VXX daily - mixed bag - 5/7/2016no clear direction yet, but I will start to buy if ever it closes above the blue lines, as that would be a higher high after two higher lows (and then use the blue lines as stop).
GRN trade ideas
SOLD VXX JUNE 17TH SHORT PUT... for a $94/contract credit.
Unfortunately, I forgot to jot down the metrics here.
I wanted to ladder out spreads (see Post Below), but it didn't look like those we're going to be filled, so I opted for the more flexible naked, which I can roll down and out for duration and credit if I have to. Doing that with the spreads is a bit more cumbersome.
As with all VIX/VIX derivatives, I look to money, take, run on a pop, but am shooting for 50% max credit here if I can get it.
One swallow doesn't make a summer...Nor does one spike mean an immediate reversal in a trend. But it means beginning of something!
- For example on the weekly chart last friday volatility spike means Heikin-Ashi candle body shrink = further loss of bearish momentum
- Daily builds bullish divergences further.
- Price tested Kijun once. Kijun is lower: 17,275 is the key level to watch. A break and close above Kijun can accelerate buying (volatility spike) upto 20+
- ATR is still very low
I doubt we'l see a lower low. I think next test of daily Kijun will be succesful, and we'll see VXX going higher.
I still hold my 0,5 unit long.
Amadeo Ratio 4/29/2016Watch the lines. Use this ratio with benevolence. Keep in mind that Doing is not always better than Non-doing.
VXX daily - breaking out - 4/29/2016VXX finally breaking out after a big RSI divergence. I want to see a higher low to confirm the breakout next week.
Long Volitility?If this is becoming 3 circle of (3) then the next few days should be some of the most volatile in years. Long to 44 but cut your losses if it falls to 19. So you are risking 3.71 loss for a gain of 22.
Respect volatility! Positive divergences in a supressed market.First of all, you have to realise how low the volatility of volatility is! It is visible from daily ATR. (Can I call this Gamma?)
Weekly:
- We already saw two blow ups in volatility this year, but again Ichimoku of the VXX ETF is still bearish. Upper key area is/will be 27,50-29,50
- Heikin-Ashi is bearish, but we may see a higher low this week. We have to check it again on friday close. Meanwhile pls note the positive divergence being built in haDelta!
Price reached key resistance at15,50
- EWO is bearish, but it has also been building a positive divergence.
Daily:
- Ichimoku is bearish, but Kijun is dropping lower. First reversal indication would come with a close above trendline and Tenkan, confirmation and volatility spike when Kijun is crossed too.
- Heikin-Ashi is noisy. Small doji like candles in a row. haDelta? -> positive divergence, but still hesitating ard zero line.
- EWO is bearish, with some positive divergence.
- Key levels for a reversal and for a counter long setup: 16,75 / 18,00 / 21
Conclusion: we still have time before a proper buy signal emerges, but where to start bottom fishing in Volatility if not here, with so many bullish divergencies on the charts?
Buy small, and buy more in case you see a firm Heikin-Ashi reversal signal, with price breaking above bearish supports.
Lock&LoadedDisagreement between the indicator and price is called divergence. This is a bullish one.
Amadeo Ratio 4/22/2016The chances of it going down is much greater than the chances of it going up. We need to watch the lines.
NEXT WEEK: VXX SHORT PUT VERTICAL "LADDER"With volatility sticking around these lows, I'm looking at dispersing risk across several expiries of VXX by laddering short put verticals in June, July, and September (unfortunately, there is no August expiry yet) while I continue to work my VXX short call diagonals.
Here's what I'm looking at now in the monthlies:
VXX June 12/15 short put vertical ($105/contract at the mid) (the 11 strike's a no-bid)
VXX July 11/14 short put vertical ($90/contract at the mid) (10's a no bid here)
VXX Sept 9/13 short put vertical ($104 contract at the mid)
As with all VIX/VIX derivative product setups, I'll look to take the money and run on these if they move into profit (I'm thinking 50% max, as with any credit spread).
VXX as a spox500 inverted H&S playIf there truly is an inverted head and shoulders pattern developing in the spx500, a play could be puts, but I play vxx, which is 3x shorting the spx500 or a long play on its volatiluty, which is usually down. Last couple days, market is sideways but vxx is climbing and money if flowing out of the spx500 while its price is trying to rise? That tells me that corporate stock buy backs is supporting the price of stocks, during earning season to lessen the effects of poor forward guidance. Watching the IWM for the first step down, while the large caps are trying to hold price with corporate money buying their own stocks. Artificial inflation of stock prices. I say again, and again, it should be illegal. And if we have an inverted HS, then its time to form the right shoulder, down, much like we did Nov 4, 2015.
TRADE IDEA: VXX JUNE 17TH 17/27/37 LONG CALL BUTTERFLYWith low volatility having drained premium not only out of the broader market, but individual underlyings as well, I continue to look at VIX and VXX derivatives to go "long volatility" in lieu of opting for low vol strategies like debit spreads, calendars, and diagonals.
In this particular case, I'm opting to use a long call butterfly given its high risk/return ratio, its relative cheapness to put on, as well as the large profit zone the setup generates.
Here are the metrics for the setup:
Probability of Profit: 54%
Max Profit: $910/contract
Max Risk/Buying Power Effect: $90/contract
Notes: There are a couple of different ways to manage this intratrade, one of which merely involves taking the whole setup off in profit. The alternative way is to strip off the long call vertical portion of the setup (the 17/27 wing) first as price moves up, after which you would look to exit the short call vertical wing (27/37) as VXX mean reverts (as it is want to do).
ROLLING VXX SHORT CALLSI currently have several VXX short call diagonals on, all of which have the September monthly as the back month, and with the short calls at the 16, 17, 18 and 21 strikes.
Today, with the 21, 18, and 17 short calls having lost a good deal of their value, I rolled them out to lock in profit as well as collect additional credit while I wait for a pop of some kind to peel them off ... .
BOUGHT VXX SEPT 16TH 11/MAY 20TH 16 SHORT CALL DIAGONALPutting on another VXX long setup, given the fact that we don't have many premium selling opportunities here (volatility low across the board, both in the broad markets and individual underlyings).
Filled for a $400/contract debit ... . I'll look to take these VXX long setups off at 25% profit ... .
BOUGHT VXX SEPT 16TH 12/MAY 13TH 17 SHORT CALL DIAGONALAdding to my "suite" of long VIX/VIX derivative setups, since there isn't much premium to sell in this market right now until we get into the "fat" of meaty earnings next week (NFLX, etc.).
Filled for a $418/contract debit. I'll look to take these off at 25% max profit ... .
BOUGHT VXX SEPT 16TH 13/MAY 13TH 18 SHORT CALL DIAGONALLayering on another long volatility setup here on this dip below 17.50 in VXX. (See Post below as to how to work this "poor man's covered call").
Unfortunately, there are virtually no metrics to provide with a diagonal, such as probability of profit, since it will vary depending on how much credit you collect during the life of the setup, when and how much VXX pops during its "lifetime", and when you chose to take your money and run ... . The one metric that can be provided is the fact that this setup cost $413/contract to put on, which is the extent of your loss if you allow your long call to expire worthless in September (in which case VXX would have to be below 13 at expiration). Naturally, I intend to bail long before that ... .
VIX - Comparative bottom analysisThe custom FrankenTARD algo suggests that VIX is ready to make a move up..
VXX daily - higher lows - 4/8/2016This is the second higher low on daily close, which may signal the bottom is in. I think it is a buy if it can make another higher high.
COVERING VXX SEPT 16TH 13/MAY 6TH 17.5 SHORT CALL DIAGONALI put this on on April 1st, thinking it might be a while before I could take it off, but covered it today on this pop, freeing up the buying power for another go should be strike $17 again. I put it on for $373/contract, and took it off today for a $419 credit, yielding a $42.93/contract profit in six days.
Naturally, this isn't hugely earth shattering profit-wise, it's always best to take off a VXX setup of this type as soon as possible. The contango helps your short call in the long run, but also eats away at the value of your long over time ... .
