I hadn't looked at a thing all day until 5 minutes ago. I was unpleasantly surprised! All systems will remain long XIV. I will maintain my 50% XIV and keep my other 50% still in cash. It may be nice to keep plenty of power dry just in case the selloff continues. Thanks.
PS- UPDATE: JTS half stopped. Market is now UNHEALTHY. Strong rallies (that don't make a new high) should be shorted.
UPDATE #2: I see vix futures have slipped into backwardation, meaning XIV is probably not the best ETF to play any coming rally. I will keep my XIV for now but will use TNA for any future purchases.
Thanks JT.
ReplyDeleteI am bit surprised system is still long instead of cash or short but then again what do i know. :)
thanks
ReplyDeleteWhat does the fact that JTS is half stopped do to the JT Composite, especially the 100% version?
ReplyDeleteI would interpret it as go to cash.
DeleteNothing, no stops in the JT Comp. In testing, stops hurt way more than helped.
DeleteWith only few exceptions, the market tends to bounce (sometimes vigorously) after flipping to unhealthy mode, which is why it's only a half stop.
DeleteI'm still a little confused. Is the 100% Comp in cash?
DeleteJT Comp has no stops. It's long.
DeleteI should add that XIV closed way below its lower Bollinger Band.
ReplyDeleteJ, today we got what I was expecting to get on 2/21 (see prior post from 2/21)... missed playing the long w/you Friday (and just sat through it), but am starting my longs now.instead. Leaving room to add -- the usual game. Will add on any gap down tomorrow. Covered a pile of shorts at the close today. Had those on long enough.
ReplyDeleteMkt's finally coming back alive again... sweet! Was really getting bored w/that low VIX crap.
J, if the market continues as it has today, what does your crystal ball say about the system?
ReplyDeleteI would think it is best that the minute you notice backwardation in VIX futures to exchange XIV for TNA
ReplyDeleteAnother cause for concern for holders of XIV is the interest in VIX calls: http://vixandmore.blogspot.com/.
DeleteThat's a good idea, Marco. I will personally do just that today if the 100% system doesn't take us to cash or short.
ReplyDeleteVIX down 11%. TNA up 2%. VXX is red, yet despite all these factors XIV is red as well. It would be comical if it weren't upsetting.
DeleteJ, do you have any stats or ideas on whether VIX backwardation generally tends to act as a headwind for the market?
DeleteThere doesn't seem to be much of a correlation between the VIX term structure and the direction of the market. This blog post by Michael Stokes addresses this issue: http://marketsci.wordpress.com/.
DeleteI've checked it a bit myself. The last times VIX futures were in backwardation % were very mild on 12/28/2012 and 5/18/2012 and marked bottoms. But the one before that, basically from 8/1/2011 until 11/15/2011 (more than 3 months!) saw backwardation of over 25% at times.
DeleteThanks for the link, Al. Interesting piece.
DeleteThere is a sweet spot. That is, if we've been in contango for at least 2 months, the first dip into backwardation is a ST bottom. All bets are off if it's been less than 2 months.
DeleteIt is funny in a gallows humor sort of way. So, J, are we staying long?
ReplyDeleteA little late, but yes we were! :) And it's working out well.
Delete