@dageorge42
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Dan George replied to the topic Hedging TVIX short position in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 1 week, 3 days ago
thanks! look forward to it
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Dan George replied to the topic Hedging TVIX short position in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 1 week, 3 days 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]
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DG posted an update 1 year 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]
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Dan George replied to the topic XIV Termination Event in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 1 year 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]
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DG posted a new activity comment 1 year ago
Exactly…
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DG posted a new activity comment 1 year 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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DG posted a new activity comment 1 year 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
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]