In this video he presents the math involved , and here is his academic paper on the system. Well-written BBG story. Coincidentally I also have a...
Hmm, could roll your own version: long PUTW as the core fund then short some fraction of S&P index fund, rebalance at monthly opx ? Probably...
I watched this video that addresses several of your questions/scenarios. Knowledgeable presenter and plausible strats. Worth the time investment...
Thank you, AJ. Sitting here in HK scratching for something new to look at, you gave me a lightbulb moment.
A favoured structure for cost-efficient hedging against VIX spikes has been short 1 x 2 call spreads (backspread), with the short strike set...
Your personal Groundhog Day , AJ? Not too surprising that a high point measure might be the latest time series data point.
I believe they upload a recording of each of their 'radio' progs a few days later, either listenable on the site's player or click the headline...
https://www.optionslam.com/
Bob, what facts and evidence can you call in support of your belief that would contradict or refute some of the sources I referenced? How do you...
Sigh, more newsprint and pixels wasted on misunderstanding the VIX landscape. There is no "massive short position in VIX". That 'fact' has been...
The regulator, the CSRC, makes an announcement about planning to open up selected futures to foreign investors every year. The latest was last...
We've been too busy meeting margin calls...
All you probably want to know is here: http://www.cboe.com/products/strategy-benchmark-indexes/putwrite-indexes/cboe-s-p-500-putwrite-index-put...
Sure, but only if you can borrow it.
Thanks, Robert, noted. I need to take a hard look at my IB inertia.
Hell, yes - that prompted me to log in to TWS. Shows my Initial Margin has increased by 23% and Available Funds decreased 26% from the Daily...
Are V2TX levels at similar extreme percentiles? But I think this is more a case of IBKR's concern for the extent its customer base is short VIX...
The primary content of the email/message is quoted and reproduced in that zerohedge story. IB issued it early Fri evening. According to their...
Overnight or RTH, something of that magnitude could threaten the operations of the fund, especially as it's an ETN. Worth knowing the risk factors...
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