Massive VXX implosion is possible today

[kashirin]

Quote from Rearden Metal:

Neither VXX or $VIX has topped out yet, because SPY has clearly not bottomed yet!

today can be considered a down day and with the volume on the light side we can assume selling has abated somewhat so vix might go down near term

 

[newguy05]

Quote from atticus:

SIV means that the futures are inclined to narrow the spread as futures = spot at expiration. Of course the futures will drop with a drop in cash. Suppose the VIX cash is 700bp over futures and VIX cash drops $2.50 by the end of the trading session... the front month will conceivably drop a $1 or so.

thanks atticus that make sense.

 

[Ambler]

I ran TVIX through the PriceDelta tool, it told me the best way to trade it since Dec 2010 (at least using the methods in the PriceDelta universe), was

Buy signal if price is 1.9% above the last close.
Sell signal if price is 1.9% below the last close.

If buy and sell signals occur on the same day, ignore them, otherwise trade at the next open.

Returns were 345%, 724% and 3572% for Long, Short and SAR respectively (Dec 1 until Aug 23rd).

Since TVIX is in a hold state and there was both a buy and sell signal today (Aug 23rd), it remains in a hold state.

 

[GordonTheGekko]

Ambler, great info, thanks for the post.

Shorting TVIX proves almost impossible, at least during the spikes, because there are a million others in the universe trying to do the same thing, borrowing the shares proves near impossible. Perhaps buying XIV on margin would do the same, since shorting wouldn't give any leverage on your side anyways. What program are you using for this backtest?

 

[sellindexvol66]

Quote from rallymode:

Kind of pointless to count instances without time or slope(curve) weighting them. His research suggests backwardation is a fade. I am a huge short vol guy but my work shows differently, there's much more to gain trading into the backwardation then fading it.

for the record, you were 100% correct.

 

[arbs-r-us]

Quote from atticus:

lol to below 20. We'll be driving hovercars by then. We will not touch 20 on cash VIX in 2011.

FAIL?

 

[sellindexvol66]

not there yet... plus i for one feel vol will be a massive buy soon. this is way too low and only a dec thing...

 

[arbs-r-us]

Quote from sellindexvol66:

not there yet...

If SPX 1250 prints tomorrow, you should get it.

 

[atticus]

Quote from arbs-r-us:

If SPX 1250 prints tomorrow, you should get it.

http://www.elitetrader.com/vb/showthread.php?s=&postid=3394904#post3394904

numbnuts, where's the 50-large you owe me?

 

[sle]

Quote from arbs-r-us:
If SPX 1250 prints tomorrow, you should get it.

I think teen-handle VIX is totally possible this year... though, I'll be such a buyer of that gamma (ATM, not var) if that happends...