The machine learning (ML) literature sorts problems into two categories: (1) regression -- the response is a continuous numerical output (2)...
I trade closed-end funds, which have limited liquidity. Is there a mathematical model for how many shares of a limit buy order are expected to be...
Has anyone tried Alpha Trading Labs? https://www.wsj.com/articles/want-to-be-a-high-frequency-trader-heres-your-chance-1521797400 Want to Be a...
I am trying to understand how the uptick rule works. XIV closed at 129.35 on Feb-1-2018 and 115.55 on Feb-2-2018, a 10.7% drop. The SEC...
As a Merrill Edge client I have access to BOAML's equity derivatives research. In a Feb 6 2018 report they (Benjamin Bowler et al) wrote this: "A...
I have considered this strategy and would not rule it out. But remember that we have been in a bull market since March 2009. Shorting VXX means...
VIX futures closed artificially high at 4:15pm on Monday because of the trading that the managers of XIV and SVXY did. I think that when you are...
Morningstar publishes historical returns, volatilities, and Sharpe ratios for ETFs and ETNs. The data for the 5 years through 2018-01-31, before...
Even though spot VIX was low in 2017 and early this year, the carry from shorting VIX futures remained high, because the VIX futures term...
I mean "too big" relative to the overall size of the VIX futures market. A small double long ETF that needs to buy 1,000 shares at the close when...
A short ETF or ETN is inherently leveraged. When the underlying rises, it must buy back some shorts to prevent the exposure from being more...
XIV.IV , the "fair value" of XIV, is reported on IB Trader Workstation as 4.22. I think this means that XIV will be terminated, but I could be wrong.
I think the OP is being ironic. SVXY is also down big after hours. SPY is down "only" another 1.2%. I don't understand the price action.
I think you can buy XIV, but it is trading at such a large premium to fair value that buying SVXY instead makes more sense if you want to be...
A minute ago, according to my IB Trader Workstation, XIV and XIV.IV were 100.35 and 75.05, meaning a 33.7% premium! I see XIV down 14% vs. SVXY...
Today (Jan 26) the SPY was up 1.15% but XIV fell 0.64%, again departing from the usual positive correlation. Here is an article from Reuters on...
Today the WSJ has an article on this topic: https://blogs.wsj.com/moneybeat/2018/01/26/is-volatility-back/ Is Volatility Back? In an unusual...
Interesting explanation, thanks. But the correlation of VIX and SPX changes is about -80%, so usually SPX increases are accompanied by VIX drops....
XIV did great in 2017, but so far this year it has greatly underperformed what a 3-4 beta to the S&P 500 would predict. I though the prospect of a...
Regular trading in VIX futures ends at 4:15pm EST, 15 minutes later than for ETFs, so if futures prices move in that time, the returns measured...
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