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Then by proxy, the options had nothing to do with it either and you are posting on the wrong thread.

OK guys, there is a lot of misunderstanding about random walks and it's actually really important mathematically to understand what it is and what it is not. A random walk with or without drift does NOT imply efficiency. In fact think about this from the perspective of a quality control...

Well, I guess back to the bat cave. LOL.

The author is completely full of shit when he makes outlandish comments like you don't need to understand math which he willfully admitted he didn't. Stat arb requires a tremendous understanding of math to model the risk. Stat correlation as some pointed is pairs trading but that is not...

Terrible strategy. Vol gets crushed not only the day after the report but usually continues to have spillover effects for the week after. There are ways to exploit earnings type of trades but I'm not going to post them. A little bit of hard work and you will find them.

Markets follow a random walk with drift. In futures the drift equates to the shape of the forward curve. In cash markets the drift is equal to some interest rate factor. I would ask traders these questions: 1. Are you currently bullish or bearish in any particular market right now? If...

I think you can manage the roll much better in the futures. You can zero the roll out. The ETF you are paying the roll yield every month which is not a trivial cost. I would never hold these ETFs long term.

What is nice about the VIX options is you can trade the 2nd order derivative of vol which you can't do on the ETF's. Well, actually I think there are some ETF's trying. I just have not heard one good reason yet from anyone on why the ETF's should be traded over the futures or the options...

Questions have been recorded. I'll try to get back to you on them tomorrow. :)

Walk me through the last trade you did and I'll see where you are going astray.

Easy fix that also takes two minutes. Open an excel spreadsheet, create a macro for put/call parity. Download the prices that are liquid and and price the corresponding synthetic. Problem solved.

I have a really hard time believing that I'm so entertaining that when I step out of the room, the party completely stops. :)

Takes about two minutes to do in R.

Why did you stop trading the VX futures? Honestly man, these knock off products are like fake watches on Canal St in NY, they look nice, but they are not functional. If you don't like trading the VX futures for whatever reason and why I'm not sure because all these products are chasing that...

I think he was trying to say it's not meant to track anything long term, it's only replicating the one day return. So in other words, VXX does not track VX long term only it's one day return.

You are correct. Pekelo is not very good with details. He usually struggles with facts. In this case, his headline was off by a mile.

http://www.bloomberg.com/news/articles/2016-04-29/unmasking-the-men-behind-zero-hedge-wall-street-s-renegade-blog “On a long enough timeline the survival rate for everyone drops to zero.”

There was good research on this I saw awhile back and if I find it, I'll post it. I understand what you are saying about price, but the question that has to be asked, is can we replicate the cash flows. The easiest (well not that easy) way is to try to build your own ETF that replicates the...

Let me further add, I believe off the top of my head (maybe wrong here) but TVIX went through a major formula change a few years ago to improve the tracking error. The chart of course does not show that. But please read up on it, there are some blog posts about it. It doesn't change the...