Ahh, so we got a high print of 1931.07. Algos will be algos, boys. Great Risk:Reward for shorts here. Excellent, in fact. edit: to clarify, this is NOT on a day trading basis.. looking for swing or better yet a position trade here. Long Term. Thus, look to build a short position up at these levels, manage risk above all time highs.
As for VXX. I like long VXX itself from down here. But, not sure if we will just sell off hard today and tomorrow (certainly not out of the question now that Ole Pa is now long and bears capitulated this morning on the spike to 1934.25)... so as for buying VXX calls it might be prudent to just slowly build a position, starting now, and keep adding in the coming days as long as the index/futures highs don't get taken out.
I know I'm resurrecting a dormant thread. Isn't long vol the ideal pairing for a market making mean reversion strategy? Or am I being too simplistic?
You wouldn't be wrong in your thinking. This market is nervous, we could just as well go parabolic if we break out of this congestion. I acknowledge that a plot of mean reversion strategy returns looks like a short (straddle) vol position. How would you determine the size of the exposure. A guess : You may already be doing a scatter plot of your daily returns. The summary statistics of recent returns could give you an idea on how much size and spread your long vol exposure should be. Tell me if you have an easier way.
Its funny...everytime the vix has surged past 20 it has equaled a buying opportunity in stocks....nearly everytime in the past 5-6 years....can the same thing be said that everytime the vix falls to the low to mid teens its time to sell equities and start to add protection against the upcoming selloff? I have noticed everyone talking about buying equities when the vix is above 20 but I never ever hear anyone saying its time to sell stocks when the vix drops to multi year lows..right now the vix is just about 15...down pretty heavy from just 2 weeks ago...looks like all the fear and volatility has been drained out of the markets once again as usual with volume drying up....