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UVXY

SPX500 Trade Plan if a key pivot is inThe chart shows a modified schiff pitchfork based on the Brexit panic drop and assumes a pivot is "in" from Friday's close. That is a big "if" but basis for it is: - Weekend headlines on Brexit are thin on immediate consequences, - Google analytics show loss of interest in "brexit", "nasdaq" and "S&P500." The later 2 don't happen when retail investors are worried about their 401Ks (see here twitter.com) - Normal impulse / correction dynamics point to a retrace once immediate impulse is over. That may have been Friday. Point is, if SPX500 opens higher and holds, the key Fibonaccis line up very well with a flat top kumo at P3 and the 50% fib (which was predictably hit intraday on Friday) and the higher 61.8% fib lines up very neatly with a key support / resistance line from the last 2 weeks of trading. The next fib conveniently coincides with 2100 - a nice number that many will judge as a "finish line" for this event to be over. I am expecting the 2081 fib to be where the corrective move ends. We will see - many may get FOMO and move us to 2100. Notice the price path never hits the medial line on this pitchfork. That is my seasonal pessimism. Keep in mind the key pivot here (P4) is by no means confirmed - this is all based on an assumption. If we open / hold lower then this plan gets thrown out. I will trade this with some new ITM put sales on SPY and selling some UVXY puts that I already have in inventory when the key fibs are hit. I will also buy some OTM UVXY calls when those fibs are hit. My hedge are puts on USO and some drillers that I bought last Thursday - if #brexit translates into immediate recession (I don't think it does) that impact will be signalled with a decisive Oil top. Oil has already looked toppish so it was a good hedge - notice that WTI lost a greater percentage than SPX500 on Friday. I am also researching how to trade oil volatility and may hit that topic in a separate post.
FX:SPX500Long
by codypd
WHAT IS LIKELY TO HAPPEN WITH UVXY & VOLATILITYGiven the size of the move on Brexit, volatility futures markets are likely to hit a period of sustained backwardation. Pictured here is what backwardation has looked like (red channels) and how it is likely to unfold now (orange tick channels). The channels you see are drawn around UVXY/VIX. The fact that UVXY normally loses value over time is due to contango in the VIX futures markets. In times of crisis, the VIX futures go into backwardation (where the price for a short term contract on something is higher than the long term price). When backwardation occurs, UVXY starts gaining value every day relative to the VIX. The chart shows a period last January where UVXY did just that. If Brexit works out as the same sort of crisis, we can expect the current UVXY/VIX ratio to move from .6 today up to .8 in 4 weeks. From there a bottom should be found and the normal contango structure (with UVXY price decay) resumes. How to play it? You can buy the dips on UVXY and calculate targets based on the VIX top you expect * the ratio for the day on the chart. You can also use the same technique to judge which strikes to pick on buying UVXY calls. Same goes for selling puts - find a price likely to expire out of the money and collect premium. VIX derivative premiums will appear obscenely high ... use the ratios and prior VIX spike paths to calculate good strikes and values. The indicator on the bottom simulates the UVXY roll trade - the black line is the average of short term volatility prices and the red is the average of the midterm, offset by 30 days. When the black is over the red then the volatility options that are sold by Proshares that day are sold at a profit (for more than they cost when they were midterm futures). Keep a cool head - volatility comes and goes. Do the math and understand the structure and you can make money in either direction.
CBOE:UVXYLong
by codypd
5
Update - Potential 15% Correction within Days for the S&PSo my timing was significantly too aggressive on the 15% correction / inverted H&S continuation idea from two weeks ago, but the idea is still the same... except now we finally have confirmation of a break of the uptrend on the weekly chart in the Ehler's Center of Gravity indicator, one of my favorites for determining if a trend is increasing, reversing, or continuing. I think we get a jump up Monday/Tuesday (bullish divergence on the 2hr/4hr) and then a drop to complete a H&S reversal pattern on the daily and the fall continues through BREXIT until we reverse into a new bull trend once we reach the lower 1800s. Check out my original idea for more details. The inverted H&S continuation pattern is still a possibility to come true. Edit - Most likely we'll only hit 2097ish, which is the uptrend channel from the bull run since february. I'm thinking that we won't be able to break into that... so TP1 - 2097, TP2 - 2015.
FX:SPX500Short
by gLloW
1
PLANNING FOR THE FADE OF VIX/VIX DERIVATIVE SPIKESStarting in April, I started to put on long dated long-volatility plays, using dips in VIX as my guide for VXX setups. Now I'm looking ahead to what I should do to fade a spike. As previously noted in posts, I look to VIX as my guide for trades in VXX, UVXY, and SVXY, since these instruments suffer from contango and, because of that, it's difficult to call "levels" in those instruments. Fading volatility products can be tricky for a couple of reasons, not the least of which is the fact that "the ceiling" is no where near as clean as the floor and the fact that the implied volatility of volatility collapses as price declines (the inverse of what happens, for example, when SPY declines -- implied volatility increases ). In scenarios where I anticipate a volatility collapse, I generally want to use a premium selling strategy to take advantage of that; the converse where I anticipate an implied volatility expansion. So, how and where should I do that in VIX/VXX derivatives? As a rather crude guideline, I'm looking to fade either VIX or VIX derivatives at VIX between 20 and 30 (naturally higher is better) with a particular focus on something above 25 (that late August 53.29 spike looks "anomalous" from where we're sitting now, but you never know). That's the "where." Because this is a volatility contraction situation, I'm looking at premium selling setups to fade, whether they be in the form of a simple short call credit spread (in VIX, VXX, or UVXY) or something like a diagonal, where the back month expiry is later than the front month, so that I can roll out the short call to collect additional credit if the setup needs additional time to revert to its mean. (Keep in mind that SVXY is an inverse, so you would either go short put credit spread or put diagonal). And that's the "how". In all likelihood, I'll look to VXX, UVXY, or SVXY for this particular setup, since I'll get the added advantage of contango working for me to the short side on the fade -- something I won't get if I go with VIX options ... . A Sidenote: I know that some people want to short VIX/VIX derivatives with longs puts. I could contemplate doing that if we get a spike to VIX 30 and if, for example, VIX 20 puts become incredibly cheap (<.10 contract) and you can get them in an expiry that allows for plenty of time for a reversion to sub-20 levels ... . Naturally, you just have to look at options pricing if a spike like that occurs to see if a "lotto" trade with a reasonable chance of success surfaces.
CBOE:VIX
by NaughtyPines
Potential 15% Correction within Days for the S&POne of my favorite parts of analyzing and trading stocks is sleuthing through charts to find hidden and not so obvious candlestick patterns, and I believe that I may have found a massive one on the S&P. There is the potential for an Inverted Head & Shoulders Continuation Pattern that stretches back to 2000. When using the lower line of the uptrend channel from 2009, the left shoulder lines up lines up perfectly to form a Bull Flag as shown (Week of June 13th 2016) These patterns mesh well with my WaveTrend analysis. There is a strong bearish divergence on the Daily Wave which needs correction, but the Weekly Wave has gotten very strong and will only allow a minor (15%) pullback, there won't be a crash (that comes later). There is bearish divergence on the Monthly Wave, but that won't come into play until all of the extra power in the Weekly Wave gets used up. With all of that said, the S&P doesn't look like a chart that is about to crash. The Day/Week/Monthly Waves are all positive and above zero... but I can see how it can get ugly quickly. A break of the uptrend line from Feb 8th could make things fall quickly. A potential catalyst for this break is the impending decline in oil and commodities. I am projecting that the dollar is going up to $98 in the next week and oil is pulling back 25% to $37 (the last two large corrections since August have coincided with declines in Oil). Couple this with some BREXIT fears and/or some China drama and we have formula for a swift and unexpected correction... which will be saved when the Fed swoops in at their June 14th meeting to lower interest rates, sending stocks back up and crushing the dollar. Odds are that this won't happen, but the potential is there and I will be in position... and while it would be nice to profit from this move, I'm mainly excited for the possibility that this massive pattern may actually come to fruition.
FX:SPX500Short
by gLloW
1
SUB-15 VIX SPELLS A CONTINUATION OF THE BREAK IN PREMIUM SELLINGUgh. In spite of abysmal non-farm payrolls, the week ended with the VIX still in sub-15 territory, meaning that less than 45 DTE premium selling in the broader indices is "off the table" for another week in the absence of something earth-shaking occurring in the markets here. This could come in the form of the most recent "Brexit" referendum poll, which shows the "Brexit" vote moving into a narrow lead over the "Bremain" constituency, albeit with a fairly large number being currently undecided (43% Brexit; 40% Bremain; 17% unwilling to commit to a camp). (GPBUSD is off 100+ pips in early Asian trading; the Euro, largely unfazed). Aside from broader market instruments, there is nothing popping in the ETF space or in individual underlyings for me to play. My "picky" standards are for an implied volatility rank of 70% plus, a greater than 50% implied volatility, and relatively high options liquidity, and there hasn't been an underlying that meets those criteria in several days. GDX and GDXJ, however, continue to flirt with an implied volatility rank in the 50-65 range, which could easily have them pop to the forefront here and make them playable in the next several days depending on what happens with gold here (it popped on the poor non-farm's). And so, I continue to watch for a bit and manage the trades I've got on now. Here's what I'm gandering at: FXE/EURUSD: With the Euro, I'm looking for price to revisit 1.14+ to get in short via an FXE directional play (so pissed that I missed that spike to EURUSD 1.16), but I want to wait and see how the Brexit uncertainty plays. TBT/TLT: People just don't want to give up their treasuries here, in spite of the fact that we're quite close to all-time highs in the S&P. In a tightening environment, the general notion is to short treasuries, but if TLT is here at this point in the S&P's trajectory, where's it going to be if the market engages in a modest corrective dip? Higher, so best to wait for TLT to digest the crappy non-farm's for a directional play short or, inversely, a directional play long in the inverse TBT. VIX/VIX Derivatives: The long vol trade has been disappointing, to say the least, in the short term. Volatility has absolutely caved and contangoized instruments like VXX and UVXY have given up even more. However, there still might be long vol opportunity here, but I'm going to be awfully picky since I already have some long VXX trades on. I'm still looking for the golden sub-12 "moment" in VIX to go long in that instrument with something akin to what I set up in VXX -- a poor man's covered call with the back month far out in time and deep in the money and the front month at the 75% probability out of the money strike. Naturally, we may never get there ... . Oil: I'm looking for short opportunities if I can get them or, in the alternative, a premium selling play on high implied volatility in one of the oil ETF's (XOP, OIH). It looks sideways or consolidative here, and the implied volatility in the ETF's I ordinarily play isn't enough to bother with yet ... .
CBOE:VIX
by NaughtyPines
UVXY OPTIONS -- NEARING DANGEROUS REVERSE SPLIT TERRITORYBecause UVXY is subject to contango, it periodically has to undergo reverse splits to keep it from going to 0. The last split occurred in May of last year, when UVXY was sub-10 and it is getting close to that area here. In a nutshell, reverse splits wreak havoc with options positions ... . I won't go into the nitty gritty details here, but the Options Clearing Council (OCC) has a specific manner in which it handles options in reverse split situations, the result of which is "non standard contracts" with potential liquidity issues. Because of these concerns, I'm shying away from playing UVXY via options at all until after the split occurs or there is a volatility pop of sufficient depth to save it temporarily from a split. There are, after all, other instruments in which I can go long volatility without the headache of a potential reverse split occurring in the middle of my trade -- SVXY short (which appears to have dodged the split bullet for a while), VXX long (although there are even concerns with reverse splits in that instrument if volatility continues to hang in at low levels), and, of course,VIX options.
CBOE:UVXY
by NaughtyPines
6