VXX a good buy at current levels?

Quote from cdcaveman:

this is exactly what we have been talking about.. obviously based on the term structure .. 2m-1m future roll over is going to cost the most and track the best.. This is the deal.. if you think your going to buy a etf that tracks a commidity that is mean revert on top of the fact that its derived from rolling futures at no cost your stupid... even if you just go buy vol in the actual index your gonna rot... hedging costs money!
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If everybody in this thread thinks that buying VXX is stupid ... why not max out your BP and outright short it? Don't have the balls? Come on, even if it spikes to 50 now and then, you know it's going to zero ... ;)
 
Quote from hft_boy:

If everybody in this thread thinks that buying VXX is stupid ... why not max out your BP and outright short it? Don't have the balls? Come on, even if it spikes to 50 now and then, you know it's going to zero ... ;)
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Relative to the many alternatives...
Buying VXX is always stupid...
You are either short VXX... or you are on the sidelines.

You're post reminds me of the line from BB...
"This is a non-criminal's idea of criminal behavior"...
Your suggestion is a non-traders idea of trading :)
 
Quote from DeeDeeTwo:

Relative to the many alternatives...
Buying VXX is always stupid...
You are either short VXX... or you are on the sidelines.

You're post reminds me of the line from BB...
"This is a non-criminal's idea of criminal behavior"...
Your suggestion is a non-traders idea of trading :)
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Lol, except that I was joking ... obviously it's a dumb idea to be either long or short VXX (or any security) unless you have a good reason.

But just for the record, long-term shorting VXX does have a good risk adjusted return -- better than buying BXM or SPY. You can go check out the numbers yourself.
 
Quote from hft_boy:

But just for the record, long-term shorting VXX does have a good risk adjusted return -- better than buying BXM or SPY. You can go check out the numbers yourself.
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VXX cannot be viewed in isolation.

It's traded as part of a more complex hedging program...
Where you buy this, short that, hedge with options...
And then scalp the daylights out of securities with the biggest spreads.

If you are not hedging baskets...
And scalping like there's no tomorrow to capture the spread....
You are totally screwed in the long run.

Also, virtually all quantitative, stats arb strategies...
Virtually all mean reversion strategies...
Do only so-so in quiet markets...
But can produce off-the-charts profits in very volatile markets.

So one sells Vol as a complement to a Stats Arb Portfolio.
 
i don't think its a good buy and hold strategy canidate i can tell you that from experience.. i trade the vixy though if there is even any difference
 
Quote from DeeDeeTwo:
So one sells Vol as a complement to a Stats Arb Portfolio.
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That's a way to totally destroyed in a fully correlated market blowup. Trying to proxy-hedge a negatively convex strategy with a delta-one strategy is a recipe for pain, sooner or later.

I will (yet another time) quote my old boss:
Selling risk premium is like having a bunch of one night stands. There is nothing bad about it if you use proper protection, even if it reduces the sensation. Otherwise, sooner or later you'll catch something nasty that could ruin you for the rest of your life. Remember this whenever you seek the pleasure of collecting carry.
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Quote from sle:

That's a way to totally destroyed in a fully correlated market blowup. Trying to proxy-hedge a negatively convex strategy with a delta-one strategy is a recipe for pain, sooner or later.

I will (yet another time) quote my old boss:
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You didn't understand my post...
Fifty cent terms and $3.50 will buy you a coffee at Starfcuks.

My Stats Arb Portfolio primarily throws off profits from hi-volume scalping...
The days when you could live off reversion to mean are long gone.

And scalping profits go up dramatically with Vol spikes (by 200-400%)...
Because spreads widen and you exploit the panic.

So my core business and the VIX have a strong positive correlation...
Which means that short Vol is an excellent hedge...
Especially since Vol is almost always overpriced...
You add profits in quiet markets and can absorb the Vol hit on spikes.
 
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