VIX FUTURES: Monetizing Hysteria (+54%)
We Are Truly Rested And Ready To Move On
Executive Summary
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.
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.
3. Trade Execution
3.1 Trade Entry - Sep 28, 2022
Total: 2.48 Credit.
3.2 Trade Exit - Oct 31, 2022
Total: 1.13 Debit.
The absolute return of this trade is
2.48 - 1.13 = 1.35
The capital used was 2.52, resulting in a return on capital of
1.35 / 2.52 = 53.6%