Recent

% | $
Quotes you view appear here for quick access.

ProShares Ultra VIX Short-Term Futures Message Board

bustin_ur_chops 809 posts  |  Last Activity: Aug 17, 2015 11:30 AM Member since: Mar 17, 2013
SortNewest  |  Oldest  |  Highest Rated Expand all messages
  • Reply to

    Where else can you short an ETN

    by tremulousbovine Aug 11, 2015 1:02 PM
    bustin_ur_chops bustin_ur_chops Aug 17, 2015 11:30 AM Flag

    "So it's a "negative list" program with Fidelity"

    As TB has posted, Fidelity lists securities for which you must pay a short sale rebate as "HTB" (hard to borrow). I've never seen the term "negative list"...

    The interest rate pales compared to the gains of selling short these instruments.

    To sell geared (leveraged and inverse) ETPs short you must also sign a "designated investments agreement".

    Bustin

  • Reply to

    UVXY strategy update

    by tremulousbull Jul 23, 2015 4:50 PM
    bustin_ur_chops bustin_ur_chops Aug 7, 2015 1:06 PM Flag

    Great play!!

    Oct futures currently at 16.15; There is an excellent chance that they will close less than 14.5 when Sept futures expire in 6 weeks and I am willing to speculate on a UVXY close of 20-21 by Sep18 expiry.

    I just bot UVXY Sep18 24/21 put spreads for $1.39 and 22/20 for $.78.

    Bustin

  • bustin_ur_chops bustin_ur_chops Aug 5, 2015 1:36 PM Flag

    Yes, the UVXY put premiums are quite high and, imo, payout is poor. However, spreads still work if you pick the right spots, especially after a VIX spike. Because with the spread you are paying that premium on the long leg but also collecting by selling the short leg. I bot a smorgasbord of UVXY spreads during the late July spike, all now deep ITM with 100% return.

    For someone who is extremely risk adverse, the Jan17 10/5 debit put spread on UVXY might be attractive. With a midpoint of 2.83, one would have a 76% return over 18 months.

    Average monthly beta decay of 4% and contango of just 5% produces a projection of 2 bucks. Even if UVXY were to double in Jan 2017, the spread should still succeed, imo, at a 95% confidence level!

    Bustin

  • bustin_ur_chops bustin_ur_chops Aug 5, 2015 1:08 PM Flag

    "What SVXY call spread would you recommend buying now for January 2017? It looks like bid/ask is very wide on those. My SVXY target is $200 by then."

    However, I think that projecting a range for UVXY 6 to 8 months in the future has a higher predictive value than any estimate of SVXY. Hence I prefer to buy UVXY put spreads with a 6 to 8 month horizon at a cost of $.50 for a $1.00 spread.

    But premiums have risen dramatically in the nearly 3 years I've been "playing" these instruments. I prefer to just add to my TVIX/UVXY shorts monthly and to sell monthly 20% OOM UVXY puts against my short position to collect premium.

    Bustin

  • bustin_ur_chops bustin_ur_chops Aug 5, 2015 12:56 PM Flag

    "What SVXY call spread would you recommend buying now for January 2017? It looks like bid/ask is very wide on those. My SVXY target is $200 by then."

    The strikes for Jan 2017 only go up to $140. The narrowest spread is usually the most profitable with the short leg set near your target price. If your target is $200, then a 195/200 spread, if availabble would be the most profitable.

    Presently, the 135/140 has a midpoint of $1.05. Just march down the spread combinations, choose a spread and bid at midpoint or just above.

    Currently I think that the 120/125 has the best risk/reward, In fact, I just bot a handfull of that spread for $1.37 which will provide me a potential payout of nearly 4:1.

    That's a bit more than the $1.30 debit I paid last December for the 100/105 Jan17 spread!

    Bustin

  • bustin_ur_chops bustin_ur_chops Aug 5, 2015 11:32 AM Flag

    "Rest assured this will never see $6 again and will be $1 or lower by Thanksgiving."

    This most likely will be lower by Thanksgiving, but a buck or less???

    That would require monthly 18% contango, 4% beta decay, and a closing VIX less than 14.

    I think that $2.50 to $3.00 is a more reasonable target.

    Bustin

  • Reply to

    Class action lawsuit

    by poobear3000 Jul 21, 2015 6:40 PM
    bustin_ur_chops bustin_ur_chops Jul 21, 2015 8:16 PM Flag

    "We need a class action lawsuit. I have lost about 9000.00 on this trading in and out of it. Today I had hoped to recoup some losses. Bought 10,000 shares this morning at 6.00 expecting a bounce to 7.00. Instead it closes down while the market is way down!!! This us BS!!!!"

    You've lost money because you bought an instrument that you clearly do not understand.

    The general market went down but 95% of today's price mvmt of TVIX was based upon the price action of Aug VIX futures. They were unchanged today.

    July VIX futures expire with the SOQ tomorrow morning.

    As I type those Aug futures are up 2%. If those numbers are unchanged at market open, TVIX will open up 4%.

    Bustin

  • Reply to

    Class action lawsuit

    by poobear3000 Jul 21, 2015 6:40 PM
    bustin_ur_chops bustin_ur_chops Jul 21, 2015 8:04 PM Flag

    "Does UGAZ decay over time?"

    Of course. It suffers both from contango and the enhanced beta decay of triple leverage...

    Bustin

  • Reply to

    TVIX Syndrome

    by electrowing Jul 18, 2015 11:11 AM
    bustin_ur_chops bustin_ur_chops Jul 21, 2015 2:53 AM Flag

    ". If you are going 6 months out where it is trading at today, what kind of a price point do you pick? Like maybe $30/$15 put spread, or do you go out of the money? Thanks in advance"

    Hey, bull, I just posted a long screed on the SVXY board but it keeps getting deleted here.

    I buy OOM. Currently own Jan 20/15 UVXY puts purchased last month at $2.20 debit. I give it a 75% Prob of finishing ITM as outlined in SVXY note.

    March 2016 options have just listed; I'll be pouring over those soon. There are no great bargains in Jan 2017 leaps but there are excellent payouts for SVXY leaps. However, as we have seen in past 12 months, volatility of volatility can wipe out all gains. I can safely predict future ranges for UVXY/TVIX, but not SVXY.

    In regards to high premiums: yes, you are paying high premiums for your long puts but, with option spreads, you collect those same obscene premiums on the contracts that you sell!!!

    Play the dark side,

    Bustin

  • bustin_ur_chops bustin_ur_chops Jul 21, 2015 2:38 AM Flag

    Hey, Joey, hope all is well!!!

    "and my mind is shot"

    Most of us should have a mind as shot as yours at your "old" age, whatever that might be. !!!

    Bustin

  • Reply to

    bustin chops

    by nefariouswu Jul 19, 2015 12:28 PM
    bustin_ur_chops bustin_ur_chops Jul 21, 2015 2:35 AM Flag

    "I'm sure you've heard this before but you should become a money manager. Two things: 1) some would say you "owe" others your expertise since you can improve their lives. Second, from your viewpoint- they returns are the best of all time. "

    Thanks, Bob. Actually, I've just had a great 3 year run since stumbling upon these VIX proxies: great math but also great luck

    I'm a physician. I did "owe" that other expertise and, hopefully, I have improved the lives of many.

    And, Bob, there is a HUGE difference between managing your own money versus OPM, other people's money.

    Play the dark side but stay hedged,

    Math rocks!!!

    Bustin

  • Reply to

    bustin chops

    by nefariouswu Jul 19, 2015 12:28 PM
    bustin_ur_chops bustin_ur_chops Jul 21, 2015 2:15 AM Flag

    "Just wondering any chance you could give a little color on how you pick a UVXY spread. Right now it is 27.50, I see the January 20/15 put spread could be bought for 2.50 for 100% gain. Heck UVXY could be 50 cents by then if the VIX for example would go down to 6 or 7"

    First, Wu, one must make assumptions and assign probabilities to outcomes.

    There is .0001% chance of the VIX dropping to 7, IMO.

    There is ~95% chance that VXX will be lower in 6 months than it is today and ~95% chance that beta decay will exceed 2%/month.

    next use the formula for exponential decay V(t) = V(0) * e^(k*t)

    e = Euler's constant
    k = monthly decay, expressed as a negative number. (pos number for exponential growth)
    t = number of time units, in this case months

    plug 27.5* e^(-.12) into Google and the result is 24.4

    I would predict with 90% certainty that UVXY will be no higher than 24.4 by Jan expiry.

    Now adjust your assumptions and assign probabilities:

    Where will M2 be at expiry?
    Will average monthly beta decay be 2, 3, or 4%?
    What will average monthly contango be?

    Now allow k= -(beta decay + contango*2) and adjust results for 2*percentage change in M2 during time period t

    check payouts for various spreads and purchase spread where benefit exceeds risk.

    Personally, I bot a handful of those Jan 20/15 spreads in June for 2.20. I think that there is ~75 % chance that this spread will finish ITM. For example UVXY will decay to 15 if M2 closes at 14.5, beta decay is 2% and contango is 4%/month. Will also decay to 15 if the M2 rises to 15.5, monthly beta decay is 3% and contango averages 5%.

    Probabilties that I assign are purely subjective on my part.

    If there is a VIX spike in mid Jan, this spread will more likely expire worthless.

    But, Wu, whatever you do you should dabble small amounts.

    Bustin
    PS: I find poor relatively poor returns for Jan 2017 leaps. And I just noted that March 2016 options have just listed...

  • Reply to

    bustin chops

    by nefariouswu Jul 19, 2015 12:28 PM
    bustin_ur_chops bustin_ur_chops Jul 21, 2015 1:14 AM Flag

    Thanks, Wu.

    We should both be lucky enough to build $5M portfolios and exit the game!!!

    "Wow Bustin- 85%! Phenomenal! If I could make about 100% per year for 10 years, as you seem to be doing, my 80K would be worth close to 100 million, though admittedly I would sell when I got to 5 million or so and get out of the markets forever. "

    Bustin

  • Reply to

    bustin chops

    by nefariouswu Jul 19, 2015 12:28 PM
    bustin_ur_chops bustin_ur_chops Jul 19, 2015 1:14 PM Flag

    Hey Wu:

    I am saddened you read of your mkt losses. It appears that PGN was a real dog. Sadly you practiced poor market discipline and risk mgmt and failed to exit a losing trade.

    The keys to making money trading volatilty include thorough understanding of contango and futures markets, thorough understanding of how these ETPs work, and thorough understanding of the VIX futures curve which is best demonstrated at VixCentral. And, of course, hedging and portfolio risk management.

    And you shouldn't dabble with options unless you understand them as well.

    I wrote a piece on iHub over a year ago regarding self education. Google "VIX proxy primer". There are 2 parts.

    Currently my portfolio is

    10% short TVIX and UVXY,

    30% a large assortment of SVXY call spreads and UVXY put spreads with expiry of SVXY extending out to Jan 2017. I'm 10% partially hedged with SVXY put, VXX call spreads, and UVXY covered puts. Each spread has a minimum 100% max payout per 6 months. Max loss of each spread is 100% of premium paid.

    My winning trades far exceed those that expire worthless.

    20% long term call spreads of favorite companies (ILMN, REGN, SYK, DIS, MTD, SBUX)

    20% double short 3x leveraged ETF pairs that are market neutral. These are also a source of cash if needed.

    20% cash

    My VIX trades are up over 100% this year and my total portfolio is up 85% YTD.

    Best to you,

    Bustin

  • Reply to

    TVIX Syndrome

    by electrowing Jul 18, 2015 11:11 AM
    bustin_ur_chops bustin_ur_chops Jul 19, 2015 11:59 AM Flag

    Thanks, Bull, i'm going to study your approach.

    I also believe that the best play with UVXY is buying debit spreads expiring 6 months out with the exception of a closer expiry during a VIX spike where I can often harvest a 100-200% spread return in a very short time frame.

    I no longer short new positions of UVXY because HTB rate has grown to 17% with Fido. However, I do sell weekly or monthly puts against that position. I continue to add to my TVIX short monthly since March 2013.

    Best to you,

    Bustin

    PS: Those adjusted options can get very confusing...

  • Reply to

    TVIX Syndrome

    by electrowing Jul 18, 2015 11:11 AM
    bustin_ur_chops bustin_ur_chops Jul 19, 2015 11:50 AM Flag

    Thanks! LOL!!!

  • bustin_ur_chops bustin_ur_chops Jul 19, 2015 9:53 AM Flag

    Thanks, Ralph.

    Having another great year with the VIX ETPs. However, I'm mainly buying long dated SVXY debit spreads and UVXY PUT spreads 6 months out. I have some SVXY ATM leap calls against which I sell weekly or monthly OOM calls whenever the VIX plummets as is the current situation.

    Furthermore HTB rates have dropped significantly on many leveraged ETPs (excepting UVXY) and now double shorting triple leveraged pairs with nontrending volatile underlying indices has been a very lucrative play to capture enormous beta decay (volatility drag). UGAZ/DGAZ is working particularly well at present. NUGT/DUST and JNUG/JDST have been huge winners this year...

    This month's VIX "cycle" was addicting and lucrative but, imo, played out until Wednesday morning. Then we should begin the August expiry cycle with a healthy 10% contango.

    Good trading everyone but stay hedged!

    Bustin

  • Reply to

    TVIX Syndrome

    by electrowing Jul 18, 2015 11:11 AM
    bustin_ur_chops bustin_ur_chops Jul 19, 2015 9:19 AM Flag

    Thanks!

    At what stages do these comments appear?

    "MARK THIS POST!!! TVIX will triple within 1 month."

    "TVIX is a SCAM SCAM SCAM!!!"

    "TVIX is forming a Double Doji Inverse Candlestick formation."

    "Short squeeze coming!!!"

    And I would like to add

    Stage 5: TVIX roadkill!

    Bustin

  • Reply to

    ?

    by timbrgrt Jul 16, 2015 3:26 PM
    bustin_ur_chops bustin_ur_chops Jul 17, 2015 8:04 AM Flag

    timbgrt:

    I first shorted TVIX in March 2013 at a $4.15. There have been two 1:10 reverse splits since then so my cost adjusted basis is $415!!

    I have added to my short position monthly...

    I posted on iHub a year or so ago a study guide for these VIX ETPs.

    Educate yourself by googling "vix proxy primer"; there are 2 parts.

    The only pertinent chart for this derivative is the one found at vixcentral.

    Just play the dark side,

    Bustin

  • Reply to

    $11 to $6.40 in less than a week.

    by daytradejoe Jul 16, 2015 11:51 AM
    bustin_ur_chops bustin_ur_chops Jul 16, 2015 1:11 PM Flag

    "This stock is a scam. Find me a stock that will drop over 50% every month for last 5 years and still operating."

    If this "stock" has better earnings and declares a dividend, it might just go to da moon.

    Then, again, perhaps you might read the prospectus. Scam to you; my daughter's college fund for me!

    Just play the dark side,

    Bustin

UVXY
6.10-0.31(-4.84%)Jul 22 4:00 PMEDT