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7#
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發表於 2017-10-22 22:29:56
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賣vxx=賣put，銷量一大，在市場快速反轉時，遊戲會很快會結束。
I think it is important to explain why I say selling VX, VIX options and VXX is a crowed trade and what that means.
Let me start back on 2011. That is when I started in sales. The “easy money” was selling naked SPX OTM puts for $0.05. Sometimes they were 200 to 300 point OTM for less than a week. Traders were making as much as 10% per month net. “Easy money”. Most of the calls and emails I got were around naked options selling. The prospective clients would tell me it was easy money, the “SPX can never drop that much in one week”. This is what I call a margin arb. Many clearing firms, including those that cleared for market makers, where shocking index portfolio down 15% and 25%. Some were also shock IVOL up. Those institutional and professional traders, had to hedge their puts that they sell for $5.00-$10.00 with buying “worthless” nickel puts, because they had to make risk requirements. A small number of Clearing firms that just started to offer portfolio margin, with no concept of market risk and liquidity risk, decided to use the OCC TIMS calculation with no added risk for SPX. That means -8%/+6%. These customers, were afforded lower requirements than market makers and institutions. The party started to end around September 2013 when the OCC changed the way the asked for risk capital from members. Clearing firms were forced to ask for higher requirement. There were still a large number of SPX OTM puts sellers, but they could sell less, reducing their returns.
Then August 2015 happened. Dow down around 1000 points. SPX market were very wide and illiquid. Margin calls all over the street. None of these options they were selling were in the money. They were still required to reduce or add funds to make calls. Now risk managers learn about liquidity risk. Wide illiquid markets during margin calls. The OCC to protect their guarantee, asked for enormous sums for a few days from their clearing members. To many, those sums were more than their capital. They had to borrow from their bankers or parent companies to make those deposits. This is what happens when you have a crowed trade. When there is a real Black Swan event, one you can’t foresee, there is pain.
Fast forward to today. There are still OTM put sellers selling. Some doing very well, but with proper restrictions, making much less and selling many less puts/$1mm in their account than before summer of 2015. Now, for the last 18 months I have been at Lightspeed. Many calls and emails are different for option traders. Now I hear that “I sell VX futures.” They go up, but they always come back down. Always!” I get calls asking about margin on VXX and VIX sell calls. I’m told they always make money. The VIX and VXX ALWAYS come back. To me, this is the same game as selling OTM puts. It works. However, there will come a time when these products jump so fast, the it will be hard to cover. Then, you won’t want to cover, as they always come back. Well, that might be true, but it will be likely that your margin call will exceed your equity at some point, and you will take a hit. If you watch the current front month VX future, everyone once in a while, early in the day when the market dips, the VX jumps. More than it would have 5 years ago. Is it from stops, margin calls, both…I have no idea. All I can tell you is that the strategy works until it doesn’t. I see the same crowed trade.
Does that mean you should not sell these, no. You should do what make you comfortable within the risk of your clearing firm. But know that if you play too big, it will hurt one day,
Robert Morse, aka. Bob@elitetrader.com |
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發表於 2017-3-29 05:21:51
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發表於 2017-5-3 10:05:50