The ACD Method

Maverick74 said:
Need to be more specific. VIX cash was priced at a discount to VX futures and they are converging somewhat. I try to look at the spread between ATM ES or SPX options for 30 day term structures vs the VX futures. They go back and forth between discounts and premiums. The VIX cash deeply discounted and is now catching up. The VX futures are at a slight premium to the SPX and ES options.

Or put more simply, I think we overshot to the downside on the discount and are simply reverting back.
More...

Damn Mav...how do I get to your level? Being able to look at that data...analyze it..and come to that conclusion is pretty pro. All I'm seeing online and on reddit is how VIX shouldn't be going up when SPY is rallying and that crash is imminent.
 
Maverick74 said:
Not ACD related but had to post this. This can't go smoothly.

https://www.bloomberg.com/news/arti...o-founder-bill-gross-s-wife-files-for-divorce
More...

As my dear old Grandmother used to say: "If you don't have anything good to say about that person get over here right now and tell me everything you know". :D

Admitted or not, we all enjoy a little schadenfreude now and then. There will be lots of "There martial bonds couldn't take his high interest rate in newer issues" .... or
 
Anyone look at DXJ lately? Japan ripping and you get a depreciating currency as a kicker!

chart.ashx
 
Last edited:
Had a position on for some time now, as a Japan exporters play and also a currency play as you have noted. Sold the previous one at 50+, bought again when it was in the low 40s, I think it's up between 15%-20% already. Should be a dividend out this month.

I don't run any NLs or even keep data on it. Just buy in the low 40s sort of thing, if that coincides with a stronger yen and there's no bad economic situation to justify the price decline.
 
justrading said:
Had a position on for some time now, as a Japan exporters play and also a currency play as you have noted. Sold the previous one at 50+, bought again when it was in the low 40s, I think it's up between 15%-20% already. Should be a dividend out this month.

I don't run any NLs or even keep data on it. Just buy in the low 40s sort of thing, if that coincides with a stronger yen and there's no bad economic situation to justify the price decline.
More...

Nice job! That trade has a lot going for it. The risk on Nikkei play and the short Yen and maybe more importantly, the long dollar play.
 
Maverick74 said:
Nice job! That trade has a lot going for it. The risk on Nikkei play and the short Yen and maybe more importantly, the long dollar play.
More...
I wish I could tell you it is because I'm a trading genius, but it really was a happy accident. The Nikkei was on the up and up and the Yen was weakening. I did a search for a Japan ETF and came across this.

Now life experience did help. A consulting gig I did with a Taiwanese company in Thailand in 1997 showed me first hand the effect of selling in dollars and booking revenue in local currency, with the supply chain in non-dollar (Asian) countries.

The fact that exposure was to exporters sealed it. :)
 
You must log in or register to reply here.
Back
Top