shillllihs
5,984 posts
msg #134282
- Ignore shillllihs |
2/14/2017 12:07:56 PM
SHORT TVIX for a week now. Just 6k.
That'll be a sure 3k...
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Kevin_in_GA
4,599 posts
msg #134283
- Ignore Kevin_in_GA
modified |
2/14/2017 12:36:17 PM
Agreed. If you are trying to time options expiration, I would look at what the NEW contango and roll yield will be as of tomorrow (new contango level of 13.4%, new roll yield at about 15.3%). Still argues to hold XIV or short TVIX.
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shillllihs
5,984 posts
msg #134285
- Ignore shillllihs
modified |
2/14/2017 1:06:49 PM
Ok? How do derive roll yield?
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shillllihs
5,984 posts
msg #134287
- Ignore shillllihs |
2/14/2017 1:24:07 PM
Think better to be short Tvix than long Xiv with price above upper weekly ACC(21)).
Any gains you made will be wiped out in moments when price goes to midline. At least short you have decay.
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shillllihs
5,984 posts
msg #134288
- Ignore shillllihs |
2/14/2017 1:26:04 PM
When shorting Tvix, your returns will be similar to holding high yield bonds since you will want to be careful with how much you are holding.
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shillllihs
5,984 posts
msg #134289
- Ignore shillllihs |
2/14/2017 1:31:16 PM
1/31/2017 2:04:47 PM
Truth is there are several things I look at, as confirmatory signals other than the primary measure of contango:
1. VXV/VIX ratio: This should be above 1.1 for a green light, between 1.1 and 1.0 for a caution signal, and below 1 is a red light. Currently at 1.17 (green).
2. VIX/VXST ratio: This should be above 1.05 for a green light, between 1.05 and 1.0 for a caution signal, and below 1 is a red light. Currently at 0.99 (red).
3. Roll Yield: This should be above 5% for a green light, between 5% and 0% for a caution signal, and below 0% is a red light. Currently at 3.64% (yellow).
4. VIX contango - VXV contango: This should be above 0 (and VIX contango above 0%) for a green light, between below 0 (and VIX contango above 0%) for a caution signal, and below 0 (and VIX contango below 0) is a red light. Currently at -0.3% but VIX contango is still at 10.15% (yellow).
Note that all of these were green yesterday.
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Do you want to define what you're looking at for each
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Kevin_in_GA
4,599 posts
msg #134292
- Ignore Kevin_in_GA |
2/14/2017 2:55:54 PM
Think better to be short Tvix than long Xiv with price above upper weekly ACC(21)).
Any gains you made will be wiped out in moments when price goes to midline. At least short you have decay.
Not sure I agree - your losses are amplified in TVIX since it is double leveraged. It sounds like you are concerned about sudden spikes in volatility, so why would you short TVIX versus just stay long XIV? The only reason would be to make more money when times are good, but that does not manage risk - that is just being greedy.
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Kevin_in_GA
4,599 posts
msg #134293
- Ignore Kevin_in_GA |
2/14/2017 3:04:38 PM
Roll yield = F1/VIX spot
Since futures are expiring tomorrow, let's jump ahead and look at the March futures as the front month:
F1 = 12.65
^VIX Spot = 11.03
So the roll yield is 14.7% with 36 days until expiration. Obviously with so much time on the clock, the roll yield does not really influence XIV until we are within the last week or so before expirations.
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shillllihs
5,984 posts
msg #134303
- Ignore shillllihs |
2/14/2017 7:29:28 PM
Bought some HBI today. Value play...Nice...
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shillllihs
5,984 posts
msg #134330
- Ignore shillllihs |
2/15/2017 2:58:29 PM
Both my value plays GILD & HBI are running.
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