Interactive Brokers didn't have shares of TVIX to short yesterday or today. Usually, they're good with finding shares to borrow. At yesterday's close, TVIX was trading at a 89% premium to its NAV. VIX APR'12 and MAY'12 futures were trading 20-40% premium to VIX. With such high premiums and a negative roll yield, it was extremely risky to hold TVIX long.

Trading TVIX is complicated. I don't understand it myself. But what I do know is that TVIX is a pos for longs because it suffers from a negative roll yield. It tracks the two front months of VIX futures. Because the futures are trading at premiums, it suffers from a negative roll yield. In short, you're losing money from this negative roll yield if long. TVIX is best for daytrades or short term trades. Not good for longer term trades unless everything aligns just right like last August.

The article basically points out that TVIX was trading at a high premium compared to its NAV. The article was written 10 days ago. Since then, the premium has inflated exponentially more, so it was even more dangerous to be long TVIX. Longs could see this premium yanked out from under them like today. His point was that it was risky to hold TVIX long at the time because it was trading at 9% premium to its NAV.

Is the GDX Renko long or short? The reason I ask is b/c I saw a post last week from Matt that said it would take a close of 55.44 or higher for the GDX renko system to switch to a buy. We got a close above that price yesterday, but there was no email indicating a signal change. FWIW, I don't have a position in GDX at the moment, but curious what happened.

Is GDX Renko system on a short or long right now?

So I'm assuming the system exited the short? Looking for confirmation.

To be more exact, I rounded it.

The multi-entry is down -3.20%

The single-entry is down -1.4%

I've been keeping track of it. My numbers show that the multi is down 3%, while the single is down about 1.3%.

I went short at 4:03 PM, just a little after the market close.

Yes, the 15 minute charts are likely flagging for another move higher, and a possible divergent high.

Shorting can be done successfully in the right markets. It's more difficult than going long though. Shorting requires more finesse, patience, discipline, and stricter money management. Most traders can't do both w/ the same amount of success because they're so much different.

Tom,

I agree on that one. The only reason to buy calls now (to hedge the system position) would be if you're protecting a big move to the upside soon. But of course, a move lower or choppiness in the short term would make you lose on your premium. Like you said, you might have to write another option to make back some of what you lose in the premium.

I'm biased towards lack of volatility and choppiness during this holiday week and early next week. If this scenario plays out, it may not be worth it to buy calls. This has nothing to do w/ the system trade, but I put on a short strangle strategy yesterday to play my bias of lack of volatility (in the short term). I wrote the ES DEC 02 1085 Puts and 1270 Calls.

Matt, I'm still in. Just treat discretionary trading and system trading separate. Don't let system signals affect your discretionary trades, and vice versa. That's the key imo.

The big moves have been have been happening afterhours when the overseas markets are open. Hence the big gapups and gapdowns that we've been having because the US futures have been following with the European and Asian markets. For example, last night the ES dropped from 1238 to 1213.50 from 6:15 PM/EST to 3:30 AM/EST. Then it rallied to a high of 1254.75 at 9:00 AM/EST before today's open. That's a 25 point ES move in one direction, and then a 41 point move in the other. All that happening before the cash open for the U.S. markets.

So that was the point that they're making.

I wrote the ES NOV 4 1135 Puts earlier today at 2.30. Same concept for those who may not know much about options; just on a much shorter time frame. If ES settles above 1135 this Friday, then I collect 2.30 ES points.

Matt/Tom,

Do you ever write ES options? The ES 970 NOV 18 Puts are currently trading at 2.00. That's another way to play it too. Good way to keep a steady cash flow going. When the VIX pops 40% in two days, why not write some deep otm options?

You writing any? ES 1275's are going for 4. I'm waiting for next week to write options. 1280's at 3.00

I live in SF. They were shorter than normal, but felt bigger than the norm. I was doing dishes for the 2nd quake. Glad I didn't break anything.

MG,

Carrie's not bad either. Caaaarrie, Caaaaarrie.

Carrie

If I recall correctly, it's a momentum indicator and it means more upside ahead. This would fall in line with the extreme bearishness we've had in the past couple weeks and even this past week while the market kept rallying. When sentiment is extreme, be careful siding with the crowd. If this plays out, dips are buyable.