StockFetcher Forums · Stock Picks and Trading · Shills Swing N Daily<< 1 ... 70 71 72 73 74 ... 367 >>Post Follow-up
guspenskiy13
976 posts
msg #120846
Ignore guspenskiy13
modified
6/23/2014 12:37:26 PM

"6/13/2014 11:11:49 AM
I think a good strategy would be to use daily and scale out as you profit. That way you will win even on potential break even trades."

I agree, but again - how much profit to take? There should be a back-tested exit strategy that uses daily data, which is a pain to make. Also, I think that averaging down in this case could be beneficial - we all know that VIX drops just as fast as it grows - however the backwardation of VIX futures during that time could make it hard to time the averaging down correctly.

The thing is - 7 times out of 10 VIX is in contango - which gives us the profitable decay of the volatility instruments. Because of the structure of these instruments - it makes looking at VIX for entry / exit a bit useless - after VIX surges and corrects back down, VXX/UVXY/etc could still be going up because of the contango. I am currently looking whether SPVXSP could be useful - as it tracks VIX short term futures. You can check it out here:

http://www.marketwatch.com/investing/index/spvxsp.id/charts?symb=XX%3ASPVXSP.ID&countrycode=XX&time=7&startdate=1%2F4%2F1999&enddate=6%2F23%2F2014&freq=1&compidx=none&compind=none&comptemptext=Enter+Symbol%28s%29&comp=none&uf=7168&ma=1&maval=50&lf=1&lf2=4&lf3=0&type=4&size=2&style=1013

I also took a look whether VIX is in contango or backwardation here:

http://vixcentral.com/

Now, there are a few questions that I am trying to solve myself and looking for help as well:

1) What is more effective, shorting VXX or going long XIV? I know that VXX decays - but is it represented in the XIV? In the case of shorting VXX - I guess you need to re-balance from time to time?

2) To take more advantage of the shorts - would it be more effective to rebalance VXX every open/close?

3) Trying to think of a strategy with either VXX or XIV or other volatility ETF's where you scale in / out when averaging down on the down days.... this will be the biggest problem.

4) I found a source where they state that mid-term volatility is actually more effective over a long-term (1 year+) period of time than short-term volatility. The volatility of the investment (too much "volatility" here right?) is also ~2X lower, which makes it attractive.
I am currently researching this, but here is the link:

http://logicalinvest.wordpress.com/2013/10/02/why-we-invest-in-ziv-inverse-mid-term-volatility-and-not-in-xiv-inverse-fronth-month-volatility/


p.s. also tried to look at doing this by using options - using a strategy called "synthetic short", but the fact that the price of uvxy/vxx options already incorporates the decay makes me to question whether it could work...


guspenskiy13
976 posts
msg #120847
Ignore guspenskiy13
6/23/2014 12:48:25 PM

P.S.

VIX up 3.41%; VXX down 0.5% intra-day as of now. gotta love contango

shillllihs
3,544 posts
msg #120848
Ignore shillllihs
6/23/2014 1:08:42 PM

All good questions but tough to answer. I barely made it past the 12th grade & went to 6 months community college.

I think i would rather short tvix/uvxy & maybe sell 25-30% at 8-10% profit right off the bat then
let the rest ride til crossback. Now i haven't decided if on pullbacks you should be adding again or not
but i'm guessing no.

This strategy should not be more than 40-50% of your total portfolio so don't hang your
hat solely on it. Let it be what it is. Let it run then get out on crossback then do it again.



shillllihs
3,544 posts
msg #120855
Ignore shillllihs
6/24/2014 3:43:22 AM

Good morning gals,

fenerbahce futbol as (FENER:Istanbul)
Last 39.60 TRY
Change Today +1.50 / 3.94%
Volume 931.4K

shillllihs
3,544 posts
msg #120857
Ignore shillllihs
6/24/2014 11:39:29 AM

fenerbahce futbol as (FENER:Istanbul)
Last 40.40 TRY
Change Today +2.30 / 6.04%
Volume 2.2M

There we go. 40 Something.

shillllihs
3,544 posts
msg #120858
Ignore shillllihs
6/24/2014 12:03:35 PM

What was your reasoning for missing the 17% 2 week boat with FENER.

A. The Mesayah doesn't know what he's talking about?

B. The Mesayah is such an arrogant A-hole & I just don't like him...

Vote now!!

shillllihs
3,544 posts
msg #120866
Ignore shillllihs
6/25/2014 9:46:46 AM

Fener
Day High
41.65

YAY>>>


shillllihs
3,544 posts
msg #120867
Ignore shillllihs
6/25/2014 9:55:41 AM

Fener looking to consolidate here in the 40s for about 3-4 weeks before moving on to 60.

shillllihs
3,544 posts
msg #120868
Ignore shillllihs
6/25/2014 10:00:31 AM

Taking my 25g profit in my TVIX short.

Off to Costco for King Crab & Delmonico...

guspenskiy13
976 posts
msg #120873
Ignore guspenskiy13
modified
6/25/2014 12:51:00 PM

got an ability to short TVIX

with leverage volatility etfs are crazy

thinking of entry/exit rules... maybe par. sar?

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