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]

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]

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]

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]

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]

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.

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]

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]

thanks! look forward to it

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]

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]