Kudos to MMs
- Thread starter nitro
- Start date
Nitro, I haven't been following NFV all that closely, but I get the impression that your system generally tends to perform well in every type of market but one; The low-volatility, steep uptrend (as seen in March or September 2010).
Perhaps this problem could be hedged/solved by always purchasing and holding cheap, far-OTM SPX calls?
Perhaps this problem could be hedged/solved by always purchasing and holding cheap, far-OTM SPX calls?
Rearden Metal,
That's the same market type that ripped us (me) a new a-hole, remember? The friggin market did nothing but go up relentlessly every day for what seemed an eternity.
Perhaps. The problem with that is that you need monster moves for those things to be worth anything. Even if the market moves higher, you have to keep up with declining IV on the calls. And if you bought too expensive a skew, it is even worse. As you are well aware, you could be right on direction in options and still lose money. Generally, SPX options are over priced, so you are already starting from negative edge when buying them.
That said, there is a filter that Runningbear told me about that could potentially signal when it is best to do this kind of DOM SPX calls play that you are suggesting, but I have not thought it through yet.
How would NFV perform if you were to use it as a long-only system? (Ignoring the signals and staying flat when NFV is below SPX, but still going long when NFV is higher than SPX). Would that work?