Trading in Luxury

list of popular stocks
AA
AAL
AAPL
ABC
ABX
ACN
ADBE
ADP
ADSK
AEIS
AET
AGN
AGO
AIG
AKAM
AKS
ALJ
ALXN
AMAG
AMAT
AMBA
AMD
AMGN
AMT
AMZN
AOS
AOSL
APD
APH
APT
ARRS
ATVI
AVGO
AWK
AXP
AXTI
AZN
AZO
BA
BABA
BAC
BBY
BCOV
BIDU
BIG
BIIB
BLUE
BMRN
BMY
BP
BREW
BURL
C
CAT
CCL
CELG
CIM
CLVS
CMCSA
CME
CMG
CMI
COP
COST
CP
CRM
CRUS
CSCO
CSX
CTRP
CTSH
CVCY
CVS
CVX
CYBR
DAL
DB
DDD
DIA
DIS
DKS
DOG
DUST
EA
EBAY
EDU
EEM
ELLI
EOG
ESRX
ETR
EW
EWN
EWY
EXPD
EXPE
EXR
F
FANG
FAS
FB
FCX
FDX
FEYE
FFIV
FIT
FN
FNSR
FSLR
GDX
GE
GILD
GLD
GM
GOOG
GOOGL
GPRE
GPRO
GRUB
GS
GWPH
HA
HACK
HAS
HD
HLF
HON
HRB
IBB
IBM
ILMN
INTC
IRET
ISIL
ISRG
IT
IWM
IYR
IYT
JACK
JNJ
JNUG
JPM
KITE
KMI
KO
KORS
KR
KSU-
LEA
LITE
LMT
LNG
LNKD
LOW
LPCN
LULU
LUV
LVS
MA
MCD
MCK
MDT
MET
MGPI
MHK
MMM
MO
MOMO
MON
MPC
MRK
MRO
MSFT
MSI
MU
NBL
NEM
NFLX
NHTC
NKE
NTAP
NTES
NUGT
NVDA
NXPI
OEUH
ORCL
ORLY
P
PAM
PANW
PAYC
PCG
PCLN
PEP
PFE
PG
PM
PNRA
POT
PRI
PRU
PYPL
QCOM
QQQ
REGN
RGLD
RIC
RIO
ROST
RTN
SBGL
SBUX
SCTY
SGEN
SHPG
SLAB
SLV
SLW
SMH
SPY
SQ
SSO
STX
SVXY
SWHC
SWK
SWKS
SYK
SYY
T
TAO
TAP
TASR
TBT
TCK
TD
TECK
TFI
TI
TIF
TJX
TLT
TMUS
TNA
TPL
TQQQ
TRV
TSCO
TSLA
TSN
TSO
TWLO
TWTR
TWX
TXN
UA
UAL
ULTA
UNG
UNH
UNP
UPS
USO
UTX
UUP
UVXY
V
VLO
VMW
VNQ
VRX
VXX
VYM
VZ
WBA
WDC
WFC
WFM
WMGI
WMT
WYNN
X
XIV
XL
XLE
XLF
XLK
XLNX
XLRE
XLU
XLV
XOM
XON
XRS
YELP
YUM
Z
ZLTQ
 
http://www.zerohedge.com/news/2017-07-24/about-262-million-man-vix-option-play-analysis

.....from the article....

Generally speaking, the VIX will rise given a move in stocks lower. That is due to unhedged equity longs who rush in to buy Puts in a stock wash out. Conversely, the VIX will generally drop in an equity rally as longs sell more Calls to create dividends. The VIX is not a fear/ greed index. It is an indicator of dominant market players who are underhedged. VIX only tells you likely speed of a fall or rally, not which way stocks will go.
 
trying some signals on hi yield bonds relation to stocks to trade vol, switch between vxx
and xiv...
it was saying short vol thru most of year, started to signal caution late july,
went full switch on 8/4
 
here are the current results of my xiv/vxx switch trade

did some simple back testing for earlier years and started in jan 2017,
started with small amount of cash,
bought 10 shares xiv at $50.29, $502.90
held thru several alerts that lasted less than 3 days

in june and july cautions started showing up
on 8/3 and 8/4 the signals were strong
on 8/7 made the switch from xiv to vxx as follows,
sold 10 xiv at $94.29, $942.90
bought 50 vxx at $11.15, $557.50, held $385.40 cash

vxx on 8/17 @ $13.66, $683.00
overall $1,068.40, starting with $502.90, net $565.50
xiv is at $71.50, so with out switch overall would be $715.00, net $212.10

plan on closing the vxx and go to all cash, wait to see how signals shake out
 
update on the xiv/vxx switch trade
main signals used to switch,
action of stock indexs, positive action, stay short vol
junk and hiyield bond etfs, positve action, stay short vol
contango/backwardation, contango, stay short vol

thinking being that as long as stock traders are satisfied with market action,
they will also look to junk and hiyield bonds, and have little need for protection,
once they become concerned, they will get put protection and vix will rise.
so we would be short vol, with xiv, until a switch signal called for exit of
xiv, and then go long vol with vxx.

did some backtest for 2015, 2016, and went live with a small position in Jan 2017,
results for 2017 have been positive, 3 switches were called, the first 2 were too
short lived to make an actual switch, on the 3rd, a switch was made and proved to be
profitable.

but i think going forward for this trade, looking at the results,
i am not going to switch into vxx, just switch from xiv into cash.
i have some other ideas for trading vxx.
 
xiv/vxx switch update
as of 9/1/2017, cash $334.90, + 10 shares xiv, $83.72 close, $837.20
total, $1172.10
starting amount $502.90, jan, 2017
signal is still long for xiv
 
You must log in or register to reply here.
Back
Top