15 replies to this topic

[ogm]

This chart is just since August this year. Natural decay of this thing is simply astounding.

Notice the levels of UVXY during the last few times VIX spiked towards 20.

This is an ideal short.

Edited by ogm, 27 December 2012 - 07:25 AM.

[NAV]

Natural decay of this thing is simply astounding.

There is nothing like natural decay. That's a euphemism for ill-managed ETFs. If an ETF does not reflect it's underlying they have no business to be trading at all. There's just no accountability in this ETF business. Horrendously inefficient instruments. I smell a rat in this business (especially the double triple leveraged ETFs).

Edited by NAV, 27 December 2012 - 07:52 AM.

[kssmibotm]

This chart is just since August this year. Natural decay of this thing is simply astounding.

Notice the levels of UVXY during the last few times VIX spiked towards 20.

This is an ideal short.

The natural decay only works when VIX futures are in contango. If the futes are in backwardation, the reverse happens.

I would not short UVXY. If there is a terrorist attack, the VIX spikes to 50, and your short is way underwater. Better to play this decay with ITM puts and define your risk.

KMB

[DrSP]

This chart is just since August this year. Natural decay of this thing is simply astounding.

Notice the levels of UVXY during the last few times VIX spiked towards 20.

This is an ideal short.

The natural decay only works when VIX futures are in contango. If the futes are in backwardation, the reverse happens.

I would not short UVXY. If there is a terrorist attack, the VIX spikes to 50, and your short is way underwater. Better to play this decay with ITM puts and define your risk.

KMB

ogm, I agree natural decay and all. But, if $VIX spikes up and backwardation sets in, it will take months for UVXY and VXX to decay. Case in example is Aug 2011. VIX topped out in August but UVXY topped in October. Be careful on position sizing.

Looks like you took a big position in UVXY.....

[SemiBizz]

More like RADIOACTIVE Decay... One slip of the tongue now from any of these DC characters and UVXY can be at 30.

[ogm]

Yes, I know what you guys mean with contango vs backwardation. UVXY is rarely available to short, so I did take a position while its available. Today and tomorrow are probably the most critical days. Suspect for last minute tax/FC fears selling. Otherwise I'm kinda bullish. At least I don't expect volatility to increase from here as event risk aside from the FC has been mitigated by the Fed/ECB for now. Market is acting rather well, considering all the risks. And volatility spike isn't accompanied by events or pressure on prices. Bank stocks are looking better then a lot of other sectors which is also bullish.

Edited by ogm, 27 December 2012 - 09:05 AM.

[SemiBizz]

More like RADIOACTIVE Decay...

One slip of the tongue now from any of these DC characters and UVXY can be at 30.

10:04 Reid: "Going over the cliff looks like where we're headed"

[DrSP]

Yes, I know what you guys mean with contango vs backwardation. UVXY is rarely available to short, so I did take a position while its available.

Today and tomorrow are probably the most critical days. Suspect for last minute tax/FC fears selling. Otherwise I'm kinda bullish. At least I don't expect volatility to increase from here as event risk aside from the FC has been mitigated by the Fed/ECB for now.

Market is acting rather well, considering all the risks. And volatility spike isn't accompanied by events or pressure on prices. Bank stocks are looking better then a lot of other sectors which is also bullish.

Another thing to keep in mind is, if the position goes against us for several days and right when it looks like we may get into a good position, what if the broker calls the short back? This is an important aspect to remember because I faced situations like this before. When the stock looks like it will reverse, for us to make profit, the broker calls the short back.

I am not fear mongering ogm, just reiterating important aspects.

[ogm]

I've never had Tradestation call the short back on me. But yeah, it may happen. Doubt it may happen with UVXY, though.

[ogm]

More like RADIOACTIVE Decay...

One slip of the tongue now from any of these DC characters and UVXY can be at 30.

10:04 Reid: "Going over the cliff looks like where we're headed"

The peak fear moment ?