Shortie's 10 Best Market Calls

[tradingjournals]

I thought something along the line of your thinking when I asked in the other thread where SPY/GLD stood with respect to the line. It was at the time when the models came with the 1.4166 level.

I have thought the selloff could be also be a prelude to a move in the other direction. The markets seem to be at important levels, and anything can happen including breaking the support. If one scans with the eye the top prices of QQQ, and one may see something. In verse parabolas, the up moves are fast, and the down moves start slow but accelerate to faster speeds. In other words, people do not have enough time to go in, and not enough time to get out--which is tough.

What is the exact value of the line if I can ask?

 

[shortie]

there is no exact number since i simply drew it somewhat arbitrarily on the chart (no quantitative models were used here)

also it depends on what instruments i use. if i use $SPX and GLD and take June 2010 low it is almost exactly where were are today: ~8.49

http://stockcharts.com/h-sc/ui?s=$SPX:GLD&p=D&yr=2&mn=0&dy=0&id=p72846139810

 

[shortie]

The fear is through the roof, Greece is on the brink of default and the Bernanke Line is still holding!

Unrealized PL -62 for SPY:GLD pair. I was a bit too early as so typical of me. Did not want to miss the train

 

[shortie]

Bernanke Line has held! Let's see if it can bounce higher from here.

 

[shortie]

 

[shortie]

The spread is doing great! Yesterday I detected what I thought was an elevated level of volatility in the market so I used that as an opportunity to add some Short volatility to my option positions. Bought two VXX Puts ITM. No quantitative attempt was made to figure out how much VXX puts to buy. I simply thought 10% of portfolio value would be a reasonable amount because I do add the risk of those Puts expiring worthless while I hedge for the future volatility drop. Also, I note that the spread's PL >+$200 which is roughly the amount of VXX Puts I bought, so I am buying the insurance from the profits.

TradingJournals gave me the idea about the volatility hedging and yesterday seemed like a really good time to make that adjustment.

 

[shortie]

Unrealized PL +300 (including VXX Puts), i think the entry was ~0.86 on the ratio chart above. 3% in ~2 weeks with very small drawdown says to me that the trades has worked out well so far.

Now we are in murky waters because I don't have an exit strategy .

I am actually quiet happy with the profit and would have taken it right here. But I chose to wait 1-2 days to see the impact of the Greek vote on the market. My rationale is that there may be some extra fear baked both into VXX, GOLD and SPY and the release of that fear should improve at least the total position if not each of the components if the vote is in favor of the austerity measures.

 

[shortie]

Nice Unrealized PL +363. Let's see if I will manage to blow it after the Greek vote is in.

 

[atticus]

Quote from shortie:

The spread is doing great! Yesterday I detected what I thought was an elevated level of volatility in the market so I used that as an opportunity to add some Short volatility to my option positions. Bought two VXX Puts ITM. No quantitative attempt was made to figure out how much VXX puts to buy. I simply thought 10% of portfolio value would be a reasonable amount because I do add the risk of those Puts expiring worthless while I hedge for the future volatility drop. Also, I note that the spread's PL >+$200 which is roughly the amount of VXX Puts I bought, so I am buying the insurance from the profits.

TradingJournals gave me the idea about the volatility hedging and yesterday seemed like a really good time to make that adjustment.

You're up on SPY deltas, down on vol, up a tick on smile. You need a linear rally in SPY to justify the otm VXX puts. They will track discretely, which is not what you want. You need a big move to have the hedge pay off. You should have sold VXX calls/call spreads.

 

[shortie]

Quote from atticus:

You're up on SPY deltas, down on vol, up a tick on smile. You need a linear rally in SPY to justify the otm VXX puts. They will track discretely, which is not what you want. You need a big move to have the hedge pay off. You should have sold VXX calls/call spreads.

thanks for the input.
some of it is definitely over my head.

actually i did buy wrong puts due to a mistake. i thought i bought 24 Puts which were ATM/ITM at the time (should have been 1 Aug 24 Put @~2.70). i guess it only partly solves the likely implied drop on VXX when/if the market volatility starts dropping but VXX call spreads do address this.