net short @ 21.05 is profitable and am holding it all.

C'mon market, we want a rug-pull! lol. I need to get heavy(ier)


----------



## The_Tosser

Once again, found appropriately in the comedy section:

http://www.cnbc.com/2016/05/05/dona...a-vp-from-field-of-former-gop-candidates.html



> "I don't know her. She's a very capable person. People I know have a high regard for her. But she's not a Republican," he added.


Because we all know Republican math is different, rofl. :stupid:



> Trump argued for low rates to keep the national debt of $19 trillion somewhat manageable. Calling himself "the king of debt" in his business dealings, he warned that the national debt would be troublesome if the cost of borrowing increases. "We're paying a very low interest rate. What happens if that interest rate goes up 2, 3, 4 points?" he asked. "We don't have a country." The U.S. should refinance longer-term debt, he added.


rofl. 

Pure comedy @ the highest levels of misunderstanding, lol. 

This may be the dumbest thing I'll ever say, But i have to believe that americans simply cannot be this dumb. I don't mean just economics, that's a given pretty much everyone IS that dumb. I'm talking republican, i'm talking trump. Seriously? rofl.

I don't believe it, lol.



> Trump said he'd rather run against Democrat Hillary Clinton than against Vermont Sen. Bernie Sanders, saying she's more beatable because she has "so much baggage."


Well, he's not always wrong. lol. (Baggage only, that ***** is pure evil) It's going to be an interesting 4 years with her.


----------



## The_Tosser

> Uhuh -$64.40k, oh yes i did lol.
> 
> The first time i've been > 50% core in months!





The_Tosser said:


> LMAO..
> 
> I guess we're calling that 3rd 25% tranche a trading position.
> 
> Out @ -$63.65k +$750 per spread.
> 
> Will recap the running totals later this morning.



In (again) 25% core @ -$64.45k Oh yes I did.. lol


----------



## The_Tosser

Market moving news here @ 8:30Am EST.

Bad employment numbers as per usual.

Taking short bonds here @ this pop, 121'157 to start, 5 yrs.

Moving up short USDCAD 10% add to 1.2860

finally got a full core sized 'premiere' - first time in a couple of months here @ -$64.80k

Things are getting juicy now. lol.


----------



## The_Tosser

The_Tosser said:


> Market moving news here @ 8:30Am EST.
> 
> Bad employment numbers as per usual.
> 
> Taking short bonds here @ this pop, 121'157 to start, 5 yrs.
> 
> Moving up short USDCAD 10% add to 1.2860
> 
> finally got a full core sized 'premiere' - first time in a couple of months here @ -$64.80k
> 
> Things are getting juicy now. lol.


It's early, I know, but this is looking good my peeps.

We caught the bond spike to get short. It's given us enough room to place a buy-stop for gains. We'll just let it run. btw T-Snooze, now I'll go short with you, lol.

USD.CAD got followed and triggered @ 1.2896, net @ 1.2852 i guess it is.

Wakey-wakey, red-type news events are scheduled and known, be @ the switch and get ready to utilize a move.

It's not better info, or faster access to the market - it's just using your goddamn head to give you a better shot at whatever it is you're looking to do.


----------



## The_Tosser

lol WoW what a win so far today.

Excuse me, I have to go out and slam both hands in a door.

Why?

To keep me from cutting these winners short, lol.

I'm outta here.

Let it ride and see what happens.

The only thing not working is USDCAD short, but it is being trampled by vix and bonds.


----------



## The_Tosser

Have a good weekend, say Hi to Mom, lol 

You've got it nice :dog:


----------



## The_Tosser

Up to date Stiglitz.


----------



## The_Tosser

Peter Schiff, dumb as a stump.


Yep pete it's just mathematics. Plus that little difference between Puerto Rico and America is PR is a user, not the sovereign. Kind of important, rofl.

Clueless! 

Crook!

I'll bet Pete everything I own. Never gonna happen. He won't put his money where his mouth is. Yap yap yap...crickets.... no chips on the table.

Pete has created a ton of personal wealth out of selling fear and nonsense. Completely wrong, taking the money from the most vulnerable citizens out there. He should be in jail, the same place his dad took his last breath. F**king crook.

[video]http://www.cnbc.com/2016/05/08/trump-just-exposed-americas-dirty-little-secret-schiff.html[/video]

If you want a lesson in just how stupid people are, wander on over to his YouTube channel and read the comments. Holy ****. Hook line and sinker. They are all losers and doomers. No wonder they are broke, rofl. Pete's excessively rich fees are only part of that problem, lol.


----------



## The_Tosser

*Re: Short Oct vix*



The_Tosser said:


> Meh, dribble-dribble.. @ 21.20 net 21.05.
> 
> ......


covering the Oct 'dribbles' 20.73 net, so call it $300 per contract.


I'll keep all the Sept's dribbles on  I am up about $300 per car on those too, plus i have 2X the amount as Oct's 

Technically now i am > 100% 'core', actually a bit more than 125% due to Sept-solo's, so i figure it's best to lay low and play a wait and see from here.

EDIT:

VOP's are 40% long ZIV and took nearly zero heat getting back in. I dunno, things are looking kinda good here. I think it might not be long before ZIV goes +10% (again).

Maybe i am too bullish :smilet-digitalpoint


----------



## janus10

The_Tosser said:


> *Re: Short Oct vix*
> 
> 
> 
> covering the Oct 'dribbles' 20.73 net, so call it $300 per contract.


Thank you, TT. I just successfully traded my first VIX futures contracts. Oct sold at 21.10 on May the 4th be with you and bought back at 20.65 just now. Only 2 contracts but that's a nice start and no need to tie up more than that.

I know this thread is about Volatility - but do you also look at Brent/WTI spreads? It seems a long BZ / short CL on the July or August contracts should be a winner from my cursory review.


----------



## The_Tosser

janus10 said:


> Thank you, TT. I just successfully traded my first VIX futures contracts. Oct sold at 21.10 on May the 4th be with you and bought back at 20.65 just now. Only 2 contracts but that's a nice start and no need to tie up more than that.
> 
> I know this thread is about Volatility - but do you also look at Brent/WTI spreads? It seems a long BZ / short CL on the July or August contracts should be a winner from my cursory review.


Very nice vix take. 

Crude- generally no, i don't get too involved in any manner. I have vix. It truly can be the only game you need. If i were not a junkie i would be able to say it's the only thing i trade. Since i am, i have to modify and say it's the only thing i should trade.

I do not believe there's anything you can do that will out do vix trading over time. The regularity and probability can't be matched.


----------



## The_Tosser

usdcad seems to be heading for 1.3000

not gonna touch her for now. Oil also dropping off.

We'll wait for the stars to align again, then take a swipe at her.

Or maybe i should say i'll wait for the transit of mercury to finish? lol

http://www.nasa.gov/feature/goddard/2016/satellites-to-see-mercury-enter-spotlight-on-may-9

http://www.nasa.gov/multimedia/nasatv/index.html


----------



## The_Tosser

The_Tosser said:


> Uhuh -$64.40k, oh yes i did irate: lol.
> 
> The first time i've been > 50% core in months!





The_Tosser said:


> gonna keep dribbling in some Fall 2016 short vix.
> 
> Added to Sept short now net $20.65



rofl, yes folks, this is what you call the coiled spring of vix, in the process of un-coiling.

Markets down, vix "Sproinging" lol

The isn't over yet, but hey...

Sept @ 20.15 for +$500 per car, "Premiere' @ -62.55k, lol

As long as the market stay relatively calm, this thing is gonna unwind nicely for a while.

ZIV for VOP's are +2% easily since entry.


----------



## The_Tosser

The_Tosser said:


> rofl, yes folks, this is what you call the coiled spring of vix, in the process of un-coiling.
> 
> Markets down, vix "Sproinging" lol
> 
> The isn't over yet, but hey...
> 
> Sept @ 20.15 for +$500 per car, "Premiere' @ -62.55k, lol
> 
> As long as the market stay relatively calm, this thing is gonna unwind nicely for a while.
> 
> ZIV for VOP's are +2% easily since entry.


lol out all Sept. +$600 per car. I will be counting this toward the trading portion since it's equiv to 25% core. I did not count Oct's solo-trades in the trading, and will not do so.


----------



## The_Tosser

*Update May 10th, 2016*



The_Tosser said:


> *Update May 5th, 2016*
> 
> 
> 
> 
> Fute's accts are "Core" unchanged @ +$4.4k per spread. with 50% core still on the table.
> 
> Trading positions after today's sell, +$3.6K per spread, for a *total of +$8K per spread*, reaching our goal of $8K to $10K per spread in 4 months and 5 days into 2016.


Fute's accts are "Core" unchanged @ +$4.4k per spread. with 100% core still on the table *@ -$63.83k net*. Current price is -$62.45k

Trading positions after today's sell, +$4.2K per spread, for a *total of +$8.6K per spread*, continuing to add into our goal of $8K to $10K per spread.


----------



## The_Tosser

Moneytoo said:


> But-but-but:
> 
> 
> 
> :biggrin:



But it's 2.7% lower over-night. Time to add more! 

Come to the dark side, Janus and i are eating rows of cookies at a time. lol :smilet-digitalpoint


----------



## Moneytoo

The_Tosser said:


> But it's 2.7% lower over-night. Time to add more!


No more cash, as usually lol Maybe it's my time to learn how to lose, by sitting tight lol



> Come to the dark side, Janus and i are eating rows of cookies at a time. lol :smilet-digitalpoint


But-but-but I wanted cake... lol Seriously though, the idea of being mostly long equities with a bit of long volatility (HUV is currently ~1% of our total portfolio) makes more sense to me :cower: But I'll come back to the dark side if it doesn't work out 

*Keith Richards says
APRIL 27, 2016 AT 9:03 AM*



> Maria–all VIX ETF’s do experience the effect of cantango. That is, the erosion of time value as the ETF rolls contract to contract. There is less contango on rolling the shorter contracts as HUV does, but its still there nonetheless.
> *Thus I view this as a relatively short termed hold–I look for 18-20 on the VIX as a reasonable target to exit the ETF. *A faster moving VIX might put it to 24 but that the best case situation


http://www.valuetrend.ca/what-vix-trends-might-be-telling-us/

(Disclaimer: I read that blog with confirmation bias - sometimes after making the same mistake as he did... lol)


----------



## The_Tosser

*Update: May 10th(b), 2016*

cutting 25% core @ -$62.00k


Fute's accts are "Core" now @ +$4.85k per spread. with 75% core still on the table @ -$63.83k net.

Trading positions +$4.2K per spread, for a *total of +$9.05K per spread*, continuing to add well into our goal of $8K to $10K per spread.

I think i am done for the week. lol.


----------



## The_Tosser

> Maria–all VIX ETF’s do experience the effect of cantango. That is, the erosion of time value as the ETF rolls contract to contract. There is less contango on rolling the shorter contracts as HUV does, but its still there nonetheless.
> Thus I view this as a relatively short termed hold–I look for 18-20 on the VIX as a reasonable target to exit the ETF. A faster moving VIX might put it to 24 but that the best case situation


Keep listening to morons that don't trade.

It seems to work perfectly, lol.

I hope you get his phone number so you can call him and let him know where to deposit the money you've lost.

Or, read Brunson book, look @ it as nothing more than a poker game and enjoy your money as you read ridiculous mainstream ideas that make no money, rofl.

Look, I've already told you 1000 times long vix is a losers game even if you win once in a while. It's still a losers game on net and can be safely ignored.

As i mentioned yesterday, the ability for vix to uncoil here is massive. It's right in front of you. I called it live and played it live and i did not odd-lot it like a little bi*ch . I went from zero to 100 in three days. I have no idea if it'll continue, but as Brunson would tell you, you've got good odds! Play it, lol. :smilet-digitalpoint


----------



## The_Tosser

Not that I am doing anything @ this level since i am done for the day, maybe the week, but ES 2077 area i do have as resistance.


----------



## Moneytoo

The_Tosser said:


> Keep listening to morons that don't trade.


Ok lol:


----------



## The_Tosser

Moneytoo said:


> Ok lol:


Exactly it! Conspiratards and doomers - they're death to your investments. They will get you thinking like them - far too negatively for your own good.


----------



## Moneytoo

(Oops it's good I didn't tell you that I also invested 15K in 3-year GIC... lol)

Lighten up, I'm still a perma-bull - who gives the doomers a tiny benefit of the doubt  Or just tries to make a bit of money off of them lol


----------



## Rusty O'Toole

Can you tell me where to find the original Notes over Volatility thread that started this series? I would like to follow along and feel I would have a better grip if I had some idea of the thinking behind these trades.

Later............... Never mind, I found it. Tried the search function again but this time using different terms


----------



## The_Tosser

Moneytoo said:


> Lighten up,.


Oh I am chill. I have zero invested into anyone else, so in reality this is comedic stuff only for me. 

I enjoy watching thread after thread while laying out trade after trade, rofl... :smilet-digitalpoint

Yeah i know it makes one look poorly, (like a 'dick' you might say) rofl.. that's just the encore to the show :rugby: I can't believe i get paid to play a video game while reading post after post of how 'it can't be done' or other sorted excuse-driven discussions. No, not you Mi-2, just in general


----------



## Moneytoo

The_Tosser said:


> ...I can't believe i get paid to play a video game while reading post after post of how 'it can't be done' or other sorted excuse-driven discussions. No, not you Mi-2, just in general


Well why not - of course me, too: like [almost] everybody else, I'm unable to understand what exactly you're doing - let alone repeat it (especially with only ~4.3K CAD cash in Questrade RRSP lol) But I like the whole trading volatility idea, so just trying to find what works for me (even if it has lower or no chances in your books - my overdeveloped patience helps me sit tight, I don't need the money, and not addicted to it - at least not yet... ) 

And I won't have a problem admitting that you were right :biggrin:


----------



## The_Tosser

Moneytoo said:


> Well why not - of course me, too: like [almost] everybody else, I'm unable to understand what exactly you're doing - let alone repeat it


Because you don't come in with excuses and a proclaimed decades long 'experience' in what i would call complete ignorance. Most of these peeps are pure book. Worthless but oh so full of proclamations of what cannot be done lol.



Ooooh, gots me triggered in more USDCAD short.Who-da-thunk-it.

1.28883 net, i guess it is.


----------



## janus10

That long Brent short WTI would have paid off. I didn't see an easy way to put that mixed commodity spread trade on in my mobile IB app so I went crude and gas long. Out today. Maybe the API estimate will allow an opportunity to rebuy lower.

I have not found the exact makeup (ETFs and ratio) of your VOP. I put the blame on my inability to come up with the right search term.

Contango between VIX futures for June and July is still huge. Do you expect July August spread to widen from here?


----------



## The_Tosser

I'm gonna Thelma and Louise the rest of this position.

I can't stand looking @ vix-spot @ 13.60 and still wanting to be short. Call me crazy, lol.

The dollar is coming in etc etc. I gotta keep this pony in the show.

Janus, I went short oil puts @ close yesterday. They're up 50% and have been closed. Anything works once in a while. The difference is in repeatability.

I doubt you would be able to reliably repeat anything as much as vix short, but you're welcome to give it a shot.


----------



## The_Tosser

janus10 said:


> I have not found the exact makeup (ETFs and ratio) of your VOP. I put the blame on my inability to come up with the right search term.
> 
> Contango between VIX futures for June and July is still huge. Do you expect July August spread to widen from here?


Re VOP,

I'm 40% long ZIV. several accounts, all around 38.60-38.80 area if i recall. I haven't looked @ them since the last purchase.

I don't have any set ratio. I don't think i ever mentioned anything about ratios either.

As for contango, etc, all i hope for is continued peace in the markets, lol. Vix will continue to unwind despite the last three day, 13%+ gain thus far in M1. There's a lot of potential energy there.

That's the only thing keeping me short with spot @ the level it is.

It's been an insane run, brother, lol


----------



## The_Tosser

well so far so good this morning. USD dropping vs JPY and CAD.

My USDCAD short is now profitable - barely.

For some scope, it's 30% of a full position which in this go-round happens to be about 30% acct size, so fairly small to start. I can and would typical go way beyond 2X, 3X etc acct size.

We may need to do it but for now 1X max seems to fit the bill @ the current level.

There's certainly going to be some potential for market moving data this afternoon. (1PM-2PM EST) My guess is it'll move currency and bonds, which btw the bond position is still profitable. I want to size it up but haven't caught the break yet so I'll just keep the stop on it and see if it holds by end of day.

I was browsing the various VOP accounts for year to date info. The best of the best is +15% for the year and recall this is only ever long XIV and ZIV. That's all they trade, currently 40% ZIV, 60% cash.


----------



## The_Tosser

vix spread @ highs with DJ down 100.

This is like pyramid power


----------



## The_Tosser

aw i can't give that up we just poked green in US markets for a moment...

out 25% @ -61.50k, lol

I'll add it all up later 

50% 'core' left plus green on usdcad short, plus green on bonds short.

That ES 2077 area seems to be giving it trouble.


----------



## The_Tosser

The_Tosser said:


> There's certainly going to be some potential for market moving data this afternoon. (1PM-2PM EST)


and that's what i'm talking about, lol.

Looking to add back to the core that i dumped earlier.


----------



## The_Tosser

The_Tosser said:


> aw i can't give that up we just poked green in US markets for a moment...
> 
> out 25% @ -61.50k, lol
> 
> I'll add it all up later
> 
> 50% 'core' left plus green on usdcad short, plus green on bonds short.
> 
> That ES 2077 area seems to be giving it trouble.


uhuh, added it back @ -$62.40k with ES @ 2063. Now 75% core

stopped for gains on bond-short... not interested in getting involved in it too soon.


----------



## The_Tosser

*Update May 11th, 2016* 



The_Tosser said:


> *Update: May 10th(b), 2016*
> 
> cutting 25% core @ -$62.00k
> 
> 
> Fute's accts are "Core" now @ +$4.85k per spread. with 75% core still on the table @ -$63.83k net.
> 
> Trading positions +$4.2K per spread, for a *total of +$9.05K per spread*, continuing to add well into our goal of $8K to $10K per spread.
> 
> I think i am done for the week. lol.


btw i noticed yesterday since i had been doing nothing but 'trade' positions for so long that I 1/4'd the last 'core' trade and added it to the "Core",.... the numbers are wrong..

No worries, the 'core' should have been added to the 'trade' column. Right numbers, wrong column i guess.

lol anyway, I will continue to add everything to the 'trade' column i guess, and 1/4 size the gains. IE the sell today @ -$61.50k was a +$2330.00 per spread gain. @ 25% core size. so across the core we'll call it +$600/spread - near enough given i just took all Oct gains recently and did not count them here. More than generous on my part again.

Fute's accts are "Core" now @ +$4.85k per spread. with 75% core still on the table @ -$63.35k net

Trading positions +$4.8K per spread, for a *total of +$9.65K per spread*, continuing to add well into our goal of $8K to $10K per spread.


----------



## The_Tosser

topped her up 100% core, -$63.50k

lol


----------



## The_Tosser

There's more potential market moving news tomorrow morning @ 8:30AM EST for those looking to get down and dirty. 

Today's headline is continued rising employment numbers as i had expect from a couple of months ago.

Most of the news this week has been negative.

I can't say am I too worried yet. I'll take a full 'core' but no extra's down here. I'll wait for better numbers if they develop, which i am expecting in all honesty.

So far the vix spread has been a total champ. The coiled nature is keeping this thing afloat and it's going to have to get worse than this to stop this juggernaut from moving higher.

This is going to be fun up to the close tomorrow


----------



## The_Tosser

The_Tosser said:


> topped her up 100% core, -$63.50k
> 
> lol


Out $-62.50k, +$1,000 per spread  Wow what 3 hrs can do.

sometimes this just looks too easy irate:

It's a good thing market-rape isn't illegal, rofl.

75% core still on the table. I'll add this up later.


----------



## The_Tosser

*Update: May 12th, 2016*



The_Tosser said:


> *Update May 11th, 2016*
> 
> 
> Fute's accts are "Core" now @ +$4.85k per spread. with 75% core still on the table @ -$63.35k net
> 
> Trading positions +$4.8K per spread, for a *total of +$9.65K per spread*, continuing to add well into our goal of $8K to $10K per spread.



Fute's accts are "Core" @ +$4.85k per spread. with 75% core still on the table @ -$63.35k net

Trading positions after the sell/trade today +$5.05K per spread, for a *total of +$9.9K per spread*, continuing to add well into our goal of $8K to $10K per spread.

If i were to dump the remaining 75% core, I'd be well over the $10K per spread goal, so yes you're staring at 10%-20% for the year, by May 12th depending on risk-tolerance. I'm a 'mild' wing sauce guy. In between works just fine.

Be ready for tomorrow 8:30AM news. Don't say i didn't give you enough heads up.


----------



## The_Tosser

While we're waiting for 8:30EST..why not watch some cheap trader video


----------



## The_Tosser

solo short Oct @ 20.50

short smidge more usdcad @ B/E price


----------



## The_Tosser

The_Tosser said:


> solo short Oct @ 20.50
> 
> short smidge more usdcad @ B/E price


smidgeoning away @ Oct again @ 20.65, call it net 20.55 then.

I'll eventually take it to basically a 25% core size in 1/4 sizes. IE 50% already done.

The interesting part here is with all of this market turmoil, vix is hardly budging higher at all. I'll take that as a good sign until proven otherwise.

btw, Retail sales numbers this AM were not all that bad.

EDIT:

I noticed a message in the inbox stating IB might bump margin requirements on M1 vix contracts. It doesn't affect me here at all as i only do M1 when the crap is hitting the fan, which it ain't been doin' lately.


----------



## The_Tosser

+oct again @ 20.80, net @ $20.65

trying to get a premiere trade on < -$63.50k



EDIT: uhuh, -$63.55k, now back to 100% core plus 75% the way to 125% in the form of Oct short.

This should wrap it up for the week.


----------



## The_Tosser

The_Tosser said:


> +oct again @ 20.80, net @ $20.65


sniff, sniff, I think i smell 0,255,0 a comin' :smilet-digitalpoint ??


----------



## The_Tosser

> topped her up 100% core, -$63.50k





> Out $-62.50k, +$1,000 per spread Wow what 3 hrs can do.





The_Tosser said:


> EDIT: uhuh, -$63.55k, now back to 100% core plus ......


Out $-62.55k, +$1000 per spread. Monotonous isn't it?

I try to get my week done by Monday noon if i can...lol And so it is.

I'll add it up later.


----------



## The_Tosser

> +oct again @ 20.80, net @ $20.65





The_Tosser said:


> sniff, sniff, I think i smell 0,255,0 a comin' :smilet-digitalpoint ??


gonna play it safe. Exiting all oct-solo's @ +$250 per contract. ($20.40)

Now sitting on 75% "core" only.

well, for vix, other than that we're still short usd.cad right here @ B/E.


----------



## The_Tosser

*Update: May 16th, 2016*



The_Tosser said:


> *Update: May 12th, 2016*
> 
> 
> 
> Fute's accts are "Core" @ +$4.85k per spread. with 75% core still on the table @ -$63.35k net
> 
> Trading positions after the sell/trade today +$5.05K per spread, for a *total of +$9.9K per spread*, continuing to add well into our goal of $8K to $10K per spread.
> 
> If i were to dump the remaining 75% core, I'd be well over the $10K per spread goal, so yes you're staring at 10%-20% for the year, by May 12th depending on risk-tolerance. I'm a 'mild' wing sauce guy. In between works just fine.
> 
> Be ready for tomorrow 8:30AM news. Don't say i didn't give you enough heads up.


Fute's accts are "Core" @ +$4.85k per spread. with 75% core still on the table @ -$63.35k net (and we're @ -$62.00k currently, lol)

Trading positions after the sell/trade today +$5.3K per spread, for a *total of +$10.15K per spread*, blowing past our goal of $8K to $10K per spread.

I'm giving you that recent Oct short - not gonna count it here. So with that, 4.5 months into the year you're now double-digit returns - easily. Up to 20% @ full size risk.

If you've reached your goal, then punch out and sit on the sidelines, stay small, whatever it takes.

I'm gonna keep rolling the dice here and there all the while trying to keep the size down and nickle-and-dime this thing to death when at all possible.

Trading portion summary is $720 avg gain per spread and i've managed to do 27, 25%-of-core trades in 8 weeks.


----------



## The_Tosser

Interest on T-Bills looking to flood the market within the next few days.

Gonna be $60B ballpark.

Spread that peanut butter thick, all over my market, lol. :rugby:


----------



## The_Tosser

Peg your currency to something you don't control, and say goodnight sooner or later..

http://www.cnbc.com/2016/05/16/venezeula-scrambles-to-head-off-collapse.html


----------



## The_Tosser

To add some scope, the US Treasury has issued roughly a net $500B of T's this fiscal year..

$4.5T of T's have been essentially 'rolled' in the same time frame.

I'm sure things are gonna be ok, lol

http://www.cnbc.com/2016/05/16/saudi-arabia-holds-117b-in-us-debt-report.html


----------



## janus10

I also went short Oct VIX on Friday at 20.8 and closed yesterday at 20.2. 

Would I be correct that CBOE has historical values of M1 and M2? I looked at historical spot VIX and there have been times where vol has remained quite high for many months, and almost a year, at a time.

I would be interested in trying to calculate what that might do to a product like UVXY. There are no VIX related ETFs or ETNs which have a long enough history which encapsulates one of those lengthy hi vol periods. VXX started part way through the last one.

I wonder why there are leveraged VIX products but not leveraged inverse VIX products. A matter of time perhaps?


----------



## The_Tosser

Uhgg.

http://video.cnbc.com/gallery/?video=3000517010

The sky is falling - again!

"2% upside, 40% downside" - he said it so it must be true! lol.

These are the people that head those 'little things' like OMB rofl.

This is the same guy that was dead-worried about the US "Debt",.........in 1982 rofl.

Keep worrying bud! :stupid:


----------



## The_Tosser

janus10 said:


> I also went short Oct VIX on Friday at 20.8 and closed yesterday at 20.2.
> 
> Would I be correct that CBOE has historical values of M1 and M2? I looked at historical spot VIX and there have been times where vol has remained quite high for many months, and almost a year, at a time.
> 
> I would be interested in trying to calculate what that might do to a product like UVXY. There are no VIX related ETFs or ETNs which have a long enough history which encapsulates one of those lengthy hi vol periods. VXX started part way through the last one.


I don't know who i discussed this with in the past here in this thread. You can use CBOE site historical data and look @ what an M1 (or other) price series would look like. Remember to adjust for rolls each month.


----------



## The_Tosser

janus10 said:


> ............There are no VIX related ETFs or ETNs which have a long enough history which encapsulates one of those lengthy hi vol periods. VXX started part way through the last one.


So let's look @ this for a moment.

Since July 2014 vix has undergone a steady rise when looking @ non-adjusted futures prices. That's the winding-up I keep speaking about. It has a lot of potential but this doesn't mean anything in a market that could unwind - which just winds-up the vix coil even more.

At some point the unwind begins and can of course be halted @ any time, re-wound etc etc. The more it winds-up, the easier it is to be in it even if you're losing on it since it's giving you higher and higher probability of success. 

This is where we're at currently. It's a decent wind-up, yet the market certainly isn't running away and no-one would mistake our environment for a once in a lifetime buying opportunity, lol. So what's a trader to do?

Just what we're doing. It's all you can do. 

Stay nimble, take profits regularly and in my case since I am fully vix-based and can see the spring coiling, i am forced to be net short as a hold to some degree. I just vary that degree, daily if required. I have no idea if i am too deep currently. I am much less than last Friday and more than I want to be if we take a hit in the market. I can't know, so I don't worry much about it. You play the hand you're dealt and that's that.

I keep an eye on a handful of things, technical, US Gov/Treasury/FR, my personal PnL for the year etc and gauge the amount of risk I choose to take @ any point in time, based on some mix of those.

Sooner or later we're going to get caught holding vix-short during a market beat-down. Accept it. That's what knowing your max D/D with reasonable accuracy is for. Just know what your plan is for when it happens. You'd better have a lot of cash on hand too. Don't always be 100% invested. That's just crazy. You don't need to be, as you can see from results in this thread.


EDIT: 

Let me throw one more thing in. If you're trading the curve where i am, you're playing well above the 30 day mean of volatility for the SPX. That's not really a weak position. No guarantee, but you've got how much in your corner already? Where on the curve you play also varies your risk - so use it wisely.


----------



## The_Tosser

If we keep falling off like this, I am looking @ ES 2032 and ES 2012 areas to make any move.


----------



## The_Tosser

janus10 said:


> I also went short Oct VIX on Friday at 20.8 and closed yesterday at 20.2.
> 
> Would I be correct that CBOE has historical values of M1 and M2? I looked at historical spot VIX and there have been times where vol has remained quite high for many months, and almost a year, at a time.
> 
> I would be interested in trying to calculate what that might do to a product like UVXY. There are no VIX related ETFs or ETNs which have a long enough history which encapsulates one of those lengthy hi vol periods. VXX started part way through the last one.
> 
> I wonder why there are leveraged VIX products but not leveraged inverse VIX products. A matter of time perhaps?


Let's look @ the premiere trade.

What is the range it has thus far this year. More or less, it's ranged between -$72K and -$58K. A $14K range, per spread. Over and over and over.

Yes it can get well out of this range, the downside being the concern. Thus the max # of spreads I mentioned per $100K of capital.

But given one has the ability to play multiple positions, how tough would it be to envision tossing around a few spread here and there and coming out alright by simply knowing this little bit of info?

This isn't really an answer to you question, it's just a look @ what we're doing here and getting one's head around why it works pretty well. I think if you focus on what matters, you'll not get sidetracked as easily. Using the direct historical futures prices from CBOE is where you've got to go to look for the start of the process.

My sig line: Before doing anything else, abstract out all irrelevant details.

Most of what people concentrate on is meaningless, whether they believe it or not. These are the very same people that can't understand and won't accept that Federal debt is irrelevant in the way they perceive it. Even what they swear is true, is completely wrong, lol. It's ignorance and fear. This is why people can't get out of their own way.


----------



## The_Tosser

Meh, nibble short Oct @ 20.85 @ ES<2040

i'll nibble again @ > $21


----------



## The_Tosser

The_Tosser said:


> If we keep falling off like this, I am looking @ ES 2032 and ES 2012 areas to make any move.


lol 2032, 2038 whatever, close enough. I didn't think we'd even see 2030 area today.

added 25% Premiere @ -$63.85k.

Now 100% 'core' sized again.

We'll sit on this and see what ferments.

No extra move on solo Oct..


----------



## The_Tosser

Inverse 4-20 may work today. I'll be staring @ that time frame to add to solo-Oct shorts > $21


----------



## janus10

The_Tosser said:


> I don't know who i discussed this with in the past here in this thread. You can use CBOE site historical data and look @ what an M1 (or other) price series would look like. Remember to adjust for rolls each month.


Yep. Found it. Not what I was hoping to see as they are individual futures months in separate files. I like how they do it for NG - they have 1 file which gives you the front month plus the next 2 or 3 months on a daily basis. 

The way CBOE has historical VIX makes it a lot tougher to consolidate everything, but I'll just need to download no more than 12 files, put them together, and then I would have a way to calculate the $UVXY/$SVXY rolls through the high volatility period. It would be interesting to see if $UVXY still suffered from any decay IF in fact, contango was still generally present during months of high vol.

But, first, I would need to download a series of files where $UVXY was trading to see if my calculations generate the expected results.


----------



## The_Tosser

janus10 said:


> Yep. Found it. Not what I was hoping to see as they are individual futures months in separate files. I like how they do it for NG - they have 1 file which gives you the front month plus the next 2 or 3 months on a daily basis.
> 
> The way CBOE has historical VIX makes it a lot tougher to consolidate everything, but I'll just need to download no more than 12 files, put them together, and then I would have a way to calculate the $UVXY/$SVXY rolls through the high volatility period. It would be interesting to see if $UVXY still suffered from any decay IF in fact, contango was still generally present during months of high vol.
> 
> But, first, I would need to download a series of files where $UVXY was trading to see if my calculations generate the expected results.


Yep you gotta do a bit more work with VIX data. 

It's like they don't want to you know, lol. :monkey:


----------



## janus10

The_Tosser said:


> So let's look @ this for a moment.
> 
> Since July 2014 vix has undergone a steady rise when looking @ non-adjusted futures prices. That's the winding-up I keep speaking about. It has a lot of potential but this doesn't mean anything in a market that could unwind - which just winds-up the vix coil even more.


You know, without analyzing it, I would have thought the opposite of your correct conclusion, so thanks for that. Certainly, this isn't like extreme scenarios (e.g. 2010-2011) but the last 2 years are definitely running at a higher VIX than the previous 2 years. Do you use spot VIX or M1 to compare and conclude that VIX is coiled?


----------



## janus10

The_Tosser said:


> Meh, nibble short Oct @ 20.85 @ ES<2040
> 
> i'll nibble again @ > $21



I'm not ready to nibble. I was thinking rinse and repeat, but I wouldn't be surprised if I can short at a higher level tomorrow.


----------



## janus10

The_Tosser said:


> Yep you gotta do a bit more work with VIX data.
> 
> It's like they don't want to you know, lol. :monkey:



I think I just might do a fist pump. Unfortunately it isn't free so it's a build vs. buy exercise http://sixfigureinvesting.com/2010/12/volatility-futures-worksheet/

Ummm. Are YOU Vance Harwood? Although I'd say the vocabulary is different, the concepts from the first few pages I've read at six figure investing seem eerily familiar.


----------



## The_Tosser

janus10 said:


> Ummm. Are YOU Vance Harwood? Although I'd say the vocabulary is different, the concepts from the first few pages I've read at six figure investing seem eerily familiar.


So what you're saying is he doesn't say f**k as often as i do?

lol. Never heard of him.

Thanks for the link. It's late and i am bushed. Some exercise, followed by a huge meal and copious beer, lol. I'm going to read this stuff in the morning.

I'll do some work for you tomorrow on this topic. It may take a day or two. His 'volatility landscape' pic looks like it was done in MatLab, the same as the JPG's i have shown in the past.


----------



## The_Tosser

Ah, I see i don't have to do that work since he's already done it.

http://sixfigureinvesting.com/2010/12/volatility-tickers/

Going to that page allows you to click on the various etfs where he's extrapolated back, the etf prices. I have back to prior to the crash completed for M1-M5, but i didn't go back further since as he mentions there's a lot of blanks in the data.

All in all that is a darn nice looking site.

EDIT: lol I just read his 'about' page.

https://sixfigureinvesting.com/about/



> My interests include volatility as an asset class, macroeconomic forecasting, investor psychology,.........





> My goal is relatively modest returns at appropriate risk while avoiding “buy and hold” strategies—which I think are fundamentally flawed.


OK I am his low-class brother, rofl. That's funny and a little scary.


----------



## The_Tosser

The_Tosser said:


> Interest on T-Bills looking to flood the market within the next few days.
> 
> Gonna be $60B ballpark.
> 
> Spread that peanut butter thick, all over my market, lol. :rugby:


It ended up being $35B, paid on Monday, for a monthly total of $42B. Now take it and spread it thick on the market, lol.


----------



## The_Tosser

Janus,

Here's a guy i have known about for years. I saw a post of his on Vance's site and I was reminded. I haven't looked @ his blog in years.

He's Bill Luby. Here's a link to an interesting article. I never paid attention to this fact even as i knew vix etf's in general did have a bad year for 2015. Again this only bolsters my belief in not buying and holding - anything. We made bank in vix-2015 and were only ever out or net-short vix. I am not sure i ever went long vix, but if i did it was not a significant factor either way.

http://vixandmore.blogspot.ca/2016/01/every-single-vix-etp-long-and-short.html


EDIT: rofl: Below quote is very funny assuming you've looked @ Accushares products and see the mental gymnastics required, lol.



> One last technical note, with respect to the AccuShares VXUP and VXDN products, I have yet to see AccuShares or anyone else attempt to calculate the performance of these products for 2015. Given the chaos created by regular, special and corrective distributions, in addition to reverse splits and stock dividends, calculating performance for these two ETPs is not a project I have the inclination to tackle right now. That being said, until I see the calculations, I cannot be 100% sure that VXUP had a losing year in 2015. Consequently, in the event that VXUP did post a gain, this would be a good time for AccuShares to post some performance data and claim at least one public relations victory in this space.


On paper VXUP is too close to call, he's right. In reality there's little doubt in my mind that it was nothing but a loser. The transaction costs to get and stay positioned long VXUP is huge.


----------



## The_Tosser

Ouch? or,... $h*t happens  



> The fund posted a 25.6% net loss on the quarter, following a 20.5% net loss of all fees in 2015. The loss last year was primarily driven by an SEC investigation into Valeant Pharmaceuticals' (VRX) accounting, as well as the media and political spotlights brought against its exorbitant drug pricing. Its departing CEO, Michael Pearson, recently apologized for these issues before the Senate Special Committee on Aging.
> 
> The steep loss brings the return on Ackman's fund to just 0.2%, net of fees, since its December 2012 launch vs. a 55.2% return in the broader S&P 500


http://realmoney.thestreet.com/arti...es-total-return-approaches-negative-territory


----------



## The_Tosser

The_Tosser said:


> Meh, nibble short Oct @ 20.85 @ ES<2040
> 
> i'll nibble again @ > $21


uhgg, again @ 20.95, net 20.90

we'll try it again.


----------



## The_Tosser

I got stopped out on bonds short by like 2-3 ticks last week and just never bothered to hit it again given my vix positions etc. This was a near perfect entry as it turns out but these things do happen, usually when you're not really into staying into the trade - IE somewhat low conviction trade.

I've been thinking over the last couple of days that we have a better chance than the fed-watch tool gives us for a June hike, which ticked up today closing in on 19% chance of a +0.25% move.

http://www.cmegroup.com/trading/interest-rates/countdown-to-fomc.html

I dunno, I don't like to make perceived long-odds bets and i won't on this one either since i got stopped out, but i think we've got a better chance than the masses seem to think at the present time.

This is also why i am still somewhat bullish on the markets.

I figure the idea of long market, short USD and staying away from a long-bond position should keep one out of deep doody,


----------



## The_Tosser

FOMC Statement today @ 2PM EST could give us an opportunity to do something 

I've got an order in to cover 1/2 the solo-Oct vix short @ new lows for the day, < 20.70. I'll start there.


----------



## Moneytoo

http://i.imgur.com/bsgz0.jpg ? lol


----------



## The_Tosser

Yep, see this was my thought earlier this morning. (Post # 458)

http://www.cnbc.com/2016/05/18/federal-reserve-minutes.html

This doesn't mean we won't get a short-term reaction to the opposite of our positions, but it does, all else being equal, mean we're positioned properly when we look beyond our noses.

If you want my opinion, we're getting the reaction now, that will show nice profits in a reasonable time frame. I am fading this move in bits at a time.

This is why you never want to be fully invested, so my apologies to 100% long stock buy and holders as well as long bond holders.


----------



## The_Tosser

The_Tosser said:


> ............
> 
> I've been thinking over the last couple of days that we have a better chance than the fed-watch tool gives us for a June hike, which ticked up today closing in on *19%* chance of a +0.25% move.
> 
> http://www.cmegroup.com/trading/interest-rates/countdown-to-fomc.html
> 
> .


lol

a few hours later = 34%  lol


----------



## The_Tosser

adding to premiere for trade portion $-64.25k

EDIT: I should get this up to date too.

100% core @ -63.45k ($-63.475k to be exact but i will give you the pennies)

25% trading as mentioned in this post @ -64.25k


----------



## The_Tosser

Uhuh 60% of full size USDCAD short - net 1.2907

Sit and stew. Down about 110 pips. We shall see.

Things are finally getting interesting again.


----------



## janus10

Yes, I would probably have to buy one of his many spreadsheets. Even the comprehensive one doesn't actually have any of the CBOE data - you _still_ have to download all of the individual sheets from CBOE. He has other sheets with simulated values of the various VIX products. That's probably what I'll have to buy.

Found what I wanted at vixcentral... EXCEPT, it only goes back to July 1 2010. Already has calculated M2/M1 and M7/M4 contango numbers.


----------



## janus10

The_Tosser said:


> Janus,
> 
> Here's a guy i have known about for years. I saw a post of his on Vance's site and I was reminded. I haven't looked @ his blog in years.
> 
> He's Bill Luby. Here's a link to an interesting article. I never paid attention to this fact even as i knew vix etf's in general did have a bad year for 2015. Again this only bolsters my belief in not buying and holding - anything. We made bank in vix-2015 and were only ever out or net-short vix. I am not sure i ever went long vix, but if i did it was not a significant factor either way.
> 
> http://vixandmore.blogspot.ca/2016/01/every-single-vix-etp-long-and-short.html


Thanks for this - yet another good resource and further confirmation that there is no "set it and forget it" even with VIX products that suffer from pretty horrific decay. That's why I wanted to take a look at how UVXY/SVXY would have performed during a many month long high vol period. 

I could have naively plodded along having good year after good year and then see it all blow up because I thought that once VIX gets above 30, you could then sell UVXY calls, or buy UVXY puts (or buy SVXY calls) 1 to 2 months out and it would be a license to print money.


----------



## janus10

The_Tosser said:


> uhgg, again @ 20.95, net 20.90
> 
> we'll try it again.


Couldn't bring myself to sell October at 21.15 - it was right there for the taking but I kept my order at 21.2 stubbornly. Now, what do you think about a short Nov/long Dec structure? It's the only one you can construct that is in backwardation (or what about a similar Oct/Dec spread)?


----------



## janus10

The_Tosser said:


> Uhuh 60% of full size USDCAD short - net 1.2907
> 
> Sit and stew. Down about 110 pips. We shall see.
> 
> Things are finally getting interesting again.


I'm not sure if I need to change my permissions, but what is the IB symbol to trade USDCAD?


----------



## The_Tosser

janus10 said:


> Couldn't bring myself to sell October at 21.15 - it was right there for the taking but I kept my order at 21.2 stubbornly. Now, what do you think about a short Nov/long Dec structure? It's the only one you can construct that is in backwardation (or what about a similar Oct/Dec spread)?


Nov-Dec is almost always in backwardation this time of year.

Year over year it's the same thing. I do not know why, I just see it all the time.

I usually ended up making about $500 per spread on it after a long (long) wait so i no longer do it. I think it's a good bet, but you have to take it off By Oct - early, to be safe. As you're aware, you could be green for the next 5 months on it, then go horribly red before you know it, in a single day 

As to the Oct short-solo, i'm not counting it or 'calling it' but i did a lot of work on it after the fed announcement. I've round-tripped it once for $300 per contract and am half-way there again, just waiting for a few more dollars on it. This is all on top of the solo-Oct i did call out and will follow up on.

There's just too much volatility on the volatility to not get involved on moves like we saw today. 

All in all the vix calls since yesterday have been OK. We started @ ES 2038 and continued today down to my specific level of ES 2032 - currently ES2043. The 20.95 add could have been taken off right @ 2PM as i was on the bid for another $300 per contract but frankly I decided to let it ride regardless. It would have been better to walk @ $250 per then get back in it all again higher, but it's not large enough of a position to worry plus i am kinda bullish market, lol.

The premiere trade today is up, but this too, i will let ride.

Man maybe i am too bullish, lol. I very well could be.

I dunno, I called this 'Fed-Think' about perfect wrt to rate hike possibility in June. I've had worse trades than getting stopped out for gains. Sometimes you don't get paid wel enough for a decent call. I just wanted a higher print to short more and i didn't get it, so stop out it was. 

I think folks need to step away from bonds - long or short right now. Getting short here is late to the party in the short term, and being long here? uhh.. I'm not going to do that until we actually get a hike OR we get a huge beat-down into a hike. Then, I will get long bonds.


----------



## The_Tosser

janus10 said:


> I'm not sure if I need to change my permissions, but what is the IB symbol to trade USDCAD?



USD.CAD

type USD then <enter>, you should see FOREX sub-heading come up if you have permission. (or just type exactly above "usd.cad")

You can also click FXTrader button on the ribbon @ the top.


----------



## The_Tosser

janus10 said:


> Couldn't bring myself to sell October at 21.15 - it was right there for the taking but I kept my order at 21.2 stubbornly. Now, what do you think about a short Nov/long Dec structure? It's the only one you can construct that is in backwardation (or what about a similar Oct/Dec spread)?


I think Oct hit 20.40 @ the high of the day. I wasn't around for it. I was off fooling around doing something non constructive when it all went down, lol. I came back and hit it @ 21.10, covered 20.90 <rinse-repeat>, lol.

Oct-Dec spread. It's OK too. Slower than my Aug-Oct but safer (plus you're talking 1:1 so slower and safer yet again), all else being equal.

1:1 calendars are decent starters but you will eventually find you're wasting a lot of time and profit potential. My major point would be to watch out when the front month gets to M2 status. If you're sized right, then no real problem but if you're sized 'up' then you want to reduce or move the whole spread down the curve. They are pretty tame trades but don't let them fool you, they can grow some teeth when you're not looking.

A lot of people got run completely over being short M1 during Q4 2008 etc. Like magnitudes worse than anything any of us have ever seen - It was ugly! That gives you an appreciation for being short M1, lol. That's why you don't see me do it unless we're getting pretty hammered - like late Jan, early Feb this year. (Vix spot 28-30) Other than that, you can ride that pony, 'cause it ain't gonna be me. :cower:


----------



## The_Tosser

Re: USDCAD short.

Just to sum up my current thoughts. I think this is the sketchiest trade i have on now. I think it's 'right' but as far as currency goes, it could easily take me the wrong way for longer than say vix, can. Currency isn't always exactly correlated and it can either lead or lag. It's 'sketchy' lol. 

I think i have the 'fundamentals' right. It's just that it might take some time to work out so the rest of the market agrees with it. 

Oil, other commodities etc have had a run, they need a break and likely so will CAD. No need to panic yet.

I'm going to sit and just watch it unfold for a while from here.


----------



## atrp2biz

I don't understand. If your view is that commodities have had a run and along with CAD will need a break, why are you short USD.CAD?


----------



## The_Tosser

atrp2biz said:


> I don't understand. If your view is that commodities have had a run and along with CAD will need a break, why are you short USD.CAD?


Read the post again.

I might be right, i might be wrong. you have my trade.

Currency is sketchy and not always perfectly correlated to commodities, leading or lagging.

EDIT; I should note too that i am indeed taking a more macro look which again imo still favours long cad here. This also leads me to the bond discussion as well as being more bullish on the market than i otherwise would be.

This whole thing is interesting to me @ this point and i will expand on my thinking as the months ahead play out. At the end of the day i am a trader and regularly go against what i might believe. lol. It's just how it's got to be. In this case i am going against a short-term belief in favour of a longer term outlook that ideally isn't that far in the future. When you see the turn, please do tell me so i can place it all on red (For Canada of course). lol.


----------



## atrp2biz

OK. It wasn't clear as to what your 'fundamentals' were and if that included your comment on commodities.


----------



## The_Tosser

atrp2biz said:


> OK. It wasn't clear as to what your 'fundamentals' were and if that included your comment on commodities.


You'd likely have to parse 200 posts to get the whole picture, not to mention ideas i have not disclosed yet.


----------



## daivey

hi Tosser.

I signed up just to respond to your posts.

I've been reading through your posts and you're talking about coil, vix, vxx, ziv.

One thing I don't understand is you say going long VIX doesn't make sense. Could you elaborate on that? Right now I feel like the market is ripe for going long VIX, or buying/selling options on VXX. 

can you elaborate?

also do you have any good material to link to for learning more about the VIX and trading it? 

Thanks!


----------



## daivey

one other thing. you talk about portfolios being long ZIV by 40%.


----------



## The_Tosser

daivey said:


> one other thing. you talk about portfolios being long ZIV by 40%.


Yes. The VOP accounts. Go back and check the first several posts where you'll find out what that is all about.

I can see i have going to have to re-write 200+ posts to get casual observers up to speed. :smilet-digitalpoint

FYI, yes 40% ZIV @ 38.60 + or - 10 cents area. IE @ current pricing.

They are currently in hibernation mode until we get significant movement away from current levels.

In fact, the Fute's accounts are for the most part after today, in that same mode. Sit and wait. Likely until Friday close.



> One thing I don't understand is you say going long VIX doesn't make sense. Could you elaborate on that?


It's been discussed before. It's not that i won't work because sometimes it does. If you want to see how poor of a trade it is just go back and look at LONG VXX, UVXY etc and show me how you're going to pull of 25, 50, 100 straight winners out of that mess. It just easier to short vix spikes than it is to buy vix dips 

There's a lot of ways to counter the negatives of being long vix but getting fancier doesn't add up to a whole lot except aggravating grinds of being under water most of the time. It just doesn't work well. It looks like it's going to work this week, but i challenge anyone to all the marbles to show me they can do it reliably. It just won't happen.



> also do you have any good material to link to for learning more about the VIX and trading it?


There's been several links to outside material given - especially the last few posts - Janus etc.


> I've been reading through your posts and you're talking about coil,


You need to look @ the vix term structure - futures - historical data from CBOE, construct the graphs required IE roll-adjusted + non adjusted.

Hey i gotta head out so sorry for being short but hopefully this will get you going. I'll be back by Friday afternoon for sure.


----------



## The_Tosser

The_Tosser said:


> If we keep falling off like this, I am looking @ ES 2032 and ES 2012 areas to make any move.



Just checking in.

If we do hit 2012 today I am going to have to miss it in lieu of seeing what Friday close brings. I usually find that whatever we have by Wed close, continues to Friday close so unless i see things to do for profits on Thursday, I leave it alone in most cases.

I see the market is throwing a fit about the rate hike all of a sudden, lol. I think it's wrong, but this is how it goes and so is perfectly 'rational' from the markets perspective. No-one is losing their nuts yet.

I'm not even yet willing to open the VOP accounts to start looking @ XIV. Not yet.

We need to see better levels plus we have the time element now for the market to adjust to this paradigm. Don't load it all in at the same level regardless of what you think. Relax, give it some time to breathe. Everything were sitting on was green just 2 days ago and we're sitting on double-digit returns thus far in the year. There's no need to toss it all away this week. :smilet-digitalpoint

See ya friday..well maybe tonight i may get a chance as well.


----------



## Moneytoo

The_Tosser said:


> I'm not even yet willing to open the VOP accounts to start looking @ XIV. Not yet.


Cool - I'll hold on to my HUV then ("the plan" was to sell it on the spike - and buy HVI with the proceeds  but now getting a bit jittery to sell - 3 weeks ago it reversed so fast, I missed it.. along with a chance to convert CAD to USD at a good rate - was waiting for the better.. sigh)


----------



## janus10

The_Tosser said:


> USD.CAD
> 
> type USD then <enter>, you should see FOREX sub-heading come up if you have permission. (or just type exactly above "usd.cad")
> 
> You can also click FXTrader button on the ribbon @ the top.


Ok, a couple of things...

First, I entered an order to short at 1.31475. It didn't actually execute until seconds after it broke that level - why wouldn't it execute right away? By the time it executed, USD.CAD was already at 1.3149.

Secondly, I trade both US and CDN stocks/options/etfs (and US futures) in this account. So, there is already a USD.CAD holding in there (I think it is "virtual" to account for fx between US buys/sells and CDN account reporting). Do you have that, too? 

I'm wondering what will happen when I actually cover my USD.CAD short. I think it is mingling the two but I won't know for sure until I buy it back and see an actual P&L.


----------



## janus10

The_Tosser said:


> Nov-Dec is almost always in backwardation this time of year.
> 
> Year over year it's the same thing. I do not know why, I just see it all the time.
> 
> I usually ended up making about $500 per spread on it after a long (long) wait so i no longer do it. I think it's a good bet, but you have to take it off By Oct - early, to be safe. As you're aware, you could be green for the next 5 months on it, then go horribly red before you know it, in a single day


I'm going to look at historicals, but I definitely agree that something that far out the curve will likely move slowly, and you won't want to wait until Nov becomes M1.


----------



## janus10

The_Tosser said:


> I think Oct hit 20.40 @ the high of the day. I wasn't around for it. I was off fooling around doing something non constructive when it all went down, lol. I came back and hit it @ 21.10, covered 20.90 <rinse-repeat>, lol.
> 
> Oct-Dec spread. It's OK too. Slower than my Aug-Oct but safer (plus you're talking 1:1 so slower and safer yet again), all else being equal.
> 
> 1:1 calendars are decent starters but you will eventually find you're wasting a lot of time and profit potential. My major point would be to watch out when the front month gets to M2 status. If you're sized right, then no real problem but if you're sized 'up' then you want to reduce or move the whole spread down the curve. They are pretty tame trades but don't let them fool you, they can grow some teeth when you're not looking.
> 
> A lot of people got run completely over being short M1 during Q4 2008 etc. Like magnitudes worse than anything any of us have ever seen - It was ugly! That gives you an appreciation for being short M1, lol. That's why you don't see me do it unless we're getting pretty hammered - like late Jan, early Feb this year. (Vix spot 28-30) Other than that, you can ride that pony, 'cause it ain't gonna be me. :cower:


I was not in VIX at all but got into it literally on those 2 day spikes. Huge profit for me and that's what led me to my (incorrect) excitement that I found a printing press. The ink would be all over me should this have been a scenario where vol remained high for months and months. I look for Vix spot >30 to put a large amount of capital to work.


----------



## janus10

Short Oct VIX 21.2 and added at 21.5.


----------



## The_Tosser

janus10 said:


> I was not in VIX at all but got into it literally on those 2 day spikes. Huge profit for me and that's what led me to my (incorrect) excitement that I found a printing press. The ink would be all over me should this have been a scenario where vol remained high for months and months. I look for Vix spot >30 to put a large amount of capital to work.


Oh it's a decent printing press. Just don't run it too hot or it may explode all over you. 

I preach safety and knowing your max D/D with reasonable accuracy, first and foremost. Profits will sort themselves out.


----------



## The_Tosser

janus10 said:


> Ok, a couple of things...
> 
> First, I entered an order to short at 1.31475. It didn't actually execute until seconds after it broke that level - why wouldn't it execute right away? By the time it executed, USD.CAD was already at 1.3149.
> 
> Secondly, I trade both US and CDN stocks/options/etfs (and US futures) in this account. So, there is already a USD.CAD holding in there (I think it is "virtual" to account for fx between US buys/sells and CDN account reporting). Do you have that, too?
> 
> I'm wondering what will happen when I actually cover my USD.CAD short. I think it is mingling the two but I won't know for sure until I buy it back and see an actual P&L.


I'm not going to read much into it yet, but yeah the usd short and vix short has been working from the looks of it, from noon today.

Re "virtual" yes i guess in a way you can call it that. Once you flatten all positions you'll be left with a net USD balance which you can if you choose, convert back to what i will assume is your base currency in your account, being CAD.

Look in your "Account" window and you will see two headings, Real FX Balance, and FX Portfolio. The Real FX Balance is everything but your FX trade, IE it's your US etf's, past PnL accumulation if you have it, etc.


----------



## The_Tosser

Moneytoo said:


> Cool - I'll hold on to my HUV then ("the plan" was to sell it on the spike - and buy HVI with the proceeds  but now getting a bit jittery to sell - 3 weeks ago it reversed so fast, I missed it.. along with a chance to convert CAD to USD at a good rate - was waiting for the better.. sigh)



So far it's proving me wrong, maybe - which incidentally i am not complaining, but regardless, you know my aversion to shitty trades/holds, so if i were to be in one and i got green on it for any reason, i'd be out! No way in hell i would let that profit go.

Me missing adding to a vix short is not the inverse to you not getting out of a long vix!


----------



## The_Tosser

janus10 said:


> Short Oct VIX 21.2 and added at 21.5.


Yeah, when i stopped in today @ 11:30EST i hit it @ 21.40

If i get 21.05 by 4-20 i'll let it go.

I didn't call it so i won't count it. but theses little mini-trades do add up. I have yesterday's round trip plus the one hanger-on that is flat currently that I won't let go until 20.90 or lower.

It all depends if i am around or not. I'm am in the middle of some side-work that is keeping me busy so of course we get some action @ the same time! lol good grief now i need 48hrs a day to get it all done, lol.

From sleeping to all out in < 24hrs! Isn't it always the way?


----------



## The_Tosser

janus10 said:


> Short Oct VIX 21.2 and added at 21.5.


Hey get your 100 contracts off my 21.05 so i can get my measly handful off the table, lol.

We're stacked up like chord wood on it. :biggrin:

EDIT:

OK thanks, lol. out @ 21.05 for $350 per contract @ 16:10 during the '4-20' experience, and i have decided to move down the next solo-Oct cover to 20.70 and the rest @ 20.60 since i may not be around for most of the day tomorrow.

Like I said yesterday, I think the markets have it all wrong, but i was not expecting the afternoon we had, after the morning we had.


----------



## daivey

so are you selling puts/calls on the vix itself?


----------



## The_Tosser

daivey said:


> so are you selling puts/calls on the vix itself?


no. Just playing futures straight up, or calendar ratios.


----------



## The_Tosser

Tap, Rack, Bang

(that's what she said)

Don't say I never helped you. lol. (Don't be a boob, don't over engineer it, don't IBM it, don't M.I.T. it) sounds like trading to me :smilet-digitalpoint


----------



## The_Tosser

daivey said:


> also do you have any good material to link to for learning more about the VIX and trading it?
> 
> Thanks!


https://www.blackrock.com/instituti...er/vix-your-portfolio-investment-insights.pdf

https://sixfigureinvesting.com/

http://vixandmore.blogspot.ca/


----------



## Moneytoo

True, some HNW investors are active speculators (although this group is smaller than many think). HNW investors speculate in a controlled, measured way that is more about taking calculated risks than capitalizing on short-term trading momentum.

Sigh...


----------



## The_Tosser

The_Tosser said:


> .....
> OK thanks, lol. out @ 21.05 for $350 per contract @ 16:10 during the '4-20' experience, and i have decided to move down the next solo-Oct cover to 20.70 and the rest @ 20.60 since i may not be around for most of the day tomorrow.
> 
> Like I said yesterday, I think the markets have it all wrong, but i was not expecting the afternoon we had, after the morning we had.


OK i'm an idiot.

I had more contracts than i thought and had to see where the 'extra' tranche was taken @. 10 seconds later i had it sorted out.

20.70, 20.60 stay as they are, but the "lost" tranche was taken short @ 21.10 and removed tonight @ 20.90, another +$200 per contract.

Now my sh*t is sorted out. This is what happens when there's too much on your plate.

Premiere going Monster tonight, lol.


----------



## daivey

how do you buy the futures directly? how do you sell the futures directly?

can I do that with iTrade?


----------



## The_Tosser

daivey said:


> how do you buy the futures directly? how do you sell the futures directly?
> 
> can I do that with iTrade?


I'm assuming you can but i don't know for sure. then again only ever in a non-reg account too, directly anyway. 

I'd not attempt it until you see whats going on and get a handle on the size of each contract and what damage they can lay down on you.

If i get a chance this weekend i can maybe throw together a JPG on this VIX-wind-up, instead of doing something else i know i should be doing but don't really feel like it, lol.


----------



## The_Tosser

daivey said:


> how do you buy the futures directly? how do you sell the futures directly?
> 
> can I do that with iTrade?



Here's a list from Luby's site on the vix etfs out there you can buy in any account.


----------



## daivey

thanks, that's cool.

i only really know
VXX
XIV
HVI 
HVU

i like HVU / HVI cause it's in Canadian.


----------



## janus10

I'm on the mobile app so I don't see that FX segmentation right now. I'll use TWS tomorrow and see if I can make sense.

OK serious question. Instead of going Oct solo, which you've admittedly have a good rhythm going, why not short UVXY? Or long SVXY? Or buy UVXY puts? Or sell UVXY calls?

The ratio calendar spread in futes is obvious. But what has experience taught you that using VIX ETFs and their options for these swing trades is not as comfortable as futes?

As I'm travelling over the long weekend and away on business I'll likely close my short Oct. tomorrow.


----------



## The_Tosser

janus10 said:


> OK serious question. Instead of going Oct solo, which you've admittedly have a good rhythm going, why not short UVXY? Or long SVXY? Or buy UVXY puts? Or sell UVXY calls?
> 
> The ratio calendar spread in futes is obvious. But what has experience taught you that using VIX ETFs and their options for these swing trades is not as comfortable as futes?
> 
> As I'm travelling over the long weekend and away on business I'll likely close my short Oct. tomorrow.


I short uxvy and sell uvxy calls. I haven't done it yet in this round because we didn't reach the vix levels that i do it at. It's the same reason i did not buy XIV in VOP accounts.


----------



## janus10

The_Tosser said:


> I short uxvy and sell uvxy calls. I haven't done it yet in this round because we didn't reach the vix levels that i do it at. It's the same reason i did not buy XIV in VOP accounts.


So we are not that far apart in our thinking then.

Closed my Oct shorts at 20.7. That was a nice one.


----------



## The_Tosser

janus10 said:


> Closed my Oct shorts at 20.7. That was a nice one.


Yeah I'd have to say we got pretty lucky on that one. It was a much quicker turnaround than i was expecting.

My 20.70 was covered, which ended up being the low of the day and my 20.60 is still on the table, along with the 'Premiere' 25% trading portion. I'm looking for at least $1000 per spread on it and i think we left it @ the close somewhere around +$750.

The trading has been very brisk this year so far. I try for +10% in trading, plus whatever i can get on what i call my 'holds'. We're way above these numbers so far, generally running almost 2X the required returns over the past 2-3 months as the market goes nowhere really.


----------



## The_Tosser

The_Tosser said:


> If i get a chance this weekend i can maybe throw together a JPG on this VIX-wind-up, instead of doing something else i know i should be doing but don't really feel like it, lol.











This is as good as it's going to get this weekend. You'll just have to suffer with me not wanting to break out the big software 

So what you'll see here is the M3 continuous contracts, chart 1 and 2 and the VXV 3-month Index as the 3rd chart.

The first chart is the 3 month continuous, *non* roll adjusted 'look'. Notice that M3 vix has been steadily rising for 2 years now. Chart # 3 shows the same look, as it should. Notice the trend lines match (see the lower line in each chart, 1 and 3).

This is the wind up. Even as the vix has been moving up for two years, let's take notice of the middle (green) chart. This is your M3 continuous roll-adjusted (*real money*) 'look'. You've still made money being short.

Ask yourself what is going to happen if the market ever relaxes for a while, never mind moving up. This thing will unwind very nicely and start giving you gains that have been reduced in the past couple of years. It's going to start playing catch-up in a nice way.

This is why i have been trading more than holding until this year. It's because i saw very little upside to short-vix as far back as mid-2014 in holding, given the term structure and levels. Now, not so much. Now it's more likely to be worth holding some bits here and there. Maybe she coils tighter, but each turn of the key brings you better and better odds of better and better gains.


----------



## janus10

The_Tosser said:


> The trading has been very brisk this year so far. I try for +10% in trading, plus whatever i can get on what i call my 'holds'. We're way above these numbers so far, generally running almost 2X the required returns over the past 2-3 months as the market goes nowhere really.


You mean +10% from trading (rather than buy and hold) for the year, not per trade, right?!


----------



## janus10

The_Tosser said:


> View attachment 10282
> 
> 
> This is as good as it's going to get this weekend. You'll just have to suffer with me not wanting to break out the big software
> 
> So what you'll see here is the M3 continuous contracts, chart 1 and 2 and the VXV 3-month Index as the 3rd chart.
> 
> The first chart is the 3 month continuous, *non* roll adjusted 'look'. Notice that M3 vix has been steadily rising for 2 years now. Chart # 3 shows the same look, as it should. Notice the trend lines match (see the lower line in each chart, 1 and 3).
> 
> This is the wind up. Even as the vix has been moving up for two years, let's take notice of the middle (green) chart. This is your M3 continuous roll-adjusted (*real money*) 'look'. You've still made money being short.
> 
> Ask yourself what is going to happen if the market ever relaxes for a while, never mind moving up. This thing will unwind very nicely and start giving you gains that have been reduced in the past couple of years. It's going to start playing catch-up in a nice way.
> 
> This is why i have been trading more than holding until this year. It's because i saw very little upside to short-vix as far back as mid-2014 in holding, given the term structure and levels. Now, not so much. Now it's more likely to be worth holding some bits here and there. Maybe she coils tighter, but each turn of the key brings you better and better odds of better and better gains.


Thanks for this. So, are you thinking that there is a seasonality that will see, again, an uncoiling of the VIX for the next 2 1/2 months? Be long August, short October/Nov in a 1:3 ratio? I'm guessing such a play would be more for a "core" position rather than a swing trade.


----------



## The_Tosser

janus10 said:


> You mean +10% from trading (rather than buy and hold) for the year, not per trade, right?!


lol yes on a portfolio basis.


----------



## The_Tosser

janus10 said:


> Thanks for this. So, are you thinking that there is a seasonality that will see, again, an uncoiling of the VIX for the next 2 1/2 months? Be long August, short October/Nov in a 1:3 ratio? I'm guessing such a play would be more for a "core" position rather than a swing trade.


I'm not giving it a time-frame to happen. 

I'm just pointing out the types of structure(s) that can bring better gains than others. Since June-july 2014 the term structure has been a negative one so buy and hold (short and hold) gains were a drag. We've gone through a 2 year reset to some degree so all else being equal things should work more in our favour.

All else isn't equal, but this cannot be seen as anything but a positive.


----------



## The_Tosser

The_Tosser said:


> Y........ and my 20.60 is still on the table, along with the 'Premiere' 25% trading portion.


lowering the cover for over-night, to 20.50

When i get up tomorrow I'll see what happened and decide from there.


----------



## The_Tosser

The_Tosser said:


> lowering the cover for over-night, to 20.50
> 
> When i get up tomorrow I'll see what happened and decide from there.


Nu-uh, my dad can beat up your dad.

Lowering to 20.40 for now  Over-night low was 20.65


----------



## The_Tosser

The_Tosser said:


> adding to premiere for trade portion $-64.25k
> 
> EDIT: I should get this up to date too.
> 
> 100% core @ -63.45k ($-63.475k to be exact but i will give you the pennies)
> 
> *25% trading as mentioned in this post @ -64.25k*


Out that 25% trading position, +$1150.00 per spread. (@ -63.10k)

_Skee-daddy_, is what i think Cramer says, lol.


----------



## The_Tosser

The_Tosser said:


> Lowering to 20.40 for now  Over-night low was 20.65


winner winner, chicken dinner. The final tranche of solo-Oct short goes out @ $20.40

Sitting on 100% Premiere.


----------



## The_Tosser

*Update: May 24th, 2016*



The_Tosser said:


> *Update: May 16th, 2016*
> 
> Fute's accts are "Core" @ +$4.85k per spread. with 75% core still on the table @ -$63.35k net (and we're @ -$62.00k currently, lol)
> 
> Trading positions after the sell/trade today +$5.3K per spread, for a *total of +$10.15K per spread*, blowing past our goal of $8K to $10K per spread.
> 
> I'm giving you that recent Oct short - not gonna count it here. So with that, 4.5 months into the year you're now double-digit returns - easily. Up to 20% @ full size risk.
> 
> If you've reached your goal, then punch out and sit on the sidelines, stay small, whatever it takes.
> 
> I'm gonna keep rolling the dice here and there all the while trying to keep the size down and nickle-and-dime this thing to death when at all possible.
> 
> Trading portion summary is $720 avg gain per spread and i've managed to do 27, 25%-of-core trades in 8 weeks.



Fute's accts are "Core" @ +$4.85k per spread. with 100% core still on the table @ -$63.45k net

Trading positions after the sell/trade yesterday +$5.6K per spread, for a *total of +$10.45K per spread*, well past our goal of $8K to $10K per spread.

Trading portion summary is $750 avg gain per spread[/U] and i've managed to do 28, 25%-of-core trades in 12 weeks.


----------



## The_Tosser

*Update: May 24th, 2016(b)*

Ah gotta do it. No sooner than i post the update too, lol.

Exit 25% 'core' @ -62.55k for +$900.00 per spread. (I'll round down the 1/4 size to calc on @ $800, you can owe me later.)


Fute's accts are "Core" @ +$5.05k per spread. with 75% core still on the table @ -$63.45k net

Trading positions after the sell/trade yesterday +$5.6K per spread, *for a total of +$10.65K per spread*, well past our goal of $8K to $10K per spread.

Trading portion summary is $750 avg gain per spread[/U] and i've managed to do 28, 25%-of-core trades in 12 weeks.


----------



## The_Tosser

Phew, holy **** what a day.

ES 2077 resistance. Just sayin'

I'm holding. 

Premiere currently -$61.50k-ish. Vix taken to the woodshed today.


----------



## The_Tosser

*VOP updates*,

The best of the best for 2016 is now up > 15%, this was the same one I do believe that was +16% or more for 2015.

I have a few newer ones that for 2016 are up a bit, but are coming in @ +18% over the most recent 8 months (Started in Q4 2015).

The struggle this year has been the USD-CAD issue, but even with that i can't complain too much. Since these are VOP's and are non-margin, RRSP etc 'ready', you've gotta deal with different accounts like this in a manner that i find pretty annoying given what i do with everything else that does not have these restrictions.

If these accounts were any more than 40% long ZIV I'd cut some here, but I'm gonna let it all ride for a bit yet. (Famous last words, lol).


----------



## The_Tosser

The_Tosser said:


> View attachment 10282
> 
> 
> This is as good as it's going to get this weekend. You'll just have to suffer with me not wanting to break out the big software
> 
> ........
> 
> This is why i have been trading more than holding until this year. It's because i saw very little upside to short-vix as far back as mid-2014 in holding, given the term structure and levels. Now, not so much. Now it's more likely to be worth holding some bits here and there. Maybe she coils tighter, but each turn of the key brings you better and better odds of better and better gains.


So look @ charts 1 and 2. After today, they're both sitting on that lower blue line of the channel.

Do we un-coil more or do we re-coil, rinsing and repeating as we've been doing for a while now.

Uhmm, yes. lol. :smilet-digitalpoint

I'm just gonna sit and watch, holding what i am holding. We haven't even begun to unwind what you're looking at there in that diagram.


----------



## The_Tosser

Trimmed VOP's, now 30% long ZIV, lol what a racket. (>$40.70)

Sit and ponder.


----------



## The_Tosser

The_Tosser said:


> Fute's accts are "Core" @ +$5.05k per spread. with 75% core still on the table @ -$63.45k net
> ....


lmao, out another 25% core @ -$60.65k, rofl.

when i get up off the floor from laughter, i'll add it all up.

btw next resistance level hit here on ES @ 2092


----------



## The_Tosser

*Update: May 25th, 2016*



The_Tosser said:


> Update: May 24th, 2016(b)
> 
> Ah gotta do it. No sooner than i post the update too, lol.
> 
> Exit 25% 'core' @ -62.55k for +$900.00 per spread. (I'll round down the 1/4 size to calc on @ $800, you can owe me later.)
> 
> 
> Fute's accts are "Core" @ +$5.05k per spread. with 75% core still on the table @ -$63.45k net
> 
> Trading positions after the sell/trade yesterday +$5.6K per spread, for a total of +$10.65K per spread, well past our goal of $8K to $10K per spread.
> 
> Trading portion summary is $750 avg gain per spread[/U] and i've managed to do 28, 25%-of-core trades in 12 weeks.


After today's sell of 25% 'core'

Fute's accts are "Core" @ +$5.75k per spread. with 50% core still on the table @ -$63.45k net

Trading positions after the sell/trade yesterday +$5.6K per spread, *for a total of +$11.35K per spread*, well past our goal of $8K to $10K per spread.

Trading portion summary is $750 avg gain per spread[/U] and i've managed to do 28, 25%-of-core trades in 12 weeks.

I think I'm done for the week, lol. :rugby:


----------



## The_Tosser

Honesty, damn. You don't see that too often. Good on ya. Kudo's.

http://www.cnbc.com/2016/05/25/18-years-in-whitney-tilson-looks-to-his-next-50.html


----------



## The_Tosser

The_Tosser said:


> Uhuh 60% of full size USDCAD short - net 1.2907
> 
> Sit and stew. Down about 110 pips. We shall see.
> 
> Things are finally getting interesting again.


Bumpity bump bump. May 18th post above.

I don't like my entry since it should already be green, but none the less, we're down 50 pips on this same position and size. Sure i did some tradin' of 10% size over the last couple of days which helps but i'm not going to count that stuff as my intention is to longer-term hold this trade, or most of it.

There is some potential market and currency moving news today @ 8:30AM EST.


----------



## The_Tosser

US Gov spending running approx $100B greater, year over year, lol.

Keep that wick burning hot 

I will even argue that employment has remained strong this month - we'll get that info in a week.


----------



## The_Tosser

LMAO did Dylan say "Blended blender" @ 2:34 area? rofl.

4:14 "Challenging your own mind, non stop". Yes, that's perfect.








> Daivey: You asked me last week about why i think long-vol is a losers game. Hear it again from Tasty-Tom. He's said it 1000 times, I've said it 1000 times... see 16:00


How many 25% vix-spread 'trading' 'trades' have i done in the last 3 months? about 28. How many in the 3 months before, yep another 30 or so, how many "core" 25% trades have i done in the same time? Yeah call it another 40 or so.... So how many of those 100 trades have i lost on? Yes, ZERO. (This doesn't even count a ton of solo-trades on top) Through all the ups and downs, Jan-Feb correction, April wiggle, 2 May wiggles, SP500 down almost 15% during that time.... not to mention 2015 was horrible for short vix but we banked anyway...

What am i saying? Could i do anything like this being long vix - hell no. Long stock picks? - f*ck no! Short stocks picks? Disaster!

People can't see what is right in front of their faces. F**king point it out? nope, still can't see sh*t. lol.

It's right there in the math why this is the way to go. Nope, .....crickets... lol. :stupid:

Can one do it part time? Sure, I call it my VOP accounts. One trade - that didn't even need to get done, in 3 weeks. The week before we bought twice over a day or two. Before that we were a month? doing nothing.... This is not heady stuff and takes very little time. Less work than it takes to make a dozen posts a week on CMF, lol and how many people can and do pull that off?


Back to the video. Note Tasty-Tom is nibbling short-ish commodities and certainly NEg-delta equity. A negative bias overall for sure. He's til short bonds which hey I'm OK, he;s still made no money as he suggests, but what makes my nut is how eh clearly doesn't understand the Fed's and Gov role in this. He says 'irrelevant' but damn that is the wrong answer, lol. Completely wrong.

I know why he says it - he's a trader. For him to say it is understandable and he WILL work out any position he has, but he's still 100% wrong. I've called this bond play perfectly including stating flat-out the market had the bond trade WAY under-estimating a June hike. I was vindicated that very day. I checked earlier today and the prob was 37% or that area. I did get robbed by getting stopped-out for gains but just the same and to show how razor thin glorious wins can be lost by - it was 2 ticks! lol. Damn, not the first time. I nailed the short and he's still working it out. It's been months for him. We killed bonds-v-VIX in Nov-Dec. Tom's fed-think re bonds etc has been wrong. This is where proper econ-knowledge and not just trader knowledge would have done him better.

To sum up, yes as a trader i have to admit i am in Tom's camp at least half way on the markets, commodities etc. By default that makes me not completely in love with USD.CAD short, in the short term. I'm pretty small now over-all, so I'll sit and wait to see what happens.

I am 'Switzerland' on Bonds. I don't want to touch those things here either way. I see odds that aren't near good enough for me to get involved again. No trade.

See ya next week.


----------



## daivey

I get it, volatility is expensive. But he's talking about the future price being like a few points up per month. E.g. 5 months out is 5 points higher than spot.

Ok, great i get that. but with vix <14, the chance of it staying depressed isn't that long. Maybe a few months at most, until something causes it to spike.

If you hold something like VXX or HVU, what is your max loss until the VIX spikes? For example, right now VXX is at $13.85. Assuming market stays flat for 2 months, what will VXX go down to and how would you calculate the depreciation? it loses value as it switches it's futures. but how much? Even if it went down 10 to 20%, all of that would be recaptured as soon as VIX spikes. 

it's gone from like $15 to $30 in a couple of days. I get it though, you're betting on an event that may or may not happen. but even then, on something like VXX maybe even just sell a few puts instead, or buy puts. I mean you buy VXX at $14, and buy the $14 put for Jan 2017 for $3.25... total cost of ownership is $1725.. your max loss is $325 +trading fees. your max gain is VXX spiking to $30 between now and Jan, which I would say is a pretty high probability. so 7 month bet for $375, not a bad deal?

I do see now why ZIV, is a superior strategy, and going long with the market.

I held XIV down to $16, but sold out when it bounced as I wasn't sure if the rally had legs... now im kicking my self as it is almost at $30.... I Would have doubled my investment. but saw green of a few hundred and took profits to early . 

wish I had found this thread before. hopefully this opportunity will present itself again.


----------



## The_Tosser

daivey said:


> I get it, volatility is expensive. But he's talking about the future price being like a few points up per month. E.g. 5 months out is 5 points higher than spot.
> 
> Ok, great i get that. but with vix <14, the chance of it staying depressed isn't that long. Maybe a few months at most, until something causes it to spike.
> 
> If you hold something like VXX or HVU, what is your max loss until the VIX spikes? For example, right now VXX is at $13.85. Assuming market stays flat for 2 months, what will VXX go down to and how would you calculate the depreciation? it loses value as it switches it's futures. but how much? Even if it went down 10 to 20%, all of that would be recaptured as soon as VIX spikes.


You need to understand just how many people have thought the way that you've described here. That is the allure. It sounds like a no-brainer doesn't it? lol.

It's your money.

In fact i strongly suggest people bet their beliefs. That's the only way you'll realize if your ideas are good or bad. And i do not mean once or twice. Making 1-2-3 bets is statistically insignificant. I mean get your plan sorted out and then do it 25-50-100 times.

One will find out soon enough how good his/her ideas are.

What amazes me still to this day is how people want to argue with others that have 'been there, done that'. One woudl rather re-invent the wheel at some cost of both time and resources, instead of building upon the hard-fought work of others. 

Again, I strong suggest people bet their beliefs. Not because it's efficient, but because sometimes it's the only way to reason through it for them.


----------



## The_Tosser

daivey said:


> I do see now why ZIV, is a superior strategy, and going long with the market.
> 
> I held XIV down to $16, but sold out when it bounced as I wasn't sure if the rally had legs... now im kicking my self as it is almost at $30.... I Would have doubled my investment. but saw green of a few hundred and took profits to early .
> 
> wish I had found this thread before. hopefully this opportunity will present itself again.


RE: XIV-ZIV. 

Yes i see it (XIV was a near double) but ZIV flies well and is less volatile. I have no idea what's going to happen with the market so the only time I risk M1 vol is after it's already getting smoked. Other than that, yeah ZIV will get the job done quite well and will walk all over any index fund, all day long.

it's actually a tough chore to stay in these products, lol. Why? Because you get the very same feeling and (bad) ideas about getting out of say ZIV when Vix-spot hits $$13.70 because you swear to all mighty that vix is going to spike and you'll give it all back....lol. Well, not too often!.

This is exactly why i am still in it and why i mentioned the 'coiling' going on. You've got to give it a shot at further gains because the odds are better than they might appear. I do not like being short-vol @ $13.XX any more than any other rational person. I quell those concerns only by getting smaller, and spending days like yesterday/today away from the market. If you're not @ the keyboard, you're not fudging with stuff. 

Sometimes you just want to leave things alone and stick with your longer-term conviction.


----------



## The_Tosser

daivey said:


> I get it, volatility is expensive. But he's talking about the future price being like a few points up per month. E.g. 5 months out is 5 points higher than spot.
> 
> Ok, great i get that. but with vix <14, the chance of it staying depressed isn't that long. Maybe a few months at most, until something causes it to spike.
> 
> If you hold something like VXX or HVU, what is your max loss until the VIX spikes? For example, right now VXX is at $13.85. Assuming market stays flat for 2 months, what will VXX go down to and how would you calculate the depreciation? it loses value as it switches it's futures. but how much? Even if it went down 10 to 20%, all of that would be recaptured as soon as VIX spikes.
> 
> it's gone from like $15 to $30 in a couple of days. I get it though, you're betting on an event that may or may not happen. but even then, on something like VXX maybe even just sell a few puts instead, or buy puts. I mean you buy VXX at $14, and buy the $14 put for Jan 2017 for $3.25... total cost of ownership is $1725.. your max loss is $325 +trading fees. your max gain is VXX spiking to $30 between now and Jan, which I would say is a pretty high probability. so 7 month bet for $375, not a bad deal?


I feel like I owe you more.

I've said it before quite a while ago and maybe you've missed it. 

I get exactly what you're saying. I am human, exactly like you. I have the very same thoughts as you on this topic. The only difference is I don't act upon them because they are in general a very bad idea. I know this from experience - usually by watching others fail at it. I know what a good bet looks like. I know what a bad bet looks like. Most people don't see a bad bet for what it is, when it's staring them in the face. That's the problem. I don't get swayed by one-offs that 'would have worked' and i am not so flippant as to say "wait 3 months and you'll get a spike and make your money".

No way, brother. It might work here and there but no way does that work with any regularity. If it did, i would do it. You lose major % short M1/M2 for a few months in a row like that. The longer you go without a spike, the higher you need it to spike, until half way into that trade you would be sending up the white flag and calling it a day.

It's not a trade you can repeat over and over, so it's not worth doing at all. Banish bad trades from your repertoire. Get a list of go-to trade and do your human best to only do those trades. That is the key to your success. No-one does this.

Just as with options, your front month decay is the largest, on a day to day basis. You lose more over a 6 month period buying M1 every month, that you do just buying the original M6 and waiting. It is not a linear event. That's what makes a good looking bet, actually be a very bad bet. If you know the math you know why. If you've never thought about it before at all, odds are good it's not at all an intuitive situation and you will likey be making the wrong bet because it looks better. 

Life is weird like that.


----------



## The_Tosser

Ouch, if you're long bonds, how your neck tonight?

Clothes-lined!

:beaten:


----------



## jollybear

Dylan really enjoys cutting Tom S off when he`s trying to answer his questions!!!


----------



## The_Tosser

jollybear said:


> Dylan really enjoys cutting Tom S off when he`s trying to answer his questions!!!


Yeah, plus he gets quite monotonous, but what do we want for free?

I can just hear Tom saying, "Yeah i get what you're saying, now shut up and listen to my answer, there's no need to run on so much" lol.


----------



## The_Tosser

Ooh just noticing too, Gold and Silver are also getting smoked. Resource currencies of course too are taking it on the chin.

Yes, I am exiting 25% core @ $-60.30k here and now. This is a full $2K/spread less than i wanted to take on the next tranche but i have done worse than make a profit before.

I'll add it up tomorrow, but i have 25% core left.


----------



## The_Tosser

*Update: May 30th, 2016*



The_Tosser said:


> Update: May 25th, 2016
> 
> 
> After today's sell of 25% 'core'
> 
> Fute's accts are "Core" @ +$5.75k per spread. with 50% core still on the table @ -$63.45k net
> 
> Trading positions after the sell/trade yesterday +$5.6K per spread, *for a total of +$11.35K per spread*, well past our goal of $8K to $10K per spread.
> 
> Trading portion summary is $750 avg gain per spread[/U] and i've managed to do 28, 25%-of-core trades in 12 weeks.
> 
> I think I'm done for the week, lol. :rugby:


After last nights sell of 25% 'core' @ $-60.30k

Fute's accts are "Core" @ +$6.5k per spread. with 25% core still on the table @ -$63.45k net

Trading positions are +$5.6K per spread, *for a total of +$12.10K per spread*, well past our goal of $8K to $10K per spread.


----------



## janus10

I actually went long Sep VIX @19.2 late last week but didn't feel comfortable adding to a single contract. Finally sold today for a measly 19.4.Wasn't even aware that it spiked but when I had an opening I figured I'd take it.

Haven't done a lot of successful long vix trades this year. Lost more than I made but most of that was a hedge against my long equity position. Turns out it was a wasted move.

Late Friday I entered into a long Brent short WTI spread. Closed it today for .80 after buying it at .56. Worked out to a bit over $300 profit per contract in CDN. 

Last week I didn't close many positions, just opened some. This week I closed some and opened some more but nothing VIX related.

Wondering if June will bring some excitement.


----------



## The_Tosser

janus10 said:


> Haven't done a lot of successful long vix trades this year. Lost more than I made but most of that was a hedge against my long equity position. Turns out it was a wasted move.


This is what i keep telling everybody. The 1-2 time you pull it off, maybe, will be dwarfed the amount of losses you'll take the next 50 times, lol.

I'd also not 'hedge' a portfolio by being long vix. There's a 1000 better ways to hedge a stock portfolio.


----------



## The_Tosser

janus10 said:


> Wondering if June will bring some excitement.


I hope so. lol.

May just concluded and i have a few numbers coming in. This is not typical of course but May itself was especially 'exciting'. We did about 35 vix spread trades, mingled with a few solo shorts, plus USDCAD forex trades on top of that. The month went out +5.3% including being down <1% on USDCAD position.

I see in contrast the SP500 did maybe +0.6% lol. The truth is, this is exactly the type of market we want. I hope we get more of the same, for sure.


----------



## The_Tosser

May 18th, 2106



> There's just too much volatility on the volatility to not get involved on moves like we saw today.
> 
> .......
> 
> Man maybe i am too bullish, lol. I very well could be.
> 
> I dunno, I called this 'Fed-Think' about perfect wrt to rate hike possibility in June. I've had worse trades than getting stopped out for gains. Sometimes you don't get paid wel enough for a decent call. I just wanted a higher print to short more and i didn't get it, so stop out it was.
> 
> I think folks need to step away from bonds - long or short right now. Getting short here is late to the party in the short term, and being long here? uhh.. I'm not going to do that until we actually get a hike OR we get a huge beat-down into a hike. Then, I will get long bonds.


May 19th, 2016



The_Tosser said:


> ......
> Like I said yesterday, I think the markets have it all wrong, but i was not expecting the afternoon we had, after the morning we had.



OK we left you here on the 18th + 19th of May. We had loaded back up 100% short vix spread + long CAD on the rate-hike scare. I was quite convinced the market had it wrong and was over-reacting mightily and we would take advantage of it and fade that move. It turned out to the bottom of this latest run.

The Vix premiere trade has now moved into the $-59's xx

By $-58's we'll let it go, if we make it that far.

The CAD has been mostly lower but has provided ample opportunities daily to snag 30-40 pips, sometimes several times a day. That shores things up. I'm keeping my short USD @ 1.2904, but with trading we're easily 1.30++

The VOP's hit pay dirt as well as we went long ZIV @ 40% @ 38.60 area, took 10% off 40.50 area as i recall and she came to rest @ 41.50 today, up some 7.5% in 15 days or so. Now that's "stock picking" lol. SPX was +4% and TSX was maybe 3% so again we killed the indexes.

B prep'd for tomorrow 8:30AM EST for possible market moving news.

I'm still bullish on the market but would not think it would be a bad thing to get a pullback for a bit. I won't risk being 'out' as i believe almost as much that we could finally break this very long 2100 ceiling and move higher.

The US econ is doing well, spending is up, jobs tomorrow will tell us about that area but I'm thinking it's going to be good numbers as well.

The market has been brutal on anyone going short. Small dips, followed by days of relentless beatings. I would not be in a hurry to step in front of that train, lol.


EDIT: 

Summary, 25% core - it's hitting fresh highs, USD short, smattering of short Jan 2017 futes that i have been playing daily, all week now.

VOP's are 30% long ZIV. No need to even bother opening up those accounts. I'm just letting them ride.


Bonds - called it well. The initial suggestion to stay away from long-bond positions, they got hit hard, then suggested to just stay away completely. Going short there was late to the party and i saw no long-bond play either. Just stay away. 

Yep, dead money so far. No trade.


----------



## The_Tosser

janus10 said:


> You know, without analyzing it, I would have thought the opposite of your correct conclusion, so thanks for that. Certainly, this isn't like extreme scenarios (e.g. 2010-2011) but the last 2 years are definitely running at a higher VIX than the previous 2 years. Do you use spot VIX or M1 to compare and conclude that VIX is coiled?


I believe i missed this post entirely.

This was May 17th and we were discussing the vix wind-up.

Uhuh, boy it did play out well. Had the market continued to dump of course we would have lost money, but the term structure and level (wind up) seemed like a good vix short to me, Good odds. in 15 days, M1 did an easy +15%.

Clearly the risk-reward has played itself out somewhat from there so I am not as crazy about this trade as i was then. My play is to stay in it, but keep it small. We'll find another opportunity to size it up again before too long i would imagine.

Re; Coil, I use most of the futures term structure to determine the level and strength of the coil. The M1-spot give a good look @ keeping with the M1 short if you're playing it. The whole thing is pretty steep now. Your best rewards, if you dare


----------



## The_Tosser

janus10 said:


> You know how IB says you can't have USD in their RRSPs? Well that's not exactly true. I transferred in kind my iTrade RRSP which held mostly USD stocks and ETFs.
> 
> As soon as I sold one in the IB account I was now able to buy USD stocks and ETFs. I'm going to try buying a US option when I have an opportunity.
> 
> So when I transfer my wife's I am going to make sure I take some of her CDN cash and buy some USD money market or equivalent ETF to ensure I can have a ready pool of USD cash holdings.
> 
> Now have any if you figured out how to take your CDN cash that is held in your IB RRSP and convert it into US cash? Most of the purchases and trades I do are in US while my margin account is almost exclusively in CDN.


This is from another thread. I'll answer you here.

You simply 'buy' USD within your account. If you call IB they will walk you through it. You will be able to buy US etf's until your US funds 'run out'. In your margin account it is done without you having to bother with this intermediate step. It's my understanding that RRSP, TSFA requires avail US funds, which you got when you transferred 'in kind', or when you 'buy' USD by doing an FX trade.

Your account balances show how much cash of each denomination you have.


----------



## The_Tosser

Well teh number are out this morning.

I have to say, it's all weaker than I thought. 

USD getting hammered, so I'll take it, lol.

Other than covering the short- term usd shorts, I'm sitting on the sidelines for now. If can catch some sucker-bids for short-vol way out there in time, I'll take it. Other than that I'll wait for my price.

Slow down there USD, don't make my day this early, lol.

Bonds popping hard. No play for me. Not even close to a short. Don't get excited.


----------



## The_Tosser

lmao..

trimmed usd short to 50% of acct size here @ 1.293X

All in, this is major green position now but i have to admit i didn't catch it cleanly, so with all the short-term shorting i did over the last few days, I will take 10% 'core' off.

I'll gladly hit it short later on if we move appreciably higher.

The plan is to longer-term hold this thing and get a stop placed in at some point to protect it all and let it ride. Again the goal here is to bank some serious pips - but let's not get ahead of ourselves....


----------



## The_Tosser

Hit short some Jan 2017 @ 20.70 area and looking to add more @ 20.80

Take a bit, let it sleep.

gotta love these pre-market new events. My day is likely over by the open


----------



## The_Tosser

atrp2biz said:


> I don't understand. If your view is that commodities have had a run and along with CAD will need a break, why are you short USD.CAD?


This is why.

Because i could be completely wrong and maybe still make money. Look at today. Commodities are mixed bag, CAD up hugely. Not exactly fitting our hypothesis.

I don't care either way because this stuff happens all the time. All i really care about is my trade - and nothing is locked in yet, lest i get ahead of myself.

The primary goal is to make money, not so much for a dogmatic belief at a cost one can't afford.


----------



## The_Tosser

The_Tosser said:


> Hit short some Jan 2017 @ 20.70 area and looking to add more @ 20.80
> 
> Take a bit, let it sleep.
> 
> gotta love these pre-market new events. My day is likely over by the open


yep, got hit on 20.80 also,..and now pulling about 40% off the table, covering here @ 20.55.

I'll take a bit more off @ 20.45 but that's it. I'll hold the rest.

Oh the humanity, winning everywhere it looks like  Will the USD finally be taking its long overdue dirt-nap? Here's hoping.

OK *Now* the day is over, rofl. :greedy_dollars:


----------



## The_Tosser

lol 20.45 out. OK we're not covering any more short-vix today.

wind wind wind - Sproingggg!!

vix futures + etf's making fresh extremes day over day and the US markets are still red! 

Look the freak out and get out-da-way of the unwind 

I'm not counting any of these gains for the running numbers we're showing here, but ya know we're taking them as we called them live, just like everything else.

OK see ya next week, rofl.


----------



## The_Tosser

Here's an account that was opened Oct 30th 2015, does VOP only (no direct futures, no margin, RRSP/TSFA ready, vix etf/etn only).









Using the same starting day (1 day off actually), here's another, operated the same way with a bit more edge allowed.









Benchmarks referenced are NDX, SPX, TSX.

Risk adjusted, these are pretty good. Most people can't handle the volatility. lol. I'd rather not see it to the downside either, but we can't always get what we want. Most are good with upside volatility. Imagine that. :greedy_dollars:


----------



## The_Tosser

Yellen will be yellin' about the economy today @ 12:30 EST.

Get your fingers ready to hit some buttons.:smilet-digitalpoint


----------



## The_Tosser

USDCAD short, in one simple video.






rofl


----------



## The_Tosser

The_Tosser said:


> lmao..
> 
> trimmed usd short to 50% of acct size here @ 1.293X
> 
> All in, this is major green position now but i have to admit i didn't catch it cleanly, so with all the short-term shorting i did over the last few days, I will take 10% 'core' off.
> 
> I'll gladly hit it short later on if we move appreciably higher.
> 
> The plan is to longer-term hold this thing and get a stop placed in at some point to protect it all and let it ride. Again the goal here is to bank some serious pips - but let's not get ahead of ourselves....


Stop is in @ Break Even, USDCAD short. I'm thinking I'll have to stick-handle this pig more than likely, as 95-100 pips might be a little tight for a stop.


----------



## janus10

I've not been doing anything with Vix for a bit. Closed a USD.CAD short for a bit more than 2 cents.

After going long the Brent short the WTI for $240 a contract gain, last Friday I went short Brent long WTI for double the contracts and closed it today for $250 a contract. Almost 30% gain with low, low margin. 

Triple (or is it quadruple) witching on the 17th. Does vol go up this week and quiet down during the week of the 20th? I want to investigate how systemic these quarterly dates are with respect to trade able vol structures.


----------



## The_Tosser

janus10 said:


> I've not been doing anything with Vix for a bit. Closed a USD.CAD short for a bit more than 2 cents.
> 
> After going long the Brent short the WTI for $240 a contract gain, last Friday I went short Brent long WTI for double the contracts and closed it today for $250 a contract. Almost 30% gain with low, low margin.
> 
> Triple (or is it quadruple) witching on the 17th. Does vol go up this week and quiet down during the week of the 20th? I want to investigate how systemic these quarterly dates are with respect to trade able vol structures.


i was wondering if you still had that USD short. Good stuff man, you nailed it. I see it's still falling out of bed this morning.

Just covered 1/2 of the remaining Jan vix short here @ 20.40 Not yet sure where or when i am covering the last bits.

Pressing our luck a bit, but hey we have a hot market so why not?

I don't notice anything on witching days.


----------



## The_Tosser

janus10 said:


> I've not been doing anything with Vix for a bit.


BTW check out that vix M1 print in a few hours if the market gains overnight stay solid. Holy ****, lol. Vix longs got smoked.

A classic example of a how vix futures get killed even with spot in the 13's and then popping to 15.

The call to fade that Interest rate scare was the set-up for this most recent run. The initial market reaction was indeed dead wrong.

The vix slope is still quite steep too. Tough to leave it, tough to stay in it, but from a sheer technical aspect, as opposed to the macro-econ look that got us into this latest run of vix short+usd short, i'm going to have to step aside sooner than later. Hell it's been 3 weeks and 85 ES points, lol who's gonna argue we didn't take enough out of that move?

There comes a time when i've got to be more selective on trades since the returns for the year are just too solid to ignore. There will be time to muck it up sooner or later.


----------



## The_Tosser

OK you've talked me into it, lol.

Out the remaining vix-spread/premiere @ -$59.65K

I'll add it up later.


----------



## The_Tosser

*Update June 7th, 2016*



The_Tosser said:


> Update: May 30th, 2016
> 
> 
> 
> After last nights sell of 25% 'core' @ $-60.30k
> 
> Fute's accts are "Core" @ +$6.5k per spread. with 25% core still on the table @ -$63.45k net
> 
> Trading positions are +$5.6K per spread, *for a total of +$12.10K per spread*, well past our goal of $8K to $10K per spread.


After this morning sell of 25% 'core' @ $-59.65k

Fute's accts are "Core" @ +$7.45k per spread. with NO core Positions on the table

Trading positions are +$5.6K per spread, *for a total of +$13.05K per spread*, smoking our goal of $8K to $10K per spread.

So once again, if this works for you for the year, returning between 13%-26% in under 6 full months, then walk away and wait for greener pastures! They will come.


----------



## The_Tosser

The_Tosser said:


> Stop is in @ Break Even, USDCAD short. I'm thinking I'll have to stick-handle this pig more than likely, as 95-100 pips might be a little tight for a stop.


OK i'm not going to be stupid about it. Taking 10% (down to 40% acct size) USDCAD short off here +125pips.

It's looking like the market is going to finally pull back a bit?, at least, I'm hoping.

We'll reload later.

I still have the stop on for the rest. No problem. We are locked in, safe as a bug in a rug.


----------



## The_Tosser

*VOP Update:*



The_Tosser said:


> Trimmed VOP's, now 30% long ZIV, lol what a racket. (>$40.70)
> 
> Sit and ponder.


Trimmed again, now around 20% long ZIV. Did so @ $41.78 - almost 8% gain on that part.


----------



## The_Tosser

The_Tosser said:


> OK i'm not going to be stupid about it. Taking 10% (down to 40% acct size) USDCAD short off here +125pips.
> 
> It's looking like the market is going to finally pull back a bit?, at least, I'm hoping.
> 
> We'll reload later.
> 
> I still have the stop on for the rest. No problem. We are locked in, safe as a bug in a rug.


lol now +230 pips.

Moving stops down. just above 1.2800


----------



## The_Tosser

The_Tosser said:


> lol now +230 pips.
> 
> Moving stops down. just above 1.2800


roll-over in motion. Stopped +230 pips down to the 30% acct size area.

Lowered stop to 1.2768


----------



## The_Tosser

Topping that Jan short vix @ 20.70+

Gotta stay aggressive shorting these vix pops until we're shown otherwise. It is getting harder to do, I'll give you that.


----------



## The_Tosser

The_Tosser said:


> roll-over in motion. Stopped +230 pips down to the 30% acct size area.
> 
> Lowered stop to 1.2768


I'm convinced. Stopped the rest @ +200 pips - about 1/2 what i was gunning for.

Winner-winner, chicken dinner.


----------



## The_Tosser

Unemployment claims tomorrow 8:30AM EST.

I have to double-check my latest numbers and make another crystal ball claim  lol.

btw what was i doing up yesterday @ 4:30AM EST trading and posting? lol. Junkie! :sleeping:


----------



## The_Tosser

The_Tosser said:


> Unemployment claims tomorrow 8:30AM EST.
> 
> I have to double-check my latest numbers and make another crystal ball claim  lol.


The crystal ball says more of the same. No real barn-burner changes. Gov spending like it's going out of style. I have to say, it all looks pretty good.

Right or wrong, just give me a vix spike i can grab hold of. :smilet-digitalpoint


----------



## The_Tosser

back in 25% of core for Sept-Nov premiere @ -$60.70k

net short Jan vix now @ 20.75


----------



## The_Tosser

Short Feb vix @ 21.00

At least now we have a foot-print again.

I'll take another 25% core sooner than later. Then we'll let things play out for a while again.


EDIT: Jobs number was decent today. Federal spending running some $100B ahead of last year @ this time. (US numbers of course, as canada doesn't really count lol)


----------



## The_Tosser

VOP:

Buying back the ZIV here @ $39.80, that i sold @ $41.78

The foot is back in the door with loads of cash to use at will. Now lets just temper the will a little bit :smilet-digitalpoint

It looks like we're headed for a bit of a reset, which is a good thing. We've taken a lot of profits over the last week or so. Let's do what we can to get back in without a lot of harm. The 'monkey' is off our backs if the market does what i do not expect and run back up in the short term, so all that is left is to employ some patience and let people get a bit scared again. I'm sure the Armageddon crowd will be back before too long, lol.

As long at the US Gov is spending like hell into the economy, I don't' see a problem. If i do see the spending curb, well maybe then i would get a bit more cautious yet.

I'll be tapping Feb short @ $21.40 and that's likely it for the day.


----------



## The_Tosser

*OK T-Snooze*, back short bonds with ya!

rofl.

121'072 to start! Sept ZF contract

btw there's been a single day (one) in the history us of US treasuries that the 5 yr's have been higher than they are right now. 

Short bonds is a bad trade, most of the time.


----------



## The_Tosser

Tappin' the *VOP* accounts again here @ $39.10 area.

45%-50%ish long ZIV.

I've added back at least now on this last one, what i sold @ $40.77 area a couple of weeks ago.


----------



## The_Tosser

Added 25% of core size to premiere @ $-62.65k

I missed a post - no matter.. 75% @ -$61.60k

or 50% @ $-61.10k plus 25% trader @ -$62.65k

Not sure which way i am going to play it yet but the numbers are there.

OK we're certainly done for the day.


----------



## The_Tosser

Oh the doom and gloom lol. :black_eyed:


----------



## Moneytoo

The_Tosser said:


> Oh the doom and gloom lol. :black_eyed:


Yay I'm finally losing less than $500 on HUV... lol


----------



## The_Tosser

Moneytoo said:


> Yay I'm finally losing less than $500 on HUV... lol


We have a market again. I'm thinking everyone should be happy today,...different reasons maybe, but happy just the same.

I've bit off a nice swath today so now i sit back in the weeds and see if i get a chance to poke the bear with a shorter stick, next week.


----------



## The_Tosser

The_Tosser said:


> *OK T-Snooze*, back short bonds with ya!
> 
> rofl.
> 
> 121'072 to start! Sept ZF contract
> 
> btw there's been a single day (one) in the history us of US treasuries that the 5 yr's have been higher than they are right now.
> 
> Short bonds is a bad trade, most of the time.


lol, i just checked for the latest Tasty-video.

It's not worth watching except for 15:00 in, to the end.

Evidently T-Snooze is pissed @ Fed for not helping his bond position  Dylan gets a punch in below the belt on that one, lol.

It's OK brother, I've got your back now, irate:


----------



## The_Tosser

The_Tosser said:


> Tappin' the *VOP* accounts again here @ $39.10 area.
> 
> 45%-50%ish long ZIV.
> 
> I've added back at least now on this last one, what i sold @ $40.77 area a couple of weeks ago.


The accounts are pennies and percents here and there, but call it *50% long ZIV @ $39.10 as the current makeup of the VOP's. *

Some of this came from the purchase a month ago @ $38.50 area that was held so i wasn't completely out of the market if i happened to be wrong about a pullback.

I noticed after 4PM EST regular market close we had bounced a full 1/3 of the way back up on the ES. I have to figure the sell-off will continue into next week to Wednesday's FOMC rate decision, which is standing at about 0% after today. 

I'd be a little cautious about any move until after that.


----------



## The_Tosser

Gonna start nibbling back short USDCAD here @ 1.2780 This is a full 100 pips higher than i covered last week.

Vix is in play so i want to concentrate on that primarily, but i gotta take some small shots @ the currency.


----------



## The_Tosser

The_Tosser said:


> Added 25% of core size to premiere @ $-62.65k
> 
> I missed a post - no matter.. 75% @ -$61.60k
> 
> or 50% @ $-61.10k plus 25% trader @ -$62.65k
> 
> Not sure which way i am going to play it yet but the numbers are there.
> 
> OK we're certainly done for the day.


Hit premiere here this morning @ $-64.15k for another 25% tranche. Hope we don't get suckered!


----------



## The_Tosser

The_Tosser said:


> *OK T-Snooze*, back short bonds with ya!
> 
> rofl.
> 
> 121'072 to start! Sept ZF contract
> 
> btw there's been a single day (one) in the history us of US treasuries that the 5 yr's have been higher than they are right now.
> 
> Short bonds is a bad trade, most of the time.


Adding here this AM. Now net short @ 121'082 on ZF contract.

I could take an ***-kicking if all of these trades go against me :smilet-digitalpoint It's a good thing we built up a buffer. We'll work it out sooner or later.


----------



## The_Tosser

*VOP* - started position in XIV @ $28.85 about 5% acct size.


----------



## The_Tosser

lol you know i am starting to salivate when i am punching M1 with spot near $20.

Hit the button, then go hide under your bed for a month. :hopelessness:

I've seen worse ideas.

The back months are now nearing Feb's highs.

We have retail sales numbers tomorrow but this is overshadowed by Brexit and FOMC meeting, neither of which is going to actually make things worse, so put another quarter in the machine and extend the play :greedy_dollars:


----------



## Moneytoo

Debating whether to chicken out and sell HUV now when it's back to my purchase price from end of April/beginning of May (when VIX was below $14!) - or if the fun has just begun.. lol


----------



## The_Tosser

Moneytoo said:


> Debating whether to chicken out and sell HUV now when it's back to my purchase price from end of April/beginning of May (when VIX was below $14!) - or if the fun has just begun.. lol


I think you've got your answer don't you?

You went long vix when spot was <$14, now it's $20 and you're still not profitable?

Whenever you decide to do it, remember to reverse the trade, not just get flat on it.


----------



## Moneytoo

The_Tosser said:


> I think you've got your answer don't you?
> 
> *You went long vix when spot was <$14, now it's $20 and you're still not profitable?*
> 
> Whenever you decide to do it, remember to reverse the trade, not just get flat on it.


Yep, guess I'm one of those people who needed to buy & hold it to believe it (as when I was just looking at the ETF prices - it wasn't that clear... sigh) So hopefully I won't pay too much for the lesson (well, was only playing with 1% of the portfolio to begin with ) - and definitely won't try it again lol

*Upd.* ...aaaand sold for a $100 profit (too early, as usually - but screw it, glad to be out! ) - feel like I achieved zen-mastership... lol


----------



## The_Tosser

The_Tosser said:


> *VOP* - started position in XIV @ $28.85 about 5% acct size.


uhuh another 5% @ 25.90 area. how could i not? The doomers are out and howling.

VIX (spot+M1) @ $21 currently.

these are the best types of market to trade in. Just wide-scale it in like we did in Feb.


----------



## The_Tosser

The_Tosser said:


> The accounts are pennies and percents here and there, but call it *50% long ZIV @ $39.10 as the current makeup of the VOP's. *
> 
> ...


And now we add to it, 10% long XIV @ net $27.50 give or take some pennies, after today's purchases.

All you can do is try and dodge the large percentage drops in the first few days, from there it's just a regular grind-out.

Unless the **** really gets ahead of itself....

I don't see any real fundamental market changes so just roll with the silliness. This is what makes it a game worth playing in the first place. Embrace the volatility.

The next tranche of M1 (XIV) will be taken most likely around a news event within the next week. Just hang out until then. Whatever it is at that level, as long as it's lower, is where we'll be taking it.


----------



## The_Tosser

The_Tosser said:


> Gonna start nibbling back short USDCAD here @ 1.2780 This is a full 100 pips higher than i covered last week.
> 
> Vix is in play so i want to concentrate on that primarily, but i gotta take some small shots @ the currency.


Added USD short again, net 1.2799, 10% acct size in total.

Not much movement in the USDCAD or the Bonds today. I kept tapping the screen to see if the needle was stuck.


----------



## The_Tosser

US retail sales data in 35 mins. 

Mr market is looking weak to be sure. 

Fed speak on its way tomorrow. Given zero percent chance from the fed-o-meter, the recent market sell-off and by then, today's retail sales data, wouldn't the market just **** itself if they moved? lol. I would not bet on such, but damn,... it would be something else to witness.

Bonds perked up overnight, looking like they're on their way to eclipsing the single day they need in order to print the highest number in T-Bill history.

If i add at all, it will be @ an upper trend-line > 122'XXX, spike on news etc.

Things have got to line up better than they are right now so we're gonna wait and see on all fronts. It could be a while yet.


----------



## The_Tosser

Well there you have it. 

Exactly confirming the numbers we've been staring at all along. 

Strong retail numbers and import prices. 

The 'market' doesn't have to agree, but that is another matter entirely. It's enough to know for now that the bullish sentiment on the economy has the facts on its side.


----------



## The_Tosser

So while we're waiting for the market to sort itself out, let's look @ things from a proper economic perspective.

Higher retail sales, were expected as a proper result of understanding what the US Fed Gov is doing, which is continuing to spend at a level well above anything we've been seeing and is as i had mentioned earlier, about $100B ahead of last year. That money goes somewhere.

What does this mean to the market, USD, Bonds, Fed decisions etc?

I always say, "all else being equal' because its true. These facts can change @ any time, so we can only use the current numbers and expect more of the same until we see otherwise.

So with the "all else equal" in mind, this will support the market. The USD and Bonds are likely a more interesting take since it's counter to what most people would expect. Since the Fed will take this data as a sign of rising inflation, they will sooner or later raise again. They are in 'deer in headlights' mode right now as they are so afraid of a single down-tick in the market, lol. They need to get over this and i believe they will sooner or later. 

In any event continuing numbers will force a interest rate move and this itself becomes a positive feedback of inflation. It's not what you want forever, but it's more than fine here. So Bonds, well timed can indeed be a decent short. Timing is everything in bonds, more so than currency as being short bonds is like long vix, it works, but long term it's a bad, bad trade. Just ask T-Snooze. That guy needs to get on board as to why his perma-hold of short bonds all year is just a bad trade however you slice it. I'm sure his *** is feeling the pain today, never mind his most recent video shows you how poorly he's doing with it. Ouch!

Of all of the trades that i see otherwise solid traders get wrong, its bonds to the short side.

This is also bearish for the USD. This is why i have continued to get short, well after we rounded 1.46XX highs. This may seem counter-intuitive but what happens when their imports have the ability to gain pricing power vs the USD? Uhuh, a defacto falling dollar/increase in inflation.

All of this becomes a positive feedback loop.

Since i alway try and look @ my trades in the opposite light and give myself reasons to NOT like my trades..here goes.... the counter to my trade...

It all pretty much technical in nature. 

1.) The SPX is a couple percent off all time highs. I hate buying this close. Wwe could easily see more downside, hurting almost everyone since we're all net long.

2.) Economic turmoil. Fed decision, Brexit etc. It matters in the short term. This causes weak equity markets, higher USD, higher bond prices. All exactly against my positions. (And yours as well since you're net long assets).

3.) Again more technicals that i do watch. We are no-where near oversold levels on Daily's be it stochastics, 200DMA support etc etc. I guess this goes to point # 1, but whatever, it matters enough to my trading mind to at the very least be aware of it. It's the exact reason I dumped 90% of my vix shorts last week. I won't ignore technicals.

4.) The market doesn't have to agree at all with me in the short term. In fact it rarely does!

So,.... in the short term.......who knows?? :cower:


----------



## The_Tosser

interesting. SPX made a new low just now yet M1 not very close to its highs....

bonds also hanging around the lows even as the market drops further.


----------



## The_Tosser

I've noticed some chatter on CMF that the market was not properly pricing in the "Brexit". In fact they said they didn't see it anywhere.

I guess my comment is that you don't go looking for sharks in the puddle of your driveway.

Even the CNBC tool Pisani manged to figure out what was going on....lol although i wouldn't doubt someone actually pointed it out to him. He doesn't seem too bright.


http://www.cnbc.com/2016/06/14/heres-what-the-vix-is-saying-about-brexit-and-volatility.html


It the article he states the spike happened @ 11:30AM EST as some Brexit polls came out. He's exactly correct and you could easily see it in the futures markets as well as SPX options as would be expected.

I don't and won't post M1 futures trades (as opposed to longer term XIV holds) since i don't think it's really where people should play in the short term unless they're really wiling to get involved at a level that is a bit more than tire-kicker, but heres the chart of that time period, to this morning.









We started shorting it by Noon that day and as the spike lengthened with hit it again @ the close and again later that evening, 8PM EST or so. We got a quick reprieve on the next day's market pop, covered, then reloaded @ much better prices. Yesterday was a a good day to go toe to toe trading around here and there. We missed a few opportunities as i was getting greedy and wanted a set number, being willing to hold it all until i got it. As you can see we're still short some @ $21.25 area as the over-all market fear abates into today's FOMC statement. Now that we're down to a manageable size I'm going to let what's left ride after covering some @ 6AM this morning.

The take home here is, if you know where the big boys are always playing, then you know where to look. You're going to see it in SPX options, which will translates directly to the VIX futures. The spike was way above the norm given the shallow market drop we had. Something was clearly 'up'.


----------



## The_Tosser

2PM FOMC statement, followed by 2:30PM Press conference.

Get your clicky-finger ready.

If you don't think I am not secretly wishing FOMC blind-sides everyone, lol. Oh man, that would be so much fun. Giddy like a school-girl i would be. rofl. :tickled_pink:


----------



## The_Tosser

What is this stupidity?

http://www.cnbc.com/2016/06/15/us-bond-yields-could-soon-go-negative-strategist.html

Has the Fed not clearly stated they're raising rates?

Are we calling them liars on this?

EDIT: July rate-hike Probability @ CME is 22.5% as of this entry.


----------



## The_Tosser

The_Tosser said:


> Hit premiere here this morning @ $-64.15k for another 25% tranche. Hope we don't get suckered!


Well yes technically that was a sucker play, but it worked out anyway :smilet-digitalpoint

I'm taking the opportunity here to get a bit smaller into the Fed Statement today.

Out this tranche (25%) @ -$63.85k for + $300 per spread.

I'm not sure what else we're going to trade today so I'll wait and add it all up > 4:15PM when the dust settles.

I'm bullish market for reason previously given, but technically this up market in the face of the 2PM FOMC, isn't as easy to trade as a nice down day. This sell will also give me full reign to keep short the M1 regardless of how things play out.


----------



## The_Tosser

The_Tosser said:


> This sell will also give me full reign to keep short the M1 regardless of how things play out.


Nope, Fed members just getting dumber given what i've heard. Stopped @ 20.10 for the final M1 short. +$1.15/contract.

"Premiere" hitting highs, it's been a good day thus far. No sense in ruining it.


----------



## The_Tosser

The_Tosser said:


> Update June 7th, 2016
> 
> 
> After this morning sell of 25% 'core' @ $-59.65k
> 
> Fute's accts are "Core" @ +$7.45k per spread. with NO core Positions on the table
> 
> Trading positions are +$5.6K per spread, *for a total of +$13.05K per spread*, smoking our goal of $8K to $10K per spread.
> 
> So once again, if this works for you for the year, returning between 13%-26% in under 6 full months, then walk away and wait for greener pastures! They will come.


Since the Fed decided to get a little extra 'deer in headlight-ish' by going all in on stupid, I will be making no more trades today.

As you can see, what the Fed thinks is the safest route, is actually the opposite -as i sit here and watch the market take a huge **** on itself after being green all day. It's hard to believe these people can't see what is going on. They are literately backwards and pro-cyclical in everything they do. They see deflation, so they make deflationary moves, lmao. Dumb f*cks. As it turns out i covered @ almost the lows of the day on M1 - see above post.

Anyway, now we have Brexit to look forward to next I guess. IT's not jsut teh no-move on rates, that was pretty evident, it's the talk. They got worse, not better. That is not good.

This is why i bailed, mid-day 25% core and M1 for the futures account. There's no way i want to be involved in the deep end just yet. We need to give it some time.

Anyhow............

*UPDATE: June 15th, 2016*

After this morning sell of 25%'trader'

Fute's accts are "Core" @ +$7.45k per spread. with 75% core position on the table

Trading positions are +$5.675K per spread, for a total of *+$13.125K per spread*.

I'm, still bullish enough to hold all remaining short vix so don't get me wrong. I'm just not willing to hold what i had given all the negatives i currently see. Gimme a better shot and no worries, I'll be there, lol. It's been a pretty good 2 days.


----------



## The_Tosser

OK so where do we go from here?

Several posts back I gave pro-s and cons to my current positions.

I'll review given today's events.

Currency, 10% so is a nothing burger so far. It was more or less flat earlier today but now not so much. I have orders in @ 5% tranches starting @ 1.304X so we're giving it a lot of room and sizing small.

Bonds. I got a great entry on the short and was actually green earlier today. We are within a spit of current prices and I will add in the 122'000 > area. No big surprises yet either way here either.

The reasons for the smaller size in these two are as prev metioned that things are not yet perfectly lined up. By 'things' i mean bond, currency, equity markets. they are in a bit of a mess as far as juicy levels to hit as a group. It's just not there. As mentioned, the technical are still not there on the equity markets,........but.......... to some degree they did get better looking to me which tells me to hold off, relax and wait for the stars to align on all three fronts.

There's not much need to mention vix since for me it's a proxy for the SPX when i am talking about it in general, other than to say that i like the levels of vix but i'm just waiting for those stars to lead me to Bethlehem :rugby:

If i miss it, the worst that happens is that we make $$ in "premiere", Jan and Feb solo-shorts.

That's it. That's the whole portfolio summed up. We're margin-light and ready to swing again. We even managed to make our weekly nut solely thanks to M1. We were fortunate there. Given the market conditions 2 weeks ago i had mentioned to some that daily trading would likely slow down and that we would not likely find too many decent trades to make. I make it a rule to force myself to stay engaged. It keeps you from getting lazy and doing nothing, more often than you should.

EDIT:

I'm going to be keeping an eye on the US Tres spending and makes sure that stuff is not falling off. The FOMC pounding the pooch is nothing new but we cannot have the Fiscal spending going off the rails as this would not be a good thing. This is what we had @ the beginning of the year to some extent.

Yellen comment today that unemployment rate had stalled, yes thanks for that info, since i said it 4 months ago and it hasn't budged since, lol. I had to chuckle. We do have some headwinds. 

Maybe it's time for another vacation?? :neglected:


----------



## The_Tosser

Hmmm, I like it.

https://www.yahoo.com/finance/news/youd-better-hope-fed-raises-115300253.html



> By now you have heard every case for and against a rate hike. Here's my case why Yellen and her media-loving band of FOMC colleagues should raise the federal funds rate one quarter of a point (0.25 percent):
> 
> It won't kill the stock market.
> It won't hurt the Treasury market, either.
> It will help the banks to make credit more available.
> It will help put to good use the trillions of dollars the Fed has printed.
> And finally, it will keep the United States off the negative-interest-rate path followed by other nations.
> 
> Banks lend more when they are more profitable. Our domestic banks are literally getting crushed by the weight of their "ginormous" customer deposits at current ultra-low interest rates set by the Fed. The whole idea behind negative interest rates, via the European Central Bank and Bank of Japan, was to force banks to lend or suffer losses from having customer deposits. Their experiment, in my humble opinion, failed. Customers hoarded cash under the mattress, literally. It caused the banks to pull back more, not less, on extending credit.
> 
> ..................
> 
> Thank ECB President Mario Draghi and Japanese Prime Minister Shinzo Abe for their grand experiment. I hope our own central bank economists take those lessons to the bank (pun intended).


The guy is pretty much right on.

See deflation? Yes? OK, then lets do more deflationary policies so we can get out of it, rofl. The Fed is attempting to do the same thing as the broken ECB has been doing for years - and it hasn't worked yet for Europe. At least Japan has been on another major spending spree of their own, to counter their own retard neg-int rate polices. Japan is pushing on a string - still better than the ECB!


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## The_Tosser

USDCAD:

I'm taking most of today off but will play the 'close-enough" game here and now with USD. A handful of pips off.

Now 20% short USD @ 1.2907 net

I recall this is where we were fully short on the last round so we're in good shape. Much smaller so we'll be able to bet net a lot higher if need be.

M1 giving us the stare-down, but we don't talk about M1's here lol. :hopelessness:


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## The_Tosser

The_Tosser said:


> ...
> 
> I'm taking the opportunity here to get a bit smaller into the Fed Statement today.
> 
> Out this tranche (25%) @ -$63.85k for + $300 per spread.


A quick check-in @ mid day.

Back long 25% Premiere @ -$66.20k back to full 100% size. 75-core, 25 trading

this is definitely a trading position.


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## The_Tosser

The_Tosser said:


> A quick check-in @ mid day.
> 
> Back long 25% Premiere @ -$66.20k back to full 100% size. 75-core, 25 trading
> 
> this is definitely a trading position.


LMAO, now this was simply a technical set-up that i spoke about for the last few days. It's pretty clear there's been no material change in things since yesterday's close that i would have gone off of. 

Purely technical.

Out @ -$63.50k of the 25% tranche trading position +$2700 per spread, lmao, in under 4 hrs.

Like I've stated before, I do not ignore the technicals.

M1? You know we did, rofl.


EDIT: 









Oh, I'm not counting it for this process, just showing why you've got to force yourself to stay in the game when the iron is getting hot. There's little chance you're going to be wrong every time you try. No way! You're just not that bad at it.

I'll keep the rest short from $21.40 for a bit yet.


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## The_Tosser

The_Tosser said:


> UPDATE: June 15th, 2016
> 
> After this morning sell of 25%'trader'
> 
> Fute's accts are "Core" @ +$7.45k per spread. with 75% core position on the table
> 
> Trading positions are +$5.675K per spread, for a total of *+$13.125K per spread*.
> 
> I'm, still bullish enough to hold all remaining short vix so don't get me wrong. I'm just not willing to hold what i had given all the negatives i currently see. Gimme a better shot and no worries, I'll be there, lol. It's been a pretty good 2 days.


*UPDATE: June 16, 2016*

Fute's accunts are "Core" @ +$7.45k per spread. with 75% core position on the table.

After the 25% of core trade in-and-out today of +$2700 per spread, .....

Trading positions are +$6.35K per spread for a total of *+$13.8K per spread*.

Yep peeps, that's a minimum acct return of 14% for the year thus far, up to a max of 28% if you're really feisty. Somewhere in between would be appropriate. :greedy_dollars:


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## The_Tosser

The_Tosser said:


> USDCAD:
> 
> I'm taking most of today off but will play the 'close-enough" game here and now with USD. A handful of pips off.
> 
> Now 20% short USD @ 1.2907 net
> ....


oh snap, USD just tripped on its shoelace. 

USD just lost 100pips from my sell today and she's more or less flat overall. Let's hope we can continue this move into tomorrow.


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## The_Tosser

http://www.cnbc.com/2016/06/17/feds-bullard-only-one-rate-hike-needed-through-2018.html

This guy just really needs to shut his dumb mouth.

Not only is he not able to see the tips of his fingers, there's zero chance he can see out to 2018.

Betting against this guy might possibly be better than a vix short @ $30. :rugby:

The current voting members are some of the biggest pussies i have ever seen. It seems to be they're all painted yellow. Not good at all.


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## The_Tosser

rofl.

It seems a whole lot of crazy people got that technical tingling feeling yesterday.

I haven't deciphered everything he's said, but damn this is funny!


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## The_Tosser

The_Tosser said:


> oh snap, USD just tripped on its shoelace.
> 
> USD just lost 100pips from my sell today and she's more or less flat overall. Let's hope we can continue this move into tomorrow.


USD now under 1.2900 (i'm short @ 1.2907)

I am stopping 1/2 of that 20% of acct short at gains only.

That was a great add > 1.3000 yesterday. Let's keep the profits coming in.


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## The_Tosser

The_Tosser said:


> USD now under 1.2900 (i'm short @ 1.2907)
> 
> I am stopping 1/2 of that 20% of acct short at gains only.
> 
> That was a great add > 1.3000 yesterday. Let's keep the profits coming in.


I'm stopping out of all USDCAD short @ 1.2888 if we tag it.

It's been a good month thus far. I see world markets are down for June and we find ourselves green and in some damn fine vix shorts to boot.

I'm just paring down the non-vix positions where i can. Had i caught USD short a little better this time I'd give it room to wiggle, but it was not meant to be.


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## The_Tosser

OK, as we wind up the day and week, let's wind up the whole shootin' match :triumphant:

The USD short is locked in. The Premiere trade @ 75% core is running back to B/E on the latest round, and the Bonds short has been dropping all day after the blow-off top we had yesterday.

With the market seemingly finding its footings for a bit, I see all of the above trends continuing, at least for as long as it takes for you to decide what you want to do with all of that profit, rofl. 

I mean what the hell, you're easily +20% already. A bit hot for sure for only 6 months. Normally it takes a few more months to achieve something like that with any regularity, but as i said before 2016 looked to be a good trading year.

The VOP's are now almost B/E on latest so sit @ the same high teens % for the year.

The plan was to show people a full year of 'how it's done' but 8-9 months will have to suffice. You get the drift. 

You now know it's bullshit to believe you can't beat a market index. Those that think this are not worth your time regardless of any credentials, because they are nothing better than willingly ignorant. I happily eat those dumb fucks for breakfast all day long. Publicly. lol. They are the reason no-one progresses. I've shown you the products and I've given some ideas, not to mention every trade live so you could actually see it. I do indeed note no-one else is going to do that for you. Hundred and hundred of trades, lol. Multiple methods. There's hundreds of ways of doing it.

If you aren't regularly killing the market on an annual basis vs any equity index you want, you're doing something wrong, likely using the wrong products, poor money management etc.

It's not hard, i just showed you. It's actually fairly easy from here. You've been given a decade's boost from this thread alone. Now get to work. No-one else is gonna do it for you.


- peace :rugby:


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## atrp2biz

Did you survive?


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## james4beach

It sounded like he was out as of mid June... ?


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## atrp2biz

I took it that he just wasn't going to update any longer.


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## james4beach

So are we all experts at trading VIX futures now?

The_Tosser I am curious, do you have a day job? Or do you exclusively trade for a living with your own capital?


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## james4beach

By the way Tosser is (as I understand it) often using spreads to stay market neutral and betting on relative performance between different month futures contracts. Nothing wrong with that of course, it's speculation.

But for those of you just betting directly on VIX direction, be careful with the short term VIX gambles where you exclusively go long something like XIV. Imagine being on the wrong side on Friday; XIV fell 27% that day.

There's also the counterparty risk issue I raised earlier. XIV is an unsecured debt note backed by Credit Suisse. That bank, Credit Suisse, may be crashing now -- it was down 16% on Friday and has fallen 56% in the last year. If Credit Suisse goes bankrupt (or indeed a pseudo bankruptcy such as restructuring), then the ETN you're holding could become worthless overnight. Lehman style.

With respect to counterparty risk, using actual VIX futures is superior to an ETN vehicle.


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## atrp2biz

I think he had outright short VIX futures and maybe some long calendars (maybe also short USD.CAD and short bonds??). Either way, they both get crushed when VIX picks up. You'll see the VIX futures move into backwardation as VIX goes up.


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## Spudd

I could never understand most of what he said on this thread, but he seemed to feel he was imparting great wisdom. I guess I'm just too slow to pick it up, rofl.


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## janus10

atrp2biz said:


> I took it that he just wasn't going to update any longer.


Well I haven't been on for a while in spite of this great time to trade because my password wasn't strong enough and I didn't know it until I found the email from CMF stating that they had reset my password.

Perhaps Tosser similarly couldn't easily find the email amongst the spam, because this was/is a great time to use volatility to mitigate losses. Better to be selling insurance when it's expensive, rather than buying it.


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## janus10

atrp2biz said:


> I think he had outright short VIX futures and maybe some long calendars (maybe also short USD.CAD and short bonds??). Either way, they both get crushed when VIX picks up. You'll see the VIX futures move into backwardation as VIX goes up.


Sometimes he was short a particular month, but I believe that for the most part, he was using calendar spreads and not necessarily in a 1:1 ratio. When VIX spiked last week, I put on a short Oct / long Nov spread because Nov was in backwardation to October by 0.50. I think that was the kind of trade he preferred. Thursday I put on a UVXY bull call spread for long 10 / short 16 that expired Friday. So, around 3pm Friday, I sold the long at 3x what I paid for it and let the short expire worthless, giving me close to maximum value out of that one - $5.60 per contract from net $1.35 cost. 

Now, I've been selling Sep16 UVXY calls and buying Sep16 SVXY calls. Hoping to repeat what success from Jan/Feb earlier this year, but scaling in this time. I've not been so lucky to get things at the peak/trough.

Plus, he also had a Vol Couch Potato portfolio. That might have taken a big hit.

Yes, he was short USD.CAD, but I don't think he was short bonds because he talked about the guy who puts on those videos for TOS and how he felt he was completely wrong for being short bonds. Of course, my memory could be faulty.


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## james4beach

janus, do you at all find it concerning that so many people are trading VIX derivatives now? This certainly wasn't the case in the past.

Even my coworker trades VIX derivatives. It's just weird. These are very abstract securities to trade in. Why is everyone doing this?

Why not spreads in gasoline futures? Or CHF futures?


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## janus10

james4beach said:


> janus, do you at all find it concerning that so many people are trading VIX derivatives now? This certainly wasn't the case in the past.
> 
> Even my coworker trades VIX derivatives. It's just weird. These are very abstract securities to trade in. Why is everyone doing this?
> 
> Why not spreads in gasoline futures? Or CHF futures?


No. Not sure why I would care what other people are doing, especially since "so many people" (which is your statement, not my opinion) that do so are retail (which I am, but perhaps not as wet behind the ears) and lured in by the volatility of the volatility. Their greed blinds them to the fundamentals and I've heard many stories of them losing far more than they would have imagined.

Here is where I was years ago - I scanned the various leveraged ETFs and focused on which ones moved the most in a day. I suspect that is what is driving people to start trading VIX derivatives - the lure of making a killing with a little (or a lot) of money without having an understanding of what they are about. If I had a dollar for everyone who whined why this derivative is up when the S&P is down (or vice versa), I'd be rich.

I've also traded other commodity futures, but I'm really enjoying working with VIX futures. And, I have to thank Tosser for getting me to think about using calendar spreads. I also agree with his caution to be careful with front month VIX futures. As we have just seen, that can make some incredibly neck-snapping moves.


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## james4beach

It's definitely good to trade whatever works for you. I was just curious where the appeal came from, but I see see what you mean about scanning the market for fast-moving ETFs.

My gut still tells me that VIX derivative ETFs and ETNs are a bit "too popular". In the past, other leveraged ETFs (things like SRS, SKF) were very popular among trader circles around the years of the financial crisis and I think a lot of people got burned on those. More recently, the leveraged long-oil and long-gas ETFs like HOU.TO were very popular and again, many people got burned on those.

That's not to say _you'll_ get burned, I'm just observing that I've seen this pattern repeat


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## Getafix

janus10 said:


> I've also traded other commodity futures, but I'm really enjoying working with VIX futures. And, I have to thank Tosser for getting me to think about using calendar spreads. I also agree with his caution to be careful with front month VIX futures. As we have just seen, that can make some incredibly neck-snapping moves.


Could you explain in layman's terms what you mean by trading calendar spreads? Instead of shorting the VIX July Future contracts directly?


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## janus10

Oh, I've lost money on them but not too much. What's worse is seeing a big paper gain turn into a loss. Of course doubling your money quickly only to miss out on a 6 bagger doesn't feel too good either.

But, yes, working with VIX futures and options on UVXY and SVXY is very profitable. And if you just dabble a bit with calendar spreads and then short when you have these large spikes, you can do this part time and enjoy sufficient gains to have a conservatively invested portfolio for core position.


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## janus10

Getafix said:


> janus10 said:
> 
> 
> 
> I've also traded other commodity futures, but I'm really enjoying working with VIX futures. And, I have to thank Tosser for getting me to think about using calendar spreads. I also agree with his caution to be careful with front month VIX futures. As we have just seen, that can make some incredibly neck-snapping moves.
> 
> 
> 
> Could you explain in layman's terms what you mean by trading calendar spreads? Instead of shorting the VIX July Future contracts directly?
Click to expand...

Be happy to... with credit to Tosser, I would look at the vix futures curve (vixcentral.com is a nice site). Normally, the curve slopes upward such that MOST months are in contango. That means each successive month is usually higher than previous month.

Not all commodities exhibit this as there are seasonal tendencies. Even Vix seems to have a dip between November and December.

Anyway, the difference between successive months is usually higher the closer you get to the prompt month. So, if you take 3-4 months forward, you could envision that the gap between them will get bigger as we approach them. 

E.g. if October is 20 cents cheaper than November, maybe you believe it will be 40 or 50 cents cheaper in 30 days. What you could do is sell October and buy November in equal ratio. That's your calendar spread which allows a small amount of capital to realize large percentage gains. 

My short Oct long Nov spread I put on late last week was at -$500 per contract. It's now at +$400 per contract. A riskier play would have been to short in a 3:2 or 2:1 ratio. I took a run of the mill 1:1 ratio.

I haven't been too successful with uneven ratios. A man's got to know his limitations.


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## james4beach

Any idea when they will launch a product that tracks 2x the (volatility of the ( volatility of the VIX) ) ?

This has an air of 2007, does it not? Derivatives that have become completely disconnected from underlying tangible securities, and a whole world of speculation vehicles that everyone is confident in.


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## atrp2biz

^ The difference with VIX is that it is an actual index that ARE connected to underlying tangible securities, specifically the implied volatility of SPX options.

This timely video shows the risk of calendar spreads in VIX futures and how backwardation can blow up these positions.


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## janus10

Here's another head scratcher. June 7, 2016: Front month (June) VIX futures close at 14.725 (July was 16.875), SVXY at $65.15, UVXY at $9.79.

Today, front month (July) VIX futures are at 18.10, SVXY is at $47.50 and UVXY at $10.15. Both SVXY and UVXY are much lower than would be implied by the calculation of the July and August futures.

UVXY is supposed to, on a daily basis only, move about 2x the inverse of SVXY. This has not been the case the last 3 - 4 days. UVXY moves have either been exaggerated or repressed comparatively speaking to SVXY. 

At some point, you realize, that all of those people telling you that UVXY is NOT a buy and hold vehicle were 1000% right. If you can short some during a VIX peak (or buy puts, sell calls) you'll typically have sizeable gains.


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## Getafix

Thanks for the explanation! UVXY/TVIX have the nickname 'Widow Maker' on Stock Twits forum. There are lots of people there who are trading these with no idea of the mechanics behind it. I think VIX is one of the most complicated instruments to trade out there, yet these VIX ETF's/ETN's have become insanely popular. I try to avoid them except for the occasional swing on inverse VIX when it gets to high 20's.

Off-topic but i've personally been exclusively trading CL futures. Very easy to scalp 20-40 ticks per contract, as Crude makes big moves when it's trending. So it's not that difficult to make $200-400 per contract daily.


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## janus10

Funny. I thought the widow maker was reserved for the Nat gas calendar spread between March and April.

Since you trade CL futures perhaps you'd find a BZ CL spread trade interesting. 

But, I agree with the idea of only trading VIX by shorting it when it spikes like it did in Jan, Feb and last week. That's how I've made the majority of my trading profits this year.

Anything else and you need a day trader skill and mentality and that's not me.


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## janus10

My -Oct/+Nov spread hasn't really widened much, but it also is a stress free play. Still up about $750/contract but watching the curve to see how the gap between closer (Jul-Aug, Aug-Sep, Sep-Oct) months has increased.

Long SVXY calls took a hit today, but still up 40-85%.

I added a small position in UVXY by selling some long dated calls Thursday. Up about 25%.

UVXY will reverse split 1:5 in just less than 3 weeks. Not a surprise considering how it's been beaten up. October 4, 2016 will mark UVXY's 5th year anniversary - during it's first day of trading, it peaked at $39.17. However, with all of the reverse splits, that would be an adjusted figure of around $470,000. And here it is, clinging to $9.


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## janus10

Closed HVI position after 40% gain. Closed most of my SVXY calls for average of 170% gain. 

Still holding onto some calls and the Vix calendar spread. I also sold short some UVXY calls last month and they are down 75% and unlikely to rebound.

The calendar spread has been painfully slow in watching it widen. But, less risky. Next time I'll sell 10x more and then I can see a magnified gain while also scaling out. Each contract is now worth $400 meaning it's barely budged while M1 and M2 come crashing down.


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## janus10

Sold last of SVXY calls at more than triple ACB. Still holding short UVXY 14 call position which expires in less than a month (UVXY is at 6, calls were sold for 1.35 and trade now under 20 cents). 

The VIX calendar spread is actually tightening. I interpret this to mean that the market is pricing in an event by October that will cause VIX to go up significantly. So, that one is down to only +$250 a contract and it has been as high as +$500. Incredibly, M1/M2 is over $2.10 and even M2/M3 is $1.26.

I hope VIX spikes again, then I'll employ a strategy whereby I would scale into HVI in 2 tranches and buy SVXY calls in final tranche (say 40%, 40%, 20% of trading capital) in registered accounts and scale in to selling long dated UVXY calls in margin account.

Monday, UVXY will be trading at it's reverse split price. This will make it 1:60,000 of reverse splits since its inception Oct 2011. https://sixfigureinvesting.com/2014/01/uvxy-reverse-split/


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## janus10

Finally, my calendar VIX spread is widening to its largest gap. Went from +$200/contract to $700/contract in 1 day.

Amazing continued deterioration of volatility. Inverse VIX etfs are up more than 75% since the lows the day after Brexit. Some of the options I bought (but long ago sold) are trading almost 5x in six weeks. That's the kind of crazy potential that could be realized if you are fortunate.

Talked to someone who suggested that the VIX curve is not really a good leading indicator (which surprises me considering there is a systemic large gap between Dec and Jan). So, I don't understand why it has taken so long for the Oct-Nov gap to widen and the gap for Aug - Sep is exceptionally large even taking into account August expires in 11 days.

Never closed my short UVXY calls. Sold them for $1.35 and they are selling for 3 cents. They expire in 2 weeks. Will put in an order to buy them back for 1 cent.


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## janus10

Vix spread now out to $1,060 per contract. I'll close the spread out perhaps by the end of the month. I may even scale out. If I could get $1,500 a contract then that would see me more than 400% profit in two months.


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## Shanline

It's huge profit I think 400%. I always try to profit 100% whether you'll profit 400% its amazing.


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## janus10

Ended up closing my vix cal spread yesterday. Bought at -$500 per contract and sold at +$1,050 per contract. 

Didn't want to see this reverse as we are into September and big money returns from summer vacation.

If it's smooth sailing this spread could double but I'm OK with that. It was a profitable exercise and I look forward to the next time I find backwardation down the curve


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## janus10

Friday was the day I feared. I saw the cal spread widen to +1300 about a week after I closed my position. But it is down to under +900 right now.

I'd very much welcome a rinse and repeat. The curve is still in contango along the entire calendar but certainly has flattened somewhat.


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## janus10

Put on a long vol bet for the first time in a while. Bull spread calls on $UVXY. Net debit of 0.02 and max upside $4.00.

Commissions make the debit closer to 4 cents. Calls expire on Nov 18.

Best case scenario is I make $7850 profit on $150 cost. Certainly a good chance I threw away $100.


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## avrex

What were the strikes of this spread?


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## janus10

avrex said:


> What were the strikes of this spread?


Long 13 and short 2*17. Saw later today that someone bought 75,000 Nov15 21 strikes of VIX futures. Of course can't know if that's simply a hedging strategy for post election or what.

If UVXY keeps bleeding as I fully expect, I should be able to buy more of that same spread at a net credit and put my entire position at net credit.

Biggest risk is if VIX spikes hard and takes UVXY beyond 21 before I can manage my position.

Fortunately I retire this coming Friday so shouldn't be caught off guard.


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## avrex

Nice trade. 
You're just looking for a little pop in volatility between now and the Nov expiry.








There's no risk on the lower side. But, ya, you'll need to be careful and watch if it spikes beyond 21.

Back in June, we saw a big spike in UVXY, but it fell back to it's original level two weeks later. Hopefully your timing is good. 


I'm holding a bunch of calendar spreads, and similar to yourself, am looking for a little pop in volatility.


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## janus10

I'm going to try a long 14, short 3*21 call spread for a net but nominal credit. May not get it at a price I'd like but that's the plan.


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## janus10

I got some of those long 14's short 21's after the Clinton FBI news. Also doubled my position on the long 13/short 17 position. Now both are credits. 

UVXY would have to expire at close to $23.50 to lose money. Peak result is around $17 expiry.

Wouldn't be surprised that all calls will expire worthless.

Even though the spreads are net credit, they are underwater right now. I may close the position early if it shows $10k profit.


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## atrp2biz

UVXY is $18.40 now. How's the position looking? Are you going to do anything?


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## janus10

atrp2biz said:


> UVXY is $18.40 now. How's the position looking? Are you going to do anything?


Position was ugly on Friday, but looks much, much better today.

This was a good lesson that (so far) hasn't cost me anything. I didn't factor in the delta and spent too much energy coming up with a net credit trade which was bad, bad, bad.

The margin fluctuation was also far beyond my expectations. In the future, I could put one of these bull call spreads on in reverse, i.e. a bear call spread even though I'm hoping for VIX to go up. I've seen just how right I was, but how wrong my structure was to take advantage of it.

On Thursday I also added some SVXY at around $64.30 ACB - currently up 10% so I just wrote some weekly 75 calls against my [email protected] $2.15 . Even if Hillary wins, I anticipate that the euphoria may die down rather quickly and volatility will pick up again.

The fact that the VIX curve never participated to the degree that spot did kept me from deploying a lot of capital on this.

Perhaps I should have used a butterfly strategy to play for a VIX spike when it was so low.


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## atrp2biz

Yeah, gamma can kick your *** in this trade, particularly when the underlying exhibits reverse skew (IV of OTM calls > IV of OTM puts) as UVXY does. Odds are if you hold on to the position through the election, you'll be okay.



> Perhaps I should have used a butterfly strategy to play for a VIX spike when it was so low.


If you're looking for long volatility, why not just go long VX?


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## janus10

I didn't just buy the derivatives directly because they bleed horrendously due to contango. I wanted a structure that cost me nothing with no downside but only risk if things went off the rails and stayed there.

Certainly, I would do things differently. But, so far, this has worked out very well and surprisingly due to the Trump win.

Instead if being down 6% from yesterday's close and 10% from 2 weeks ago in my account, I'm up 5%.

Better to be lucky than good.


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## janus10

I kept the spread on even as volatility started to hemorrhage. I figured that it was a good hedge in case the market turned downward (honeymoon phase over post Trump). Hurt a little to not cash in some of the paper profits on the long side, but I still made a couple of grand.

In addition, in our RRSPs, we are still long SVXY. Including selling covered calls, that is up 30% since I bought it early this month. Didn't put a lot of capital to work on that, but that's a gain of $15k+


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