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.
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.
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.
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.
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?
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.
What do you do on a gap up like today for Marco's system? Do you
wait for a pullback later this week or next week? Or did you enter
today even though it never got close to a better price than
yesterday's close? I'm sure in the past, there's been breakaway gap
ups and breakaway gap downs that run further and further away from
the closing price of the signal entry. If a trader takes Marco's
advice and waits to enter the next day, there's a risk of missing
the trade if this happens? This may be a tricky question to answer,
and may depend on each trader, but just wanted to hear your
opinion. Tia.
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Interactive Brokers didn't have shares
TVIX
Posted by cw12 on 22nd of Mar 2012 at 04:16 pm
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
TVIX: An Emerging Arbitrage Opportunity
Posted by cw12 on 22nd of Mar 2012 at 02:47 pm
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
Is GDX Renko system on a short or long right ...
Posted by cw12 on 22nd of Feb 2012 at 01:22 pm
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
Posted by cw12 on 22nd of Feb 2012 at 09:46 am
Is GDX Renko system on a short or long right now?
So I'm assuming the system
Posted by cw12 on 9th of Feb 2012 at 05:02 pm
So I'm assuming the system exited the short? Looking for confirmation.
To be more exact, I
Am I correct?
Posted by cw12 on 20th of Dec 2011 at 12:20 pm
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
Am I correct?
Posted by cw12 on 19th of Dec 2011 at 03:24 pm
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
Spy Swing System Alert
Posted by cw12 on 5th of Dec 2011 at 06:50 pm
I went short at 4:03 PM, just a little after the market close.
Yes, the 15 minute charts
SPX 5 min comments
Posted by cw12 on 30th of Nov 2011 at 03:13 pm
Yes, the 15 minute charts are likely flagging for another move higher, and a possible divergent high.
Shorting can be done successfully
Posted by cw12 on 30th of Nov 2011 at 02:32 pm
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.
Thanks for the feedback
Posted by cw12 on 22nd of Nov 2011 at 02:45 pm
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
IMPORTANT - SPY System Newsletter
Posted by cw12 on 21st of Nov 2011 at 03:07 pm
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
rising wedge?
Posted by cw12 on 3rd of Nov 2011 at 05:16 pm
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
SPY puts
Posted by cw12 on 1st of Nov 2011 at 02:35 pm
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
SPY puts
Posted by cw12 on 1st of Nov 2011 at 02:31 pm
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
Posted by cw12 on 21st of Oct 2011 at 11:03 am
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
Anybody out here in SF Bay Area?
Posted by cw12 on 21st of Oct 2011 at 11:00 am
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,
the market's....
Posted by cw12 on 12th of Oct 2011 at 07:31 pm
MG,
Carrie's not bad either. Caaaarrie, Caaaaarrie.
Carrie
If I recall correctly, it's
Posted by cw12 on 12th of Oct 2011 at 07:25 pm
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.
Title: Steve101: Question about Marco's
lol....Marco going long now.....
Posted by cw12 on 12th of Oct 2011 at 12:48 pm
Steve,
What do you do on a gap up like today for Marco's system? Do you wait for a pullback later this week or next week? Or did you enter today even though it never got close to a better price than yesterday's close? I'm sure in the past, there's been breakaway gap ups and breakaway gap downs that run further and further away from the closing price of the signal entry. If a trader takes Marco's advice and waits to enter the next day, there's a risk of missing the trade if this happens? This may be a tricky question to answer, and may depend on each trader, but just wanted to hear your opinion. Tia.