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That is true, but short calls basically give unlimited upside risk. And short puts limited downside, also if the equity is trending up long-term wouldn't then short puts be better? I mean, I guess short equity short vol make sense since they are inversely correlated and vol outperforms, but...

Yes true...if long equity are informed & rational...however looking at for instance CBOE indices like the PUT-write index it seems vol outperforms. also sale of front-month VIX futures since 2008 has been very profitable, see for instance...

Hm, lately I've been thinking and studying historical returns on sale of volatility...and as much as people like to say vol is overpriced, quoting ETF/ETNs like TVIX, VXX etc. as proof, it seems to me that risk-adj return is almost perfectly correlated with equities...for instance people say VXX...

aware

Well, it's available on IB, but looking at historical data the b/a spread seems all over the place. For March 11, 1hr after open today it was 1.00 point wide, but now it's only 0.5pt wide which is an improvement. Yesterday it reached 1.5, the bid at 15.9 and ask at 17.4. Also volume seems to be...

The b/a spreads on these are ridiculous. CBOE seems insistent on killing all their products from the get-go with these ridiculous market makers they employ.

It doesnt matter as long as you're aware of the limitations of the model. But as moneyjoe said above, it's highly unlikely that the model will transfer to real life in the way you think it will (i.e. "as long as I'm making profit") Shortly speaking, TOS models the options directly against the...

Hell if I know, I dont use TOS for modeling VIX. I dont even trust it for equities...before new years 2013 I remember talking to their support chat, as their greeks were way off on some equity I cant remember, when compared to IB. After some back and forth we concluded that TOS indeed calculated...

I know what hedge ratios are. I'm simply arguing that calculating hedge-ratios is pointless, because they are essentially exposed to contango / backwardation. So if you start investing based on those hedge-ratios, you're simply speculating in contango / backwardation. And that phenomenom is...

You do realize the TOS IV simulation assumes IV increases equally accross all maturities, correct? In other words, it's not realistic at all... In real life, the AUG option would never increase as much as the APR option. No way.

Yes, I've looked into VIX historical data extensively before. I'm not sure about the utility of hedge ratios. I mean, the front-month VIX future consistently loses value more rapid than 2nd month future (thats what spun the VXX), so what is the continous hedge ratio between these two? If it was...

So essentially you're hedging 1-month vol w/ 6-month vol (Aug). You are taking massive term structure risk. You're not really hedging vol, but betting on backwardation / contango in the structure...if mkt spikes, your 6-month vol will barely respond. This will be even worse if your SPY/IMW vol...

Just a question, how far out are your SPY/IMW butterflies? Because if VIX spikes, Aug vix will lag behind as the whole structure goes into backwardation, so you wont see much profit to offset losses if your SPY/IMW vol exposure is closer than Aug.

Trend looking strong. After 2 months of virtually no growth (ES was at ~1840 Dec 31 2013, and is now only 15pt higher) I guess there's some catching up to do. Looking forward to a new year of good returns.

We can all work together here :) Greed applied in efficient, competetive markets, is what leads to wealth creation, capital formation, price discovery and a better life for all. Problems occur when greed is applied outside of that context, under asymmetric information or failing markets. But I...

$0.02 max loss per stop cycle? That's less than the B/A spread on some stocks...You're really just taking vol exposure here, higher vol = more stopouts. Markets should be efficient in that regard. This reminds me, I actually tried entering a long-term VXX short on Feb 5th this way. My rule was...

And what do you do if it picks your STOP order, then reverses? You will get whipsawed to death with this strategy, since you constantly have to buy/sell shares around the strike.

since she's not an institution i take it she has no need for an officially audited track record..but her story is all over google & in the videos of her on youtube. its up to you if you want to believe it....if you can stand the constant talking of Sosnoff i recommend the tastytrade interview of...

But she doesnt trade Fx, nor does she martingale....so none of this is relevant....she trades short vol and does well for herself, i dont see what the problem is. i havent studied her returns but from what i understand she survived 2008 and 2011..when many people more conservative than her blew...

How is she martingaling? She has already been through numerous bear markets and is still alive.... If she was a bad trader she wouldnt be able to turn $100k into $100m. What is your standard for a "good trader" exactly? 100000% return?