VIX FUTURES: Monetizing Hysteria

How To Feel Comfortable And Relaxed

Executive Summary

• Are short-sellers to blame for personal failure?

• Algos could be more hysterical than humans.

• When does Tony Stark live up to his cult status?

• Markets might crash, but they won’t.

1. Why Do I Care Right Now?

Is it that time of the month again? You bet it is. While humans and algos, programmed to mimic human hysteria, are losing it again, we sit back and relax. Next, we try and figure out how to put on our favorite short volatility-on-volatility trade in the most innovative way possible. Innovative, meaning we try and predict volatility moves over the next few weeks by applying market physics and avoiding witchcraft; a rough estimate is sufficient. We also try and minimize capital employed while maximizing potential profit. It doesn't sound easy, yet manageable once we visualize the idea and remember how to click a mouse.

A black swan or liquidity-type event does not happen in bear markets, with greed at its lows and fear at its highs. Instead, multiple long-lasting extreme …