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UVXY

PREMIUM SELLNG: NEXT WEEK REMAINS A "WASTELAND"Another week of wasteland for premium selling, with EWZ again topping the volatility charts for non earnings plays, although I may go small with an IWM setup in the May monthly (it's the most volatile amongst the index ETF's, which ain't saying much). I've got one more short-term RUT/IUX setup on that I will need to address, but other than that, it's going to be a light week trading wise from where I'm sitting right now. Although you can naturally dip your toe into some of the more volatile individual underlyings pre earnings, my preference is to keep powder dry until the actual announcement is upon us before diving in, and there simply isn't anything on next week's earnings calendar that meets my standards for "options playability." So, in the absence of some monumental sea change here, I'm going to be mostly hand sitting for the week on options plays, but may dabble with scalping /ES intraday and/or look for another opportunity to go long volatility in a VIX derivative, assuming we get to around VIX 13-ish.
AMEX:EWZ
by NaughtyPines
2
LOOK FOR VIX SUB-13 TO REENTER LONG IN VXX/UVXY OR SHORT SVXYHaving exited a VXX short call diagonal setup today, I'm looking at further opportunities to get back into a long VXX or long UVXY setup, and -- as previously noted, I'll be looking to VIX for guidance, since both VXX and UVXY suffer from contango and their "bottoms" are slippery slopes that are gradually eroded by contango over time. In other words, what's a "bottom" now in VXX and UVXY may not be the "bottom" next week or next month or the month thereafter if we have prolonged low volatility. You can naturally also short SVXY on a VIX sub-13 level, since it's an inverse ... . In its case, its top is the slippery slope.
CBOE:VIXLong
by NaughtyPines
MARKET PERSPECTIVE: BROAD MARKET UPTURN "UNREMARKABLE"Suffice it to say, the duration of the broader market rally from mid-February to the present has caught a large number of traders by surprise, a number of whom have repeatedly attempted to call tops or turning points that would see a major sell-off of some kind and have rued the continuation of the upward trend that has yet to meaningfully break lower. Call this upturn what you want: "irrational," "non-fundamental," "poorly structured" and posit whatever reason you like for it: petro speculation, risk off/risk off, short squeeze, comparative dovish/hawkishness of various Central Banks, algos, the Plunge Protection Team ... . I frequently say that, as a premium seller, "I don't care about market direction; I care about volatility", since volatility drives premium, and low volatility is not the friend of a premium seller. However, a more nuanced, accurate statement would be that "I care about volatility level for entry, and the degree to which the underlying moves thereafter. " So that fact that we've experienced an oversized move here is not lost upon me ... . But the fact is, if you look at the market from a volatility perspective, the upmove is not particularly unprecedented and, in the broader scheme of things, not all that lengthy in duration ... yet. I've examined the length of time the VIX spends in troughs between peaks of at least VIX >20. It's rather unscientific, but I think you'll get the drift of the thing, which is that the market spends substantial periods of time in troughs between VIX >20 peaks: they've been periods as short as 60 odd days and as long as 250 plus days with the average being about 140 or so days between >20 peaks over the previous 7 "peak to trough" periods. Naturally, some of the sustained low vol occurred during QE, so it's questionable whether we're going to have to wait another 120 odd days before another >20 vol spike and/or market downturn (the last >20 candle was the 2/29 weekly a month ago), particularly with further Fed tightening on the horizon.
CBOE:VIXLong
by NaughtyPines
UVXY contango rate projections for Apr 2016 & May 2016 Contango rate channel displayed for UVXY. Multiply your VIX projections against the numbers for April and May expirations and you should have a range that UVXY will hit on those days. Useful for knowing when to get out of UVXY options do avoid steep theta losses. Bottom indicator shows VIX needs a sustained move above 20 at this point to get out of this channel. As time goes on, that threshold will go lower (just check the value of the red line).
CBOE:UVXY
by codypd