Sentences with phrase «short volatility»

We spent last week talking about bubbles — is there a bubble in short volatility strategies?

Do not be short volatility on a middle - term basis.

Listen, I think the world has gotten short volatility for a long time, and that could be in different expressions.

ETFs that are short volatility futures are up around 75 % for the first six months of 2017 and about 220 % for the trailing year — an astonishing amount.

Then there are those that are short volatility because it pays off when volatility is low.

The danger is that the multi-trillion-dollar short volatility trade, in all its forms, will contribute to a violent feedback loop of higher volatility resulting in a hyper - crash.

That is true, but the bigger story is that retail investors (and professionals, too) came in and crushed volatility in a major way by plowing money into short volatility ETFs.

The ETNs use a systematic approach to investing in volatility index (VIX) futures that have a net long or net short volatility position that varies based on changes in the market.

ABR Dynamic Short Volatility Fund (ABRSX) is an example of a volatility fund.

The multi-trillion-dollar short volatility trade, broadly defined in all its forms, can play a similar role today if inflation forces central banks to raise rates into any financial stress.

The ABR Dynamic Short Volatility Fund is newly formed, and has no performance history.

Further outflows resulted from index option gamma hedging, covering of short volatility trades, and volatility targeting strategies.

It may be a little hard to understand, but the point is that people have been fleeing long volatility ETFs and piling into short volatility ETFs, to the point where the public is no longer net long volatility, for the first time in history.

The Global Short Volatility trade now represents an estimated $ 2 + trillion in financial engineering strategies and share buybacks that simultaneously exert influence over, and are influenced by, stock market volatility.

With an increase in volatility of volatility, risk management became more critical, especially if you are net short volatility and / or you have a lot of exposure to the skew (dGamma / dSpot).

Essentially, they write unlevered out - of the money options on a variety of fixed income instruments, go short volatility through residential mortgages, and try to take advantage of the carry trade through the cheap float that their strategies generate.

That said, when I see lots of activity from people shorting volatility through exchange traded products in order to earn returns, it makes me wonder.

While worrisome, the fall in the major stock indexes was dwarfed by the rapid depreciation in assets short volatility.

«May 17 and similar events bring substantial risk for short volatility strategies,» Kolanovic wrote in a client note.

One big reason why shorting volatility can be dangerous is the ever - present possibility that the market will make a unexpectedly sharp move, according to Marko Kolanovic, the firm's global head of macro quantitative and derivatives strategy.

And almost even more concerning than that — a lot of what's driving that low in volatility is people are selling short volatility,» he said, implying that traders are betting that volatility could push even lower.

And then second, with regard to pricing and also in light of the really short volatility we've seen in the commodity complex the last couple of weeks, should we be thinking of your pricing decisions as wholly decoupled from commodity price volatility at this point or is there flexibility to move within the ranges that you've outlined?

Retail investors have forgotten that being short volatility means being exposed to unlimited losses, just like if you were naked short a call or a put.

If volatility is expensive to hold, wouldn't shorting volatility be much more fun?

You know, how do I get income in my portfolio, I'll use bait, I'll use some of the high - yield market, I'll use short volatility, I'll create leverage in my portfolio through margin, et cetera.

As Hacked reported earlier this week, products that short volatility shed billions this week, with the VelocityShares XIV ETN falling from $ 1.9 billion in assets to just $ 110 million.

Leading with gains of more than 53 % in five months is a complex volatility ETN, the VelocityShares VIX Short Volatility Hedged ETN (XIVH).

Short volatility dominance continues with SVXY up 127 % for the year and both VXX and UVXY are down dramatically.

2) A lot of trades over the past few years have been similar in nature, i.e. long risk assets = short volatility.

He has made $ 12 million in the last five years by simply shorting volatility.

One of the exchange - traded funds (ETFs) that investors are using to short volatility contains an interesting clause that few investors seem to have noticed: If volatility jumps more than 80 %, the fund will liquidate with a net asset value of zero.

In contrast, the CBOE Eurekahedge Short Volatility Index tracks the performance of underlying hedge fund managers who take a net short view on implied volatility with a goal of positive absolute return.

Central banks initiating «short volatility positions» via QE have dampened long - term sovereign bond yields, which crowded out private capital and induced investors to «find something else to do» by buying more esoteric assets

Hickey contends the markets were ripe for a sell - off, which was sparked by converging factors including worries that rising wages will spur higher interest rates, pension fund re-balancing and short volatility ETFs blowing up.

«It's created a very large exposure of short volatility, and I think it's created a huge opportunity for actually owning volatility,» said Davis, Quadratic's managing partner and chief investment officer.

As with any mutual fund, there are risks involved with investing in the ABR Dynamic Short Volatility Fund, including the possible loss of principal.

In our last series, Four Ways to Go Short Volatility, we investigated how to create trading strategies using Nadex options which would profit from sideways movement in the market.

In this report, we show graphically the dampening impact of central banks and short volatility strategies on financial markets.

It's just the latest sign of confidence in the short volatility trade, which has been one of the year's most popular and, by extension, crowded wagers.

Davis told CNBC in October that so many investors were short volatility that a mild uptick in market uncertainty could lead to an exaggerated spike in volatility.

Now that doesn't mean that vol is going to spike hugely at any point, but it has the possibility to because so many investors are short volatility.»

Even more so when people are selling «a lot of» short volatility, which indicates they do expect nervousness to pick up in the future.

First, it was said to be all about wage inflation and rising bond yields, then it was a blowup in «short volatility funds,» followed by trade - policy tensions and the threat of Big Tech regulation.

And the short volatility ETFs have been accumulating more and more assets.