MTM you have to elect and apply with the IRS. TTS needs no election or application. It is simply business expensing. If you feel you qualify and...
Your spreadsheet is comparing apple to oranges. Not to mention that half your data points are from before vix derivatives started trading. But not...
Who is the whole VIX world? The Najarian bros? Perhaps a bit muted but certainly nothing record breaking when you compare apples to apples, IMO....
Actually, that's pretty spot on. It runs along the lines of what i do every day. I would take correlation risk over delta risk any day. Tails are...
Contrary to popular belief you should be selling vol when the vix is low and the market is dead. There’s some exceptions but if you run your stops...
Nothing green about my PnL though. :banghead:
Are we in contango yet? Let me know so i can turn my screens back on.
In this case you won't be able to solve for the convexity without running the risk of overhedging. You just have to kind of pick your battles.
Is this for academic purposes? If not, then may i ask what exactly are you trying to hedge? Obviously it would depend on purpose but I find...
I always found the emotional aspect the hardest, especially if you are risking your own hard earned capital. Too much complacency in the good...
High end in Chicago has also topped. A lot of price reductions in many of the top tier buildings. Own to rent ratios have gotten absurd. For...
Turn off the screens and hope for a bounce.
The “smart” VIX model that I have gives me the expected forward vol at certain levels on the SP - 1SD , 2SDs, etc. ES to VX ratio is then...
Not absurd at all. You can structure a vxx/vx pair and lean your vol exposure whichever way you wish. But again, unless you are deploying the long...
What do I get in return for sharing some of my VIX magic? :)
Ironically, this is precisely when you should be entering not already be in it from some random price scrambling to hedge ;) The thing is that...
Just a simple $risk hedge. No adjustments. I like to think that my magic lies in picking the right price/duration to sell and not in any tinkering...
I find hard deltas to be the best hedge. I often(not so much lately) run a short ES short VX futures pair if i see some decent convergence potential.
Sell 90-100d forward vol and cover at t-60. Stop loss at 5% down on the spoos.
That's a silly generalization. Not all short premia strategies are made equal. In 2017 VXX went from 100 to 25. Not exactly pennies. For a passive...
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