Rosebud

Sold 1 unit "OVX" @33.74

So now have:

1) Short Silver (1 unit)
2) Short CL (3 units)
3) Short Lumber (1 unit)
4) Short OVX (1 unit)
 
Bought back 1 CL @ 57.61 +1.49. Holding two short CL (one from 59.10 and the second from 60.20)

Ratio of "OVX" to CL now 1:2
 
Out last CL @55.76, +4.44. CL "FV" as I write this is 55.97 (When I exited the CL "FV" was about the same as the exit price).

Positions left:

Short Lumber 1 unit
Short OVX 1 unit
Short Silver 1 unit
 
CL "FV" ~53.95. With CL trading at about the same price, OVX is signaling a big downmove even from here, probably below 40. It is as if OVX is predicting an Iran nuclear deal and 1 million barrels of oil will magically appear on the market.

I think OVX (and the actual options it represents) are hugely overvalued. I am short two units already, and have a third still in the chamber.
 
Oil is getting beat up pretty badly. I mistrusted (wrong word probably - closer is misunderstood) one of my models and did not short oil on the open today. I am feeling the heat in OVX bad now.

One thing is that my models usually lead oil. Now they are just tracking it almost exactly. That makes it difficult to trade on the time scales (relatively slow) that I trade, although it would be interesting to switch to a higher frequency.

I have always thought regime switching strategies were fantastic, but I have never spent time thinking them through. That means I don't have a quantitative way to make the shift. Maybe it is time to think it through.
 
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