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i saw this too with my -1 short and 2 longs /ES positions! It seems the more the market drops on Monday, the more this 2-1 strategy actually profited? i guess this is due to the increase in IV where the 2 longs actually are worth much more than the 1 short.
Does this means this 2-1 strategy is actually "resistance" to fast and furious market crashes of 5-7% magnitude like the one we seen this week? And actually act as a good "hedge/insurance" too!
At Zaner I doubt they will put you on margin call if you are moving from on call to off call intermittently. But if you are well into being on call you will be contacted during the day.
I did notice a big difference between the bid/ask prices near to the close and the settlement prices. Settlements were a lot lower.
I understand (And do) that part.
I meant to say that you are using 20% of you cash to trade with.
So if you had 5 million you would trade with 1 million.
$XIV The Astonishing Story Behind What Really Happened to XIV
bit.ly/2nMOutV via @CMLviz
-
@WSJ , @CNBCFastMoney , @JimCramer still don't get it. So now, you can.
I think there is another correlation that may exist here: since XIV is inversely correlated to VIX, the ETN managers needed to hedge this exposure with a long VX Futures. When panic set in they started buying enormous quantities, and have done so after-hours when the market is not that liquid.
The VIX spiked, markets tumbled as and the Options premium exploded.
So essentially we have strong correlations that exist in my opinion via algorithms. One causes the other to tremble.
Wall Street has created during this bull market so many products including leveraged ETFs and ETNs that it's extremely hard to decide where the risk is coming from. It's in plain sight and yet camouflaged in the sea of derivatives.
Matt Z
Optimus Futures
There is a substantial risk of loss in Futures trading. Past performance is not indicative of future results.
Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
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I guess I need a bit of help to understand what happened to me:
On Monday my broker statement Looked like this:
----------------------------------------------- O P E N P O S I T I O N S ----------------------------------------------------
DATE MARKET LONG SHORT CONTRACT DESCRIPTION PRICE CCY DEBIT/CREDIT
------------------------------------------------------------------------------------------------------------------------------------
17-JAN-18 CME 2 PUT APR 18 Mini S&P EOM 2300.00 5.25 USD 3,700.00 DR
18-JAN-18 CME 1 PUT APR 18 Mini S&P EOM 2300.00 5.75 USD 1,850.00 DR
TOTAL 3 EX 30-APR-18 SETTLEMENT PRICE 37.00 USD 5,550.00 DR
AVERAGE SHORT 5.41666
29-JAN-18 CME 4 PUT APR 18 Mini S&P EOM 2350.00 5.00 USD 8,900.00 DR
TOTAL 4 EX 30-APR-18 SETTLEMENT PRICE 44.50 USD 8,900.00 DR
AVERAGE SHORT 5.00000
For the following day it looked like this - without an interim margin call:
----------------------------------------- T R A D E S C O N F I R M A T I O N S ----------------------------------------------
THE FOLLOWING TRADES HAVE BEEN EXECUTED THIS DAY FOR YOUR ACCOUNT AND RISK.
DATE MARKET BUY SELL CONTRACT DESCRIPTION TRADE PRICE CCY DEBIT/CREDIT
------------------------------------------------------------------------------------------------------------------------------------
06-FEB-18 CME 3 PUT APR 18 Mini S&P EOM 2350.00 E 105.00 USD 15,750.00 DR
Electronic
TOTAL 3 EX- 30-APR-18 PREMIUM USD 15,750.00 DR
NFA USD 0.06 DR
AVERAGE LONG 105.00000
------------------------------------------------ P U R C H A S E & S A L E ------------------------------------------------
DATE MARKET BUY SELL CONTRACT DESCRIPTION TRADE PRICE CCY DEBIT/CREDIT
-----------------------------------------------------------------------------------------------------------------------------------
29-JAN-18 CME 3 PUT APR 18 Mini S&P EOM 2350.00 5.00 USD
06-FEB-18 CME 3 PUT APR 18 Mini S&P EOM 2350.00 105.00 USD
TOTAL 3 3 EX- 30-APR-18 P&S USD 15,000.00 DR
----------------------------------------------- O P E N P O S I T I O N S ----------------------------------------------------
DATE MARKET LONG SHORT CONTRACT DESCRIPTION PRICE CCY DEBIT/CREDIT
------------------------------------------------------------------------------------------------------------------------------------
17-JAN-18 CME 2 PUT APR 18 Mini S&P EOM 2300.00 5.25 USD 2,330.00 DR
18-JAN-18 CME 1 PUT APR 18 Mini S&P EOM 2300.00 5.75 USD 1,165.00 DR
TOTAL 3 EX 30-APR-18 SETTLEMENT PRICE 23.30 USD 3,495.00 DR
AVERAGE SHORT 5.41666
29-JAN-18 CME 1 PUT APR 18 Mini S&P EOM 2350.00 5.00 USD 1,320.00 DR
TOTAL 1 EX 30-APR-18 SETTLEMENT PRICE 26.40 USD 1,320.00 DR
AVERAGE SHORT 5.00000