gmg733
788 posts
msg #132325
- Ignore gmg733 |
11/2/2016 5:35:08 PM
I don't know about Tvix but I suspect term structure is the same as the others which is based on futures contracts. So yes you would care about the Vix curve trading Tvix since it holds both short and long term /VX futures.
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ericeira
23 posts
msg #132330
- Ignore ericeira |
11/2/2016 9:00:00 PM
VIX futures contango and backwardation ratio chart
https://www.tradingview.com/chart/VIX/17gyfqZA-VIX-futures-contango-and-backwardation-VIX-VXV-ratio-chart/
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BarTune1
441 posts
msg #132331
- Ignore BarTune1 |
11/2/2016 9:22:06 PM
I posted a Larry Connors video a few years back ... His math indicated that while the VIX was mean reverting - in fact, most volatility ETFS were actually trend following ... this is making a little more sense to me lately. If you consider the natural decay of many of the volatility ETFs, I think we all know that more often than not ... most decay over time ... Therefore, there is an overall trend to contend with ...
Connors pointed out that one shouldn't trade volatility EFTs based purely on the VIX. Rather, systems that trade volatility of the ETFs should be based on historical price action of the ETFs. One of Connors primary systems for playing volatility ETFs is MA crosses which is to catch a trend ... rather than the vast majority of his other systems which are almost all mean reversion trades.
I agree with GMG that if you want to trade off the VIX signals ... you should be doing this through VIX options in which you can basically take a pure synthetic long or short with near dated options.
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ericeira
23 posts
msg #132334
- Ignore ericeira |
11/3/2016 1:25:42 AM
i Kevin looks like to be long xiv all we need is VIX/VXV<.9 and to be long vxx VIX/VXV>.9 to be incorporated into the filters so we could avoid the present backwardation but i could also be wrong .
Thanks for all the help .
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mahkoh
1,065 posts
msg #132335
- Ignore mahkoh |
11/3/2016 7:29:15 AM
Short TVIX will turn a profit sooner or later. There's just no telling how high it may spike. And there is the before mentioned risk of the shares getting called.
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gmg733
788 posts
msg #132341
- Ignore gmg733
modified |
11/3/2016 12:50:49 PM
@BarTune1
Bingo. If you look at VXX there is a daily roll where you sell a cheap item in the front month to buy a higher price product in the back month or a negative drag while in contango which it is like 80% or the time. Not sure of the stat, but it usually is historically in contango most of the time. VXX gains when it is selling a higher product and buy a lower priced one or Backwardation. While the VXX is a long vol product it is a negative drag product. While XIV is a short vol product it has a positive drag.
If you think vol is going down, you can sell call spreads or short the VXX effectively. The assumption is it has gone up and at a state when you feel it should be sold. You have mean reversion working for you and drag.
If you think vol is going to go up, I think you are screwed. You would think sell calls or shorting SVXY or XIV would work and it can, but you are fighting positive drag too. I'm less inclined to take that trade because drag is working against me.
And there in lies the issue. However you can sell VIX put spreads will get you long, or one of the other methods I mentioned.
This year selling VXX ITM call spreads has been an ATM machine for me. Down on a trade right now, but as drag kicks in and we have one or two up days, I'll be green. Manage early.
***VIX is in contango 88% of the time on average
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dtatu
143 posts
msg #132354
- Ignore dtatu |
11/4/2016 4:59:03 PM
... also, according to Mark Sebastian , a convincing backwardation should have an inverse curve in at least 2 consecutive months , in order to suggest a sustained period of increased VOL ( now , it would be: NOV>DEC and DEC> JAN, which is not the case, yet: )
http://vixcentral.com/
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shillllihs
6,044 posts
msg #132355
- Ignore shillllihs |
11/4/2016 5:54:09 PM
This is ridiculous since the damage would be done. Why ever listen to so called experts. Backwardation doesn't last more than 2 months.
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dtatu
143 posts
msg #132359
- Ignore dtatu
modified |
11/4/2016 9:33:06 PM
Well, I guess, the definition of damage is relative: ( maybe you should define it?)
For example, if you're a longer term investor , you would not , yet, have a sell signal, by any means
https://www.barchart.com/futures/quotes/ESZ16/technical-chart#/technical-chart?plot=CANDLE&volume=contract&data=MC&density=M&pricesOn=0&asPctChange=0&logscale=0&indicators=EXPMA(10);EXPMA(20);EXPMA(50);EXPMA(100);EXPMA(200);MACD(20,50,9);MACD(12,26,9);STOSL(5,3);SMA(200)&sym=ESZ16&grid=1&height=500&studyheight=100
... maybe , also, you should read his credentials?
... being a floor trader for 10 years, running a hedge fund , etc, makes his expertise, sorry, much more credible than others ...
...if anybody is a so called expert, I would rather name us...
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dtatu
143 posts
msg #132368
- Ignore dtatu
modified |
11/6/2016 10:01:35 AM
I would kindly ask you, guys, to post the new signals for Tue to Fri , as I will travel and have no access to Stratasearch and as I am , like some of you, having some open positions, going against my preffered direction :
Thanks
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