You may want to think about how many of your bold calls for VXX shooting up materialized in the past, and why you think this time it's for real. XIV 15 means VXX going up 70+% in short time. You keep on doing the prediction, one day it will materialize, and the question is when.
It will work until it doesn't. I have a lot at stake in this and will see how it ends, hoping that the market is kinder to me with VXX compared to USO. I was hoping for VXX pop today but it's disappointing so far today.
Don't get me wrong, I'm not saying VXX will not shoot up one day, it may very well, but I'm betting maybe not this time.
Others, do your DD and don't rely on what others including me are talking about..
I think the question is whether Saudi intentionally drove down oil price to kill the competition or is Saudi just refusing to cut production while price is falling to maintain market share and oil went down further during the process. If it's the former, Saudi won't be happy with oil going up quickly but if it's the latter I guess Saudi wouldn't mind and rather be happy.
I think that the sentiment has bigger role than fundamental in pricing. Price may reverse when sentiment changes by whatever reason even with over-supply. I've been long oil, beaten, bruised and biased I guess.
Shorted 1K VXX shares near high of the day to be taken away by the VXX puts sold which became ITM. Should have shorted more higher up couple of days ago. Somehow, more difficult to pull the trigger on VXX than others.
Sold 10 VXX next week OTM calls.
Sold 10 VXX weekly near-the-money calls.
Sold another set of USO weekly ATM puts yesterday.
Bought 10 TLT weekly deep ITM puts.
Sold 5 JNUG next week OTM calls.
Experimenting OTM call sales on 3x ETFs, small amount of SCO and JNUG so far. Trying to take advantage of volatility decay on high flying 3x ETFs. Looking for small set of 3x ETFs to sell OTM calls on strength, daily at good premium.
Back to small amount gain / day mode.
I was sure that I would add more to UNG when NG comes down to $2.6x, but things like "there's not enough storage in the U.S" is making me think twice. My brain tells me this is a great opportunity both NG and OIL, but then it also tells me what if NG really goes down $2. If NG goes down to $2 quick, UGAZ will be under $1 and UNG will be around $10.30, or lower if it goes down slower going up and down.
Anyone shed some light on "there's not enough storage in the U.S" statement?
lf, That's because of volatility decay in inverse ETFs such as XIV and leveraged ETFs (2x, 3x). Unlike VXX which tracks movement of underlying asset over any periods of time including roll costs, inverse ETFs and leveraged ETFs tracks only DAILY movement of underlying asset and are not supposed to track the movement of underlying asset properly for periods longer than a day due to daily re-balancing.
The following shows volatility decay in XIV vs VXX:
Day 1: VXX 100 XIV 100
Day 2: VXX 120 (up 20% daily, and up 20% from day 1)
XIV 80 (down 20% daily, and down 20% from day 1)
Day 3: VXX 132 (up 10% daily, and up 32% from day 1)
XIV 72 (down 10% daily, and down 28% from day1)
Day 3: VXX 100 (down 24% daily, and up 0% from day 1)
XIV 89.28 (up 24% daily, and down 10.78% from day 1)
As you can see above, XIV tracks inverse of VXX's daily movement but not overall movement from day 1.
As you can see above, VXX made a round trip to 132 and back down to 100 but XIV lost about 11% during that VXX round trip. That's because inverse and leveraged ETFs were designed to track DAILY movement of underlying asset instead of tracking the continuous movement of underlying asset over time.
The higher the volatility, the higher the volatility decay. Some call it price erosion. VXX making new low but XIV/SVXY far below their highs are normal. Buying XIV while VXX top can still be a good investment though, meaning when it doesn't have to make round trip (XIV going down and then up) but as long as VXX does not fluctuate while going down. If VXX does, then XIV will suffer from volatility decay.
Bill, you can see daily holdings of GASL at
- Google GASL
- Follow link the link for (Natural Gas Related Bull 3x ETF GASL Fund Direxion)
- Click on 'Daily Holdings' underneath Overview
- Download csv file and open with Excel or notepad
Posting again as a new thread. Hate when the long message doesn't post. Hope it does this time. GL
Just a caution to unsuspecting:
Even regular (non-inverse, non-leveraged) ETFs has volatility decay if they track daily movement of underlying asset. If you check UNG, USO fund description, you will notice the word 'daily' many times which means they will suffer from volatility decay. It's just not as severe as 2x 3x ETFs like BOIL/KOLD, UGAZ/DGAZ. So, long these ETFs has disadvantage with volatility decay and fee. This is in addition to rolling decay in case of contango in NG futures.
Things really doesn't work out well these days.
2 weeks ago, VXX seemed strong, kept bouncing off of 34. So started to sell puts. I sold even 35.5 puts at $2.5 premium expiring 1/30.
Then VXX started to tank and I was kicking myself for selling puts ahead of VXX drop, and stopped selling puts.
Early this week, VXX seemed to have cap at $32.50 so started to sell VXX calls.
But then, VXX came back up, all puts sold expired worthless including $35.5 puts sold, and all calls sold were assigned.
So, ended up entering a new week with bunch of VXX short shares assigned from calls sold.
4 sets of USO puts and 1 set of SCO calls sold expired worthless.
1 set of UNG puts sold got assigned share long.
UNG broke down below support but didn't add more yet. May sell ATM puts when comes back down.
Hope it works out better this week.
I ran some numbers to see how UNG/UGAZ/DGAZ behaves when NG goes down to $2 and then back up to $4.25 for 3 different scenarios:
Scenario 1: NG goes down straight to 2 and then straight back to 4.25, unlikely scenario
-10% -10% and then -6% would put NG future to $2.
UNG 10.19, UGAZ 1.03, DGAZ 17.37
8 times of 10% puts NG future to $4.28
UNG 21.84, UGAZ 8.39, DGAZ 1.00
Scenario 2: NG goes down 10% then goes up 5% and repeats this till 2, then it goes up 10%, down 5%, and repeats this till 4.37
5 times of (-10% +5%) puts NG future to $1.98
UNG 10.08, UGAZ 0.87, DGAZ 14.35
Then, 18 times of (10% -5%) puts NG future to $4.37
UNG 22.27 UGAZ 5.22 DGAZ 0.29
Another scenario similar to 2 but with -2%, 1%, 2%, -1% instead of -10%, 5%, 10%, -5%
NG $1.01, UNG 10.25, UGAZ 1.10, DGAZ 17.95
NG $4.26, UNG 21.72, UGAZ 9.40, DGAZ 1.49, this takes forever though.
Actual will be lower for UNG and UGAZ if there is contango in NG futures. It seems UNG is quite consistent regardless of how NG gets to 2 and back to 4.
I think the logic is a bit stretched here as it assumes that the big companies know where the market is going. As many have been saying, nobody knows where the market's going, analysts, small producers, big producers alike.
But Not that I expect oil to recover quickly. Good Luck Trading..
It seems one bet, there's similar volume in May $16 puts with similar premium. So, it could be any of:
1. $16 puts sold to finance $21 call buying, similar to what blue has done with April calls and puts.
2. $21 calls sold to finance $16 puts buying.
3. $21 calls and $16 puts both sold.
4. $21 calls and $16 puts both bought.
I guess people will choose different scenario depending on which direction they are biased to.
Closed 3 sets of USO long shares.
Sold 2 sets of USO OTM calls against long shares.
Been thinking that USO was investment to ride for a long time, but after beaten and beaten, couldn't hold them all for long and couldn't resist taking profit. Hope I can buy them back at lower price after inventory report.
Closed TLT puts long.
Seems like I missed chance to load up UNG.
Isn't selling near month USO call and buying the next month betting on USO coming down? Volatility will increase if USO goes down. Not that I recommend selling near month USO put and buying the next month at this point. It doesn't look like there's a good way to short USO volatility either way. You have to sell USO options when volatility is high but USO is jumping up and down like crazy now. OVX index put option premium was very high, downside somewhat baked in.
Based on the numbers I ran earlier, if NG future reverses at this point and goes back up to 4.25, UGAZ maybe between 7.50 to 10 depending on how it gets to 4.25. If NG future goes down to 2 and back up to 4.25, UGAZ maybe between 6 to 9 again depending on how it gets to 1 and back to 4.25. UGAZ will be lower if contango exists during NG future roll, or if NG repeats large up and down moves in the process.
I'm still debating when to add to my small position, thinking of buying UNG shares, then UNG farther out month ATM calls, and then UGAZ if NG goes down further after that, after that DGAZ short if possible or sell KOLD deep ITM puts if cannot short DGAZ. That's the plan but I didn't see much of my execution going by the plan.
May have to be long for a long time, just like last year, I was short from end of Jan till June/July. I am thinking of reverse of that this year. UNG staying low for the first half with $2+ spikes in between, only to take off in the middle of summer. This is why I am reluctant to grab Jul UNG calls.
If I get into 2016 JAN UNG ATM calls, I will have about a year to wait but would make meaningful gain only after it recover significantly. LEAP calls will not move up as much as UNG in the first part of recovery. On the other hand, you get leveraged gain with UGAZ but if recovery comes late or with volatility, UGAZ will shrink. They all come with pros and cons.
Sold half a set of UNG near-the-money puts yesterday. Afraid to sell more because of inventory report today.
Still have no guts to add to UNG for meaningful size. Was hoping for big drop today after report to add but not much change.
VXX is driving me crazy. Didn't close any on yesterday's low 32.80 as it was in down trend. It shot up $2 in short time and was kicking myself again. Now, it's back down headed to that low. Still wondering what to do, to take profit or to ride down hopefully. I should take some profit but getting greedy as contango is back in VIX futures.
Again, VXX stopped at 32.7 just 10 cents lower than yesterday. Often this is sign that there's strong support and subsequent rebound. S&P came back to the same place 3rd time in little over a month, just before jobs report tomorrow. Betting that S&P is going to push through the resistance this time. But the daily chart is too similar to previous cases at 2062.
10 VXX calls sold expired worthless.
10 VXX puts sold expired worthless.
1 set of SCO calls sold expired worthless.
1 set of JNUG calls sold expired worthless.
2 sets of USO deep ITM calls taken away by USO calls sold against them assigned.
USO staying strong now as I am waiting for it to come back down.
Sold 1 set of UNG Jan 2016 ITM puts.
Bought 1 set of UNG Jan 2016 ITM calls.
Planning for snowboarding today when forecast was 3-5 inches of snow, but it wormed up and now changed to wintry mix and freezing rain, no snowboarding. No wonder NG is weak.
Sold 10 VXX next week ITM calls on MON
Sold 10 VXX next week ITM calls on TUE
VIX finally going down, and future contango over 7%. Hope steam comes off of VXX soon.
Closed 1500 PNRA shares short.
Sold 1 set of USO next week ATM calls against USO shares.
Need both USO and UNG to come back down to add.
Account getting better.
nef, don't beat yourself up. What's done is done. I think everyone has up and downs. If you recovered from 60% down to 20% down. That's good and maybe it's time to be less aggressive and protect what you have.
Selling many OTM calls or puts for which you don't have fund to get assigned is not a very good idea IMHO.
I have to be less aggressive myself, and take some off the table when things are going well. Good Luck Trading