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Profile picture of DG

@dageorge42

@volguru the issue re YTD is the path dependency of the securities, UVXY close was way off NAV the day of the XIV mess, and ended up falling the next day and then reconnected with NAV, so the XIV caused it, as well as the large decline, uvxy will do better when vol of vol is high Vxx is not broken, tracks m1/m2 blend to a T, Barclays has 4-5 […] View
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  • Profile picture of DG

    DG started the topic Allocation to Short Vol – What is Reasonable %? in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 2 years, 8 months ago

    Hi All – have been doing some backtesting over the last couple of days and was curious others’ thoughts regarding the right asset allocation to short vol products and am curious to others’ thoughts…I’ve been normally 10-20%, giving room for the inevitable spikes etc….obviously is personal comfort level etc, and is related to market thoughts…[Read more]

  • Profile picture of DG

    DG replied to the topic TVIX May 2020 Uptrend or Downtrend in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 2 years, 8 months ago

    Hi Seth – any updated thoughts on vol for the coming week or balance of the month? Thanks in advance!

  • Profile picture of DG

    DG posted a new activity comment 2 years, 9 months ago

    thanks Seth…the MOVE or bond vol index has fallen to more normal levels…has often preceded equity vol in both directions…perhaps could be function of Fed intervention etc in bond market but interesting nonetheless…
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    • Profile picture of DG

      DG replied to the topic TVIX May 2020 Uptrend or Downtrend in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 2 years, 9 months ago

      yeah fair point Seth….I have 3-4% total position at moment (normally 20% max but haven’t had that in long time), and hedged by shorting TNA and UPRO on other side of it. Timing the other side obviously will be tricky.

    • Profile picture of DG

      DG replied to the topic TVIX May 2020 Uptrend or Downtrend in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 2 years, 9 months ago

      Hey Seth – is it feasible that in consolidation or chop for SPX, that vol slowly declines…I went back and went through all VX futures data and we are now in the 95% percentile across the entire VX curve, where as at the start of this spike (Feb/early March) – it was confined largely to the first couple of months….just curious how you are…[Read more]

    • Profile picture of DG

      DG replied to the topic Hedging TVIX short position in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 3 years, 9 months ago

      Mark – re the Vix explosion last year and different NAVs, I think some providers did the cut off for NAV at 4 pm EST and some others at 415 when the futures closed if I recall. And as you know the after hours move is what really did XIV in (big rebalance move after market close but before futures market closed) – I think that was the reason. The…[Read more]

    • Profile picture of DG

      DG replied to the topic Hedging TVIX short position in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 3 years, 9 months ago

      Seth – I look forward to your weekly piece. It would be great if you would discuss your views on volatility products specifically in your pieces and how you’re thinking about exposure sizes etc in light of market levels and valuations etc. perhaps a model portfolio may be overkill but talking about what the market has done is fine but p…[Read more]

    • Profile picture of DG

      DG replied to the topic Hedging TVIX short position in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 3 years, 9 months ago

      Understand, and thanks for your response. Sounds like you’re not particularly concerned about it or consider it in terms of positioning etc. Do you have a chart you can add relative to the long Vega on the ETPs. So when commercials were short and specs were long vol at year end were you less inclined to be short vol? It seems historically t…[Read more]

    • Profile picture of DG

      DG replied to the topic Hedging TVIX short position in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 3 years, 9 months ago

      Re VX futures, spec short is as high as it’s been as a percentage of open interest since the end of 2008. Curious how you’re thinking about this as well as in the context of very bullish equity market sentiment and this offsides vx positioning.

      Specs are short more than 40 percent of the open interest currently. Took down core short after hou…[Read more]

    • Profile picture of DG

      DG replied to the topic Hedging TVIX short position in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 3 years, 10 months ago

      Thanks Seth. I’ve run a couple studies historically as to how short vxx performs based on commercial short positions or long positions on vx and short vol tends to underperform historically returns from these positioning levels vs when commercials are short vol and lag when they’re long vol. relationships also hold in other asset classes. Obv…[Read more]

    • Profile picture of DG

      DG replied to the topic Hedging TVIX short position in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 3 years, 10 months ago

      Thanks. When you have some time am curious your thoughts on the COT positioning in vx futures market. Realize it isn’t a timing tool but positioning appears to be getting somewhat extreme.

    • Profile picture of DG

      DG replied to the topic Hedging TVIX short position in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 3 years, 10 months ago

      Hey Seth. I’ve been a member for a few months and was curious if you’ve always done these scalps in short vol products and how you manage those relative to a larger longer term core position. Also, are you doing more scalps today vs historically due to higher equity market valuations? Curious what drives your views on scalps vs longer term hol…[Read more]

    • Profile picture of DG

      DG replied to the topic Hedging TVIX short position in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 3 years, 10 months ago

      thx for this Seth….I just read your weekly piece, appreciate it…so are you not considering the amount of spec short interest in vx futures in terms of your trading strategy? I understand the open interest is much lower and the size of the vol complex is much much smaller making the vol explosion like in 2018 less likely…but I would think…[Read more]

    • Profile picture of DG

      DG replied to the topic Hedging TVIX short position in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 3 years, 11 months ago

      thanks! look forward to it

    • Profile picture of DG

      DG replied to the topic Hedging TVIX short position in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 3 years, 11 months ago

      Hi Seth – question for you…at what point do you take profits on your core longer term TVIX/VXX/UVXY short positions…is a constant struggle I think about, and what are the general variables you consider in terms of managing position size etc. have shorted all 3 for many years now, and always struggle with this question in terms of % allocation…[Read more]

    • Profile picture of DG

      DG posted an update 4 years, 11 months ago

      @volguru the issue re YTD is the path dependency of the securities, UVXY close was way off NAV the day of the XIV mess, and ended up falling the next day and then reconnected with NAV, so the XIV caused it, as well as the large decline, uvxy will do better when vol of vol is high

      Vxx is not broken, tracks m1/m2 blend to a T, Barclays has 4-5…[Read more]

      • Profile picture of Sunil Narayana
        Sunil Narayana replied 4 years, 11 months ago

        The most divergence has occured on Feb 6th when xiv down 80%, VXX up by some 30% but UVXY was up by 15% or so…i could be wrong but atleast it did not go up by 60% (when VXX went up by 30%)… Once this has taken place everything looks uncorrelated. Please correct me if i am wrong. It was just my observation. I just got lucky by getting out of…[Read more]

    • Profile picture of DG

      DG replied to the topic XIV Termination Event in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 4 years, 11 months ago

      Short equity against short vol is very reasonable long term strategy. Can adjust your hedge based on vol and market conditions etc. Since 2011, i’ve Shorted VXX/uvxy underlying and calls and hedged by being short spx, usually a 2 or 3 to 1 strategy. In 2015, I went down below 1:1 hedge and built back up as market rose. By shorting equity a…[Read more]

    • Profile picture of DG

      DG posted a new activity comment 4 years, 12 months ago

      Exactly…

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    • Profile picture of DG

      DG posted a new activity comment 4 years, 12 months ago

      Hard to keep perspective on spikes, but ironically this move in vx/markets is a one off event, rather than a real macro driver like a us downgrade or china devaluation in 2011/2015

      This was an instrument that went bad at an extremely inopportune time with low liquidity in VX futures, once its cleared up, you’ll see blend over time revert to 15-16 area

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    • Profile picture of DG

      DG posted a new activity comment 4 years, 12 months ago

      Need to see spot move lower, agree the noise from xiv will result in near term noise, needto think about long term, pull up a uvxy chart from 2011 and that will give you perspective

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