Massive VXX implosion is possible today

today can be considered a down day and with the volume on the light side we can assume selling has abated somewhat so vix might go down near term

 

thanks atticus that make sense.

 

I ran TVIX through the PriceDelta tool, it told me the best way to trade it since Dec 2010 (at least using the methods in the PriceDelta universe), was

Buy signal if price is 1.9% above the last close.
Sell signal if price is 1.9% below the last close.

If buy and sell signals occur on the same day, ignore them, otherwise trade at the next open.

Returns were 345%, 724% and 3572% for Long, Short and SAR respectively (Dec 1 until Aug 23rd).

Since TVIX is in a hold state and there was both a buy and sell signal today (Aug 23rd), it remains in a hold state.

 

Ambler, great info, thanks for the post.

Shorting TVIX proves almost impossible, at least during the spikes, because there are a million others in the universe trying to do the same thing, borrowing the shares proves near impossible. Perhaps buying XIV on margin would do the same, since shorting wouldn't give any leverage on your side anyways. What program are you using for this backtest?

 

for the record, you were 100% correct.

 

FAIL?

 

not there yet... plus i for one feel vol will be a massive buy soon. this is way too low and only a dec thing...

 

If SPX 1250 prints tomorrow, you should get it.

 

http://www.elitetrader.com/vb/showthread.php?s=&postid=3394904#post3394904

numbnuts, where's the 50-large you owe me?

 

I think teen-handle VIX is totally possible this year... though, I'll be such a buyer of that gamma (ATM, not var) if that happends...