i*******e
发帖数: 1904 | 1 发信人: ivyleague (Swing Trader), 信区: Stock
标 题: Re: 不能看了
发信站: BBS 未名空间站 (Thu Feb 9 14:36:59 2012, 美东)
Let others enjoy the last dinner, I am all in TVIX.
发信人: ivyleague (Swing Trader), 信区: Stock
标 题: Re: 不行了， 盘子越来越凶险了
发信站: BBS 未名空间站 (Wed Feb 8 15:31:35 2012, 美东)
I am loading more VXX today. The one month contango for VXX is roughly $1 - $1.5 if VIX keeps flat, so it is
not
bad if you load it now at historical lows. The risk/reward ratio is very nice:
1. If no Greece bailout, VXX points up to $35 or more to $40.
2. If not, VXX suffers from contango and you lost at most $2-3 for holding it 2 months. | q****g
发帖数: 761 | | i*******e
发帖数: 1904 | 3 Based on the option skew last last week, it is calculated as:
VXX target = $35
TVIX target = $30
But don't expect it to raise to this level in one shot!
It will encounter some resistances before that height!
Just be patient. | i*******e
发帖数: 1904 | | i*****e
发帖数: 1862 | | g*****u
发帖数: 527 | | g*****u
发帖数: 527 | | B******y
发帖数: 2255 | 8 Thanks I loaded some TVIX.How do you calculate option skew? Where can I
learn these calculations?
Thanks!
【在 i*******e 的大作中提到】
: Based on the option skew last last week, it is calculated as:
: VXX target = $35
: TVIX target = $30
: But don't expect it to raise to this level in one shot!
: It will encounter some resistances before that height!
: Just be patient.
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