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why would the correlation hurt you? you're selling expensive vol (stock) and buying cheaper vol (index) and you're doing it in a ratio. i think the worst case in a crash would be that the stock ends up going bankrupt and the index doesn't drop enough to cover it.

sold this at .80

i lifted the apr/may switch @ 0.75.. experimental. we'll see how it goes

I think he means have his money managed for him

well then first figure out what you want to test.. for example lets say you want to test a simple strategy of buying spx every monday (and lets just assume you're using a weekly paycheck and its the same amount of money every week, call it $1000, and you're buying SPY) if you like to seperate...

what were u trading, and how much leverage was involved?

i'm not sure of any books on the subject. from my perspective, a good way to start would be to test simple strategies. an example of one could be, buy underlyer if it crosses above the 10,20,30,40,50D (you set however many days) moving average. then set some additional rules u want to see...

a good friend interviewed at a sizeable HF the other day... comes back and gives me this quote, "we aren't a quant fund. we pay the bid/offer." just to reiterate your argument ;)

it's safe to say that uvxy will give u a daily return real close to 2x the vix short term futures index.

yes - october into november expiry. it all depends on timing and i'm not sure if u had chosen the 16 puts to be close to ATM to becasue u wanted 16 puts, for my breif test i looked at the ATM options at the time of trade, which was the VIX nov 18's which expired way in the money. anyway i dont...

last month, depending on when you put the trade on is an example of when it can not work.

as of now it looks like it would have been a good trade.. can you backtest it?

cool one - i dont hate on it, but something to consider is as you approach maturity of the vix options is that vxx is less and less reliant in movement in the front month contract, which is where you sold your options. are you going to put this trade on?

i can give you the answer... but you'll never learn unless you figure it out yourself. 1) figure out what exposure you have when you're long UVXY 2) look at what those products did yesterday 3) be happy you now know the answer

please dont do this. uvxy isn't something to be held for a long period of time and has a ton of daily decay. there are much, MUCH more efficient ways to take a short view on the market.

not much going on for me at the moment.. still just hangin onto the FMA fly. does anyone happen to have a list put together of all the VIX ETF's and their size outstanding? it would be helpful to look at and i don't have it put together

i'm pulling both, but for the calc of the deviation i'm using the mid. for calcing the actual executable levels (if i was to try and arb vs futures) i'm using the corresponding bid/ask. now that you say it though i should probably always be looking at bid and ask and looking at the deviation...

yeah - i'm aware of how the index it tracks works, i just hadn't heard of that iv ticker. either way, what i've put together for vxx doesn't show much of a significant deviation from intra-day NAV (atleast nothing large enough to exploit easily) but the sheet i built is only for real time, so i...

thx - i didnt realize they posted an intraday NAV calc.. i had mine calced on my own lol. anyway, i'm still looking for references on the actual act of etf/etn arb strategies, not different etfs to look at. does anyone have any to reccomend?

id prefer not to outright say the institution where i work, but im an analyst on a sales and trading desk. i split my time between equity-linked structured products and OTC equity derivs. as a disclosure, the information i'm looking for has nothing to do with where i work or what i do, but...