VIX FUTURES: Abusing Volatility 2/2 (+67%)
It Is Time To Close The Second Volatility Trade.
Executive Summary
The email header changed; you can find me top right, MacroDozing like there's no tomorrow.
Volatility contraction and theta burn at their best.
UVXY is back at its mean, who would have thought?
No complaints about a 67% return on risk capital at that point.
1. Recap Situation
Volatility, or playing with volatility contraction and theta burn on volatility products itself, is fascinating and one of my favorite games in this market environment. It seems a little too easy, but all trades are risk-defined, so there is no catch. Of course, a significant market crash would be a semi-catch, but the maximum loss per trade can only be 100% of the risk employed. And intelligent trade management and advanced contract rolling techniques could mitigate a 100% loss even during a black swan/ liquidity event.
The general theme with UVXY - loyal and old-established BrainDozer subscribers1 should know by now - volatility wants to revert to the mean, and we are structuring trades around that. …
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