VIX FUTURES: Monetizing Hysteria (+54%)

We Are Truly Rested And Ready To Move On

Oct 31, 2022

∙ Paid

Algos are more hysterical than humans, QED.
Markets haven’t lost the plot.
Thank you, Halloween, for another monster return.

1. Recap Situation

Algorithmic trading mimicked human hysteria, we could smell Wall Street’s anxieties across the Ocean through the Sahara at the Red Sea, yet we laid back at the Doζe and relaxed. In the meantime, market physics kicked in as anticipated, and once again, we are not sure if witchcraft was involved. Happy Halloween.

We also highlighted that a crash rarely comes when the market anticipates it. Instead, liquidity events happen when everybody and grandpa are long, and short-sellers are frustrated and flat.

Check out the original BrainDoζer below.

MacroDoζer

UVXY: Monetizing Hysteria

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…

a year ago · Juri von Randow

2. Why Now?

UVXY has come down substantially, we only got eighteen days left to maturity, and the implied volatility of the VIX / UVXY (VVIX) has tanked. Perfect timing to close the trade and move on.

UVXY: Short Straddle (Risk-Defined) — *MacroDoζer*, TradingView

3. Trade Execution

3.1 Trade Entry - Sep 28, 2022

Total: 2.48 Credit.

UVXY: Pay-Out Graph Short Straddle (Risk-Defined) — *MacroDo*ζ*er,* tastyworks

3.2 Trade Exit - Oct 31, 2022

Total: 1.13 Debit.

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