I am slightly contrarian right now but in a smaller position plus a hedge due to risk of being wrong of course... but sometimes France comes through...they owe us after WWII
unusual VIX term structure
- Thread starter ajensen
- Start date
I am slightly contrarian right now but in a smaller position plus a hedge due to risk of being wrong of course... but sometimes France comes through...they owe us after WWII
@i960 it was a good bet going in the long 3 day weekend
Things changed pretty quick. I still think it was the Korea situation that made people nervous after Trump dropped the moab and people started thinking we were gonna have a war this weekend. Luckily the N.Korea test fizzled this weekend so no need for a military response. Also in the news it seems US will work with China on the issue.
Also Trump flipped position on 5 key issues late last week which made wall street happy because he is settling down and not a loose cannon.
http://www.zerohedge.com/news/2017-04-12/trump-flips-five-core-key-campaign-promises-under-24-hours
This had nothing to do with the French election. Wall street could care less about who France chooses.
Things changed pretty quick. I still think it was the Korea situation that made people nervous after Trump dropped the moab and people started thinking we were gonna have a war this weekend. Luckily the N.Korea test fizzled this weekend so no need for a military response. Also in the news it seems US will work with China on the issue.
Also Trump flipped position on 5 key issues late last week which made wall street happy because he is settling down and not a loose cannon.
http://www.zerohedge.com/news/2017-04-12/trump-flips-five-core-key-campaign-promises-under-24-hours
This had nothing to do with the French election. Wall street could care less about who France chooses.
VIX crushed on the open. Forward strips return to normal contango.
Yes -- quoting Reuters:
(Updates with analyst comment; updates prices)
** CBOE Volatility Index <.VIX> falls the most since Nov 9,
after pro-EU centrist Emmanuel Macron's weekend victory in the
first round of the French election reduced some uncertainty
[nL8N1HW3GT]
** VIX down 3.31 pts to 11.32, on pace for largest 1-day
fall since the day after U.S. presidential vote; volatility
index dips to near 3-week low
** The dip in the VIX tame compared with the plunge in
Europe's main gauge of equity market anxiety, the Euro STOXX 50
Volatility index <.V2TX>; <.V2TX> down 8.76 pts to 16.34,
largest on-day drop in nearly 7 years
** "One reason for the massive vol crush despite the looming
2nd round is simply how accurate the polls were," says Pravit
Chintawongvanich, Macro Risk Advisors derivatives strategist
** "With the top 4 candidates performing almost exactly in
line with what polls predicted, the stakes are much lower for
the 2nd round - where Macron is expected to beat Le Pen with a
healthy margin," says Chintawongvanich in note
** Spread between VSTOXX and VIX, which last week ballooned
to widest since Jul 7, 2016, just weeks after Brexit, dips to
3-week low [nL3N1HR56F]
** VIX futures curve, which inverted ahead of the French
vote [nL1N1HP0UG], back in contango - all forward month futures
contracts are at a higher price than the current price
((saqib.ahmed@thomsonreuters.com; @SaqibReports; +1 646 223
6054; Reuters Messaging:
saqib.ahmed.thomsonreuters.com@reuters.net))
I was, unfortunately, short XIV coming in to today, since the VIX futures term structure was so flat. On average, the slope of the term structure has had a positive correlation with XIV returns.
The French election, like the U.S. presidential election and the Brexit vote, was an example of a discrete event with timing known well in advance. It looks like you want to be long XIV ahead of such events -- sized appropriately, because if the event the market feared happens, the dip does not last long, and if the market-friendly event happens, as with France, there is an immediate pop in XIV.
OTOH, 3 is a small sample size, and the sample size will be limited even if I dig up previous events, such as elections in other countries or Greek parliamentary votes on budgets. Sometimes there will be events where VIX jumps and stays high for a while, as in 2008.
I have been trading a system that can go long or short XIV since March 2016. The system has been profitable overall, but more than 100% of the profits have come from the long positions. Short XIV positions were profitable in the backtest but not in real time.
Is anyone able to make money on occasional XIV shorts or VXX longs?
The French election, like the U.S. presidential election and the Brexit vote, was an example of a discrete event with timing known well in advance. It looks like you want to be long XIV ahead of such events -- sized appropriately, because if the event the market feared happens, the dip does not last long, and if the market-friendly event happens, as with France, there is an immediate pop in XIV.
OTOH, 3 is a small sample size, and the sample size will be limited even if I dig up previous events, such as elections in other countries or Greek parliamentary votes on budgets. Sometimes there will be events where VIX jumps and stays high for a while, as in 2008.
I have been trading a system that can go long or short XIV since March 2016. The system has been profitable overall, but more than 100% of the profits have come from the long positions. Short XIV positions were profitable in the backtest but not in real time.
Is anyone able to make money on occasional XIV shorts or VXX longs?