I am rolling in long spy positions
Interesting, Bloomberg just said this is the most VIX has jumped in a week, ever!
so is 2000 holding?
and 40s, and 50s great strategy
Yes, I’ll double again in the 40s. It’s a slow down in China, not the subprime collapse.
The VIX history has already been mentioned about a dozen times on this thread. We are all aware.
monday dude…
Seems like you can’t be allocating very much to this strategy if there’s always extra cash lying around to double down after your returns reach -100%.
Yeah, we might get some really juicy prices today. Asia shat their pants, here at the lunch hour. But VIX @ 60 wouldn’t be my base case scenario for this event, it only hit 80 during subprime.
If we scroll up, I made around 25% return in a week last time I shorted. So at only 5% of my portfolio, that short shifted YTD returns up 1.25%. A small allocation can make a big bang.
It was all modeled out back when I started this thread. My buys for this specific event are VIX = 25, 35, 45, double down each time, which results in an avg of 39 (sitting on a volatility short at 39 is a winning move kids). A predictable slow down in China is not really a > 50 event (and can be contained by no FOMC rate increase, QE4, and a CN stimulus package), but should it go there I could probably find extra cash. The higher VIX goes, the lower the probability of it going higher, and the shorter the time period it stays that high.
Which is why I actually I start my postion buying XIV, and end buying VXX. XIV makes less money, but you don’t have to pay financing costs, and you can’t lose more than 100%, good for the long-term. As VIX goes higher, VXX makes more sense, as the time it stays at a peak is shorter resulting in less financing costs, and the amount you can potentially lose decreases the higher it goes. This basic math/reasoning may be beyond you guys, LOL. 
Anyhow we only get these events every 4 years or so, so it’s a great time to establish a long-term position. For example, since 2011 XIV has made 8X money. Volatility eventually settles down, contango does its work, and we make money…even if the S&P500 sits at 1800 for years. Since I’m not bullish on overpriced US equities, I chose a vol short instead, because I am bullish on USG support stepping in to bring the fear down.
…dudes with the numbers we are seeing in premarket, I think we might see VIX @ 40 today. Looks like everyone came into the office early to click the sell button.
At moments like these, the biggest question is how levered are things. Sell buttons don’t just get pressed because of panic, they also get pressed because of forced selling and margin calls.
^ Absolutely, I assume the levering-down and margin call spiral of death has been happening in China. Right now some levered hedge fund guy in NY is crapping his pants.
IB issued their first alert of this correction, they won’t be resetting margin during the day.
Whoh, VXX moving 30% in premarket, S&P500 down 4%, I say VIX open at 42. Cmon baby!
Holy shit, XIV halted (label says “volatility halt”). LOL, I broke it! There’s not even a number on my VIX readout, froze at 28, did VIX blow up??
Mispricings everywhere, PFF tanked 15% and was halted. CNY tanked 24%. Too awesome…
unreal profit you must have just made in a few hours. Now comes the time for the authorities and assure the markets everything is ok.
What is everyone doing during this volatile times?
RBI’s governor says central banks need to refrain from giving the markets “booster shots”
Abe says it’s becoming increasingly difficult to achieve our inflation targets (i.e. after 2nd QE)
FTSE, Eurostoxx, DAX, CAC vols are at levels that I’ve never seen in my career. Gosh I envy my seniors who traded during 2007/08 crisis
What a day - I’ll never forget this.
I don’t think Yellen will raise rates, but she’ll refrain from providing any booster shots that Rajan spoke of earlier today - which could, just could, lead to another round of selling. Though I hope not.
Options - no futures, etfs, etc. Just options.
Anyone here who was there at European open and saw that offer in front month dax puts?
Yeah, it looks like VIX blew up at the open, peak was 53 once they were able to calc it…
“For a brief period this morning, anxiety got too high to measure in the U.S. options market.”
hey stop rounding down. 53.29 (thats pretty close to 60 hehe).
So you shorted VXX at 19.5 based on your prior comments.
You do realize that the roll yield will work AGAINST you for extended periods of time with an elevated VIX and a downward sloping VIX futures curve, right?
Dude, do you have some sort of reading comprehension problem? Over the year I have shorted many different VIX spikes and taken the profits when volatiltity died down (4 for 4 winners, the Greece one being massive). For this new event, which was are discussing now dude, I started building a position at VIX=26, and then it opened at VIX=53 the next day, so those were my trades (mostly long XIV and some short VXX). Now I am holding patiently.
This is been said a million times already, we all understand contango/backwardation. How about READING THE THREAD before posting?
When the VIX hit 26, VXX was trading around 19-20. That is a fact. I assume you realize these two are not the same thing.
I don’t have a reading comprehension problem, I have a problem with people posting their “Epic, I am a genius” trades online after the fact, with scant specifics on their position sizing, prices, etc.