I don't see how averaging down on long vol will make a good play. the decay and drawdown will erode the capital. A better trade is, when VIX spikes average down on short vol.
Thats why u shd never buy and hold long on vol for a long time. This is akin to yoloing on puts when market is rallying...?....
I just can’t watch this rally with no pull back and not get long volatility ... if I am wrong, so be it but September is coming and all the rest of it - got to try.
Concurred. Look at the VIX chart for it's whole history. If you can survive the level of 9ish, what is the risk? Well, the risk would have been something like XIV. And we all know how well that one worked.
It will be very very interesting to see how the VolQ works out, because as we all know, Nasdaq is a monster of volatility compared to the SP.
Look at what contango and backwardation does to a derivative. You can only trade VIX as a future hence it has a cost of carry. 20,000 invested in uvxy in 2016 would be worth 20 bucks now. When vix is in backwardation shorting vix can be profitable. There is no free chicken dinner.
I never followed the CBOE future structure on my charts. Extra fees and whatnot. I tried it for a while back at beginning of year, but could not extract value from it. We'll see on the CME attempt at a vol future. Could be good, could be bad. With the micro options, I imagine those folks will love these new tools in their toolbox.
https://openrepository.aut.ac.nz/bi...690/Zhu_Lian_JFM_1.pdf?sequence=7&isAllowed=y An analytical formula for VIX futures and itsapplications https://www.tandfonline.com/doi/pdf...nBy8DXgzqvg0CMgArSOk25plMZZzzioAh9QddMWo8sAuF Consistent Modelling of VIX and Equity DerivativesUsing a 3/2 plus Jumps Model