VXX
S&P 500 - shortVIX closed last week on the lowest level since august 2015 – and we all remember what happened then. This, combined with the highest ever level for S&P 500 make me a little cautious in the short term. Move up in S&P 500 looks somewhat tired. I believe market needs some rest and is ready for a small correction. So here is my idea for the trade:
buy AMEX:VXX (iPath S&P 500 VIX ST Futures) in anticipation of S&P to decrease to 2100-2090 level in the next one to two weeks or
sell short CME_MINI:ES1! (S&P e-mini futures) with the target 2091-2085.
As usual, watch your risk and follow capital guidelines.
S&P Pullback Then Continuation To New HighsAs I noted in this idea from a week ago, we were going to new highs, which we did, but now we're ready for a pullback before continuing on. I think the chart has one more bounce up in it, but then we'll come back to the 2070s before going to 2185. The Day/Weekly/Monthly COGs/CMF/Waves all look strong, but haven't broken into any higher levels of momentum, so the earlier time frames are going to pull us back. 2148 is my target, but I might get in earlier than that.
SPX looking to pull back after July 4th Weekend.Hi, this is my first published chart on the site. Keeping it simple this is what I'm seeing after the last brexit week recovery. To me it looks as though there is enough information to warrant the creation of a new downtrend channel based on the lower highs after 6/8/16. I don't know if SPX/ us markets will open higher on july 5, but I currently think a market pullback will be the next move. Good luck and any comments and feedback are appreciated.
QQQ/VXX Ratio 6/24/2016Watch the lines. This is the first time I publish this ratio and it looks like it is about to drop.
VXX daily - watch the blue resistance - 6/24/2016It closes the day above 50 DMA and right under the blue resistance. A breakout can quickly send it to $26 area.
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.
About to hit the top of the trading range - FOMC aheadThe market's reaction to Friday's jobs report created another Doji near the top of the trading range in $SPY.
The sentiment remains bullish as $SPY was able to erase most of the losses it opened with following the grim jobs report.
210-212$ is the immediate resistance zone but don't count out the option for a spike to take stop losses above previous record high
Tomer Jakov, The MarketZone
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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 ... .
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.
ROLLING JUNE 17TH, JUNE 24TH VXX PWCC SHORT CALLS OUT ... .These short calls are both parts of poor man's covered calls (PWCC's) in VXX, the long-dated long calls of which are in the September expiry ... .
The June 17th 18 call had lost over 65% of its value, so I opted to roll it here to the July 8th 15.5 short call (as close to the 75% probability out-of-the-money strike as I could get) for an additional $68/contact in credit.
Similarly, the June 24th 18 call had also lost over 60% of its value, so I rolled it to the July 15th 16 short call for an additional $56/contract in credit.
Although it's great to be collecting credit along the way, as with any covered call -- poor man's or otherwise -- you will need price to increase above your cost basis to bail on the trade profitably ... . At the moment, I'm looking to exit the current setups for what I originally paid for them, essentially keeping the credit collected as my profit. However, as we near that September expiration (it's still a bit of ways away), I may have to look at what my scratch point is for each and possibly settle for less if we don't see a pop soon here ... .
Trendline support reached today on $VIX? Number of touches on this line show a consolidation or bounce may be time to leg into some VIX plays. Volatility should pick up soon. $UVXY is not a good swing but a good day trade if picks up.
SPY - Break out to $ 213 level!Everybody is short and skeptic! Market will cut BEARS off guard!
Ready for massive move to the upside!
(S&P Down) VXX long opportunity comingVXX flat out price, escalating volume, RSI divergence, all suggesting S&P dive near.
ROLLING VXX JUNE 10TH 17.5 SHORT CALL TO JULY 1ST 17 SHORT CALLThis is part of a poor man's covered call setup in VXX, the back month of which is a September VXX 12 long call.
I'm being somewhat mechanical here in rolling the 17.5 short call to the July 1st 75% probability out-of-the-money short call. I say "somewhat mechanical" because the usual thing to do is to wait until the short call is near expiration and then roll it out for another 30 days (assuming you haven't yet taken the whole setup off in profit before then).
The notion here is to have my three VXX poor man's covered calls kind of straddle Brexit/FOMC, which is when I think the best chances for a volatility pop will occur.
In any event, picked up an additional $56 credit for the roll, further reducing my cost basis in the long. Given the credits I've received so far for the rolls, I'll look to take the entire setup off for what I paid for it ($418/contract). The credits collected for the rolls will be my profit for the setup.
DXY/VXX 5/13/2016Plenty of idiots are still long this ratio at this level. Watch the lines. Being short this ratio has much more upside than being long this ratio at this point.
