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SVXY trade ideas

OPENING: SVXY LONG SHARES + "TERMINAL EVENT" PUTI've done several posts on how and when to mechanically short volatility with VXX, UVXY, and VIX short call verticals and SVXY short put verticals with the focus being upon an entry when the VXST/VIX ratio is greater than 1.00 and (ideally) higher.* You can naturally wait for those events to occur and then do one of these "one-off" plays with a set expiry, looking to take advantage of inevitable contango drift.** If you're the impatient sort and just want in, you can dollar cost average into a short VXX, short UVXY, or long SVXY position with short shares (in the case of VXX and UVXY) or long shares (in the case of SVXY, since it's an inverse). Because I'm not particularly fond of the various warts associated with a short shares position (on margin, heart attack on VIX spike), I'm opting for SVXY long shares here instead. Notably, SVXY long shares have their own warts: (a) they're pricey compared to VXX and UVXY; and (b) the underlying is subject to a "terminal event" -- an event where the VIX spike is so dramatic and profound that SVXY goes to zero. To "cover" that remote possibility, I've bought the cheapest, deepest out of the money long put there is -- the January 18th 2019 2.5 put (currently 439 DTE), which I'll leave in place as I accumulate SVXY long shares either on VXST/VIX ratio spikes or on a dollar cost averaging basis or both. The first set of shares was bought at 106.25. As you can see by the chart, this wasn't an ideal entry (there was a VXST/VIX >1.00 event on 10/25 shortly before I bought these when SVXY dropped to 94), but the notion is to accumulate shares over time and let contango work its magic as opposed to fretting over "surgically ideal entries." * -- I like a ratio of 1.15; 1.00 seems to produce too many occurrences. ** -- I will, in all likelihood, continue to do those "one-off" trades, although we've had very few of the >1.15 VXST/VIX ratio events this year to take advantage of.
AMEX:SVXYLong
by NaughtyPines
24
OPENING: SVXY SEPT 15TH 79/81 SHORT PUT VERT... for a 1.03 credit. I put this on "on the fly" on Friday. Basically, I'm looking to get a credit equal to max loss with these, so I put this in-the-money short put vertical on for a 1.03 credit with a buying power effect of .97 (risk one to make one) with the notion that contango* will erode the position running into expiry ... . Notes: Will look to "money, take, run" at 50% max. Currently, you can still get into a similar play; it'll just be lower down the totem pole: the Sept 15th 74/76 is paying 1.05 at the mid with a buying power effect of .95. The underlying is fairly illiquid, so don't settle for anything less than the mid price ... . * -- In the case of SVXY, an inverse, contango erosion causes the underlying to increase in value.
AMEX:SVXYLong
by NaughtyPines
3
SHORT VOLATILITY RELOAD: SVXY DEC 16TH 62/65 SHORT PUT VERTICALUsing the Bollinger bands as a guide, I'm looking to reload a short volatility play should I be able to get a fill for the right price ... . Here, I'm looking for the basic 1/3rd the width of the spread for a fill price (i.e., 1/3rd of 3 = 1 or $100). I'm setting it up as a GTC order that will expire some time next week. I'll then have another look at the Bollinger Bands, see if they've changed and tweak my spread accordingly. If it gets filled at some point, I'll look to manage it at 50% max profit or $50/contract. As always, these short volatility plays are a "money, take, run" proposition.
AMEX:SVXYLong
by NaughtyPines
OPENING: SVXY NOV 25TH 72/74 SHORT PUT VERTICALI did this one on Friday on the volatility pop we had, but didn't get a chance to post ... . I got it filled for an $87/contract credit, but could have done better were I to have had time to do some price discovery. SVXY isn't the most liquid thing in the world, so it pays to be patient and fiddle with getting a fill $5-$15 above the stated mid price. Here, I'm looking for volatility to collapse going forward from these levels which, for SVXY, means that it will move upward with both the combination of VIX collapse and contango. If I'm unable to take profit at 50% max of the setup at expiry, I will roll it forward for duration and credit ... . Notes: Variations on this play: look to sell an ATM short call vertical in either VIX, VXX, or UVXY, assuming that VIX remains at this level for a period of time (e.g., a VXX Nov 25th 33/36 short call vert; $93 credit at the mid; max loss/buying power effect: $207/contract).
AMEX:SVXYLong
by NaughtyPines