Every knee shall bow and every tongue shall confess

Yes standard hedgie play. Short far dated vol, hedged with long near dated vol, when VIX is in severe contango.


That's is until they get blown up like on Volmageddon. Or the one that got liquidated this March when they started shorting it in the 40's and got wrecked.

Because of the extremely low put/call ratio right now does that push the probability that this higher volatility week will be bearish as more calls than puts expire?

Or is it still a WAG as to which way this thing will go?

What do you do for a living?

Beijing taking ill could derail things....

Every knee shall bow and every tongue shall confess

I've been going back and forth for about three years now. Been there eight times. The areas I tend to have to Go are industrial, so a little different crowd. I just hate the combination of congestion and uncleanliness. Tokyo might be packed one on top of the other, but at least they're clean

Every knee shall bow and every tongue shall confess

Every knee shall bow and every tongue shall confess

Bob Knights Liver said:

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Because of the extremely low put/call ratio right now does that push the probability that this higher volatility week will be bearish as more calls than puts expire?

Or is it still a WAG as to which way this thing will go?

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the way we dumped the last couple days, I don't count the little rip up to 304 at close as a win or as bullish. It is also quad witching next Friday. So imho, anything heavy on the call side is going to get shredded. and as always, high IV will get killed.

OPEX can go one of two ways. It's generally bullish.

riley290 said:

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I would be careful shorting volatility before VIX hits 60, due to the mathematics it can sit in the 40's for a long time even with sideways trading. We're back in backwardation so if you trade volatility futures as well and we see roll yield % hitting above 1% you can make money rolling into a longer dated cheaper contract to capture the convergence.

I am still pretty significantly long in VIX, rolling .30 delta calls about 30 days out. I've emulated VXTH strategy since mid May which has done well for me despite the cost burn. The major payoff due to VIX usually moving 30-50% intraday on a spike makes up for that burn quite quickly.

For all of you other vix nerds
https://vixmon.com/
http://www.vixcentral.com/

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how in the world do you have the time???? Hats off to you sir.

Every knee shall bow and every tongue shall confess

riley290 said:

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Practice, unfortunately that's the crux of medicine that if you're the first patient you're probably the worst off patient. The gold standard in medicine and science is to be agnostic to any belief and follow the data and what you're seeing and change your beliefs and practices as needed. My approach has changed almost 180 from the early days of my hospitals in New Orleans and New York being overrun until now and we have collected a lot more data on what we need to be doing.

Case in point, we thought the vent was the answer early on and now I will go to extraordinary lengths to keep people off of it, things that will probably put me in hot water for deviation of standard of care early but are now becoming accepted as how to treat these patients. We understand so much more about the disease now and are making headway to protect people's organs before they sustain damage, its so much more a circulatory and coagulopathy than a respiratory disease.

Anyway, I could write far too much about it, now back to watching OA predict the future better than weathermen can.

And to stay on topic, here's last week's S&P volatility.

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Thank you for sharing. What is your current personal POV on prevention? Masks, crowds, etc? Anticipating any significant uptick in the coming post-protest weeks?

For those of us that don't really mess with options, is there a way to short the VIX when it spikes? Is there essentially something that is the opposite of TVIX?

Nvmnd

Aggies75455 said:

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For those on the fence about Zest wanting in or wanting to add, Monday morning may be the day to do so. Earnings announcement coming and people are hearing the same that I've been hearing which is that a deal with WMT may be announced Monday or at some point next week. If we're not halted Monday morning I would get in now if you were waiting for a dip.

GLTA

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I didn't know they dabbled in Energy also...

https://www.globenewswire.com/news-release/2020/06/11/2046847/0/en/Ecoark-Holdings-Inc-Completes-Acquisition-of-Energy-Assets.html

CrazyRichAggie said:

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Aggies75455 said:

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For those on the fence about Zest wanting in or wanting to add, Monday morning may be the day to do so. Earnings announcement coming and people are hearing the same that I've been hearing which is that a deal with WMT may be announced Monday or at some point next week. If we're not halted Monday morning I would get in now if you were waiting for a dip.

GLTA

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I didn't know they dabbled in Energy also...

https://www.globenewswire.com/news-release/2020/06/11/2046847/0/en/Ecoark-Holdings-Inc-Completes-Acquisition-of-Energy-Assets.html

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My opinion only and could be wrong but I think Ecoark is getting into energy for life after Zest. They want to remain a company and once they're out of the food business they'll be in oil leases. To me it's another sign that this is a buyout of Zest and it's patents.

Makes sense. What time is the earnings release Monday? Might try to load up some more shares on the open.

there are inverse volatility ETPs that you can buy that will go up in price when vix dips, McInnis just provided a link to a few I think. But these are terribly inefficient and require some extreme risk as a major spike in VIX can wipe the fund out. The volpocalypse in 2018 terminated XIV and now SVXY tries to mitigate this by following VIX at a 0.5 clip.

There are a few options to be short volatility, all with different risks and all not very smart trading. Honestly as a volatility trader trying to short VIX is like picking up nickels in front of steamroller, you better be damn certain about what is going to happen or you're going to get mashed.

1. directly shorting ETPs (VXX, TVIX, UVXY) - terrible idea and don't do it, unlimited loss exposure on a wildly volatile product - go to the casino instead
2. purchase inverse vol ETP's (ZIV, SVXY) - risk of termination, go read about XIV
3. Short Call Verticals/Long Put Verticals (VXX, UVXY) - defined profit and loss maxes. but you need to understand entry edges and positioning or you'll be stuck in some stupid martingale cycle and run out of capital before you get paid. If you don't understand most of this page https://vixmon.com stay away from these as well.
4. Buying puts on VXX or VIX - again, picking nickels up in front of a steamroller but probably the most efficient shot you have with a defined loss.
5. Buying shares of inverse ETFs (Leveraged products can simulate options, SPXS/SPXU/SQQQ/etc) - the safest option but succumb to decay issues.
6. Wait for VIX to be in contango and on the third week of the month directly short VIX futures with limits and stops in place, wait a few months and collect money (my favorite strategy and backtests very well, don't do it now while we're in backwardation)

If you really want to play the short volatility game I would recommend buying small put positions in VIX when it is incredibly high (>70) and pray that it doesn't have an extended drawdown.

Honestly my bottom line for being short volatility is that you need to be prepared to be wiped out shorting a financial instrument that can double its value in 1 day, there are so many better ways to make money.

would be interested to hear more experienced vol traders chime in as well on this.

Aggies75455 said:

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Still trying to run down time and way to follow. I'll update when I have it.

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Thanks!

One point, while theoretically possible, the VIX cannot always necessarily double. When the VIX is 18? Sure, a pop to 36 is quite possible/probable. When the VIX is 40? Again, possible, but very, very improbable (the recent high of 80+ hasn't been seen since... I don't think the VIX even hit that in 2009). When the VIX is 80? Impossible.

The VIX is an instrument that is calculated from actual option pricing on 30-day options on the S&P500 ($SPX.X). Thus, while technically possible, for the VIX to jump to 160 from 80, the implication of that is ATM 30day options would have to jump to being worth around 16% the price of the underlying S&P index itself. At present, even a 916 days to expiration ATM option on the S&P is only worth around 14% of the price of the S&P index.

Implied Volatility is a function of time. Time itself actually acts like IV. Well, technically, the square root of time acts like IV.

So, depending on what instrument is used, it can make a lot of sense to short the VIX. Especially if you already have a number of option positions and due to recent spike in IV, you actually have increased exposure to a "volatility crunch" (i.e. when all your options drop in price).