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You kinda answered your own question. History is ripe with people who thought their risk was capped, but still managed to blow up in a spectacular fashion. Blowouts are certainly not exclusive to short sellers in any way. In reality any strategy can blow out. It's not really as simple as...

Also adding to the risk of long vol, is the fact that volatility can easily decrease as fast as it increases. People always assume vol rises are violent whilst declines are steady. And just as recently as the May-June correction was that disproven, yet again. The vol crush was far more violent...

Welp that was a disaster. Stop at 31.

Personally I think there is no telling wheter we'll see sub 9 prints in VIX again, just like there is no way in telling wheter we'll see VIX at 90 again. However as the dataset increases, the probabilities of either occuring again also increases. When analysing data like this, I think it's best...

This is from their most aggressive strategy though, which also returned some 1200% since 1998. For their moderately aggressive strategy they had a DD of 42% vs 37% for S&P in 2008. Considering their return is nearly 5x that of S&P I think those numbers are quite impressive. Lousy 2013 though.

I seem to remember that risk-adjusted return selling atm options or even OTM options outperform that of a long only equity portfolio. Both the PUT, BXM and CLL indices have lower volatility than S&P500, but I'm not exactly sure how they are calculated so i may be wrong.

I believe most research on this has concluded that selling options indeed is profitable overall, but with occasionally large losses. So you make money over several small trades but can lose it all in one trade. Overally though, it should be profitable but with very large drawdowns. Consider that...

Long from 1646, target 1700+

What happened to CL? Regulatory halt?

Fama is that you?

True

ES 2000 by end of 2013 for sure :p Seriously though, I feel sorry for shorts. Hope your day will come soon

Been an extremely good month for short vol trades. Got in when VIX was halfway down from the spike (16.5) in beginning of july. Still not sure wheter to dump all or keep position on

That's a very simplistic way of seeing it and again presupposes that every trader active in TF is dependant upon the spesific price action you consider abnormal. As explained this is not the case. I don't consider anything out of the ordinary at the time, because my strategy is not dependant...

I completely disagree that a market like this would kill everyone involved. First of all not everyone trades the same way you do, everyone has their way and I bet a very small minority of the total participants in the market trade like traders in this journal....People could be doing arbitrage...

I'd argue that there is never any "normal" in a market, it will always be influenced by external factors. Things can fundamentally change and not mean revert, it has occured countless times before. I agree with you that one should identify market realities and accept them, instead of making up...

An interesting data plot on corrections since the 2008 crash: It would be interesting to compare this with through to peak numbers...I'm willing to bet the trend is that returns to normalcy are becoming equally violent as the actual corrections themselves.

Well that little 1-month correction we had was wiped out in 2 weeks or so...usually it's the other way around. Interesting times we live in. Also another complete crush of VIX, shows you long vol is equally dangerous to short vol...anyone who didn't immediately convert to short vol would be in a...

Which is kind of surprising to me, considering there is systematic overpricing you'd think institutionals would get in on it. In essence though it's just short vol so I guess there are other ways to do it besides iron condors

Who says the "big players" aren't doing this already? Keep in mind, a big player in the volatility markets is obviously dwarfed by those in other markets