shillllihs
6,086 posts
msg #122029
- Ignore shillllihs |
11/19/2014 2:43:58 PM
Veni, vidi, vici
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shillllihs
6,086 posts
msg #122131
- Ignore shillllihs |
12/3/2014 8:58:49 AM
Short a Billion DGAZ @ 4.31
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shillllihs
6,086 posts
msg #122132
- Ignore shillllihs |
12/3/2014 9:10:25 AM
U smell that, that's NATURAL GAS & it's about to make the run of the century.
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shillllihs
6,086 posts
msg #122134
- Ignore shillllihs |
12/3/2014 10:53:25 AM
(GASL)
6.38 0.53(9.06%)
Up 90 million
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guspenskiy13
976 posts
msg #122135
- Ignore guspenskiy13
modified |
12/3/2014 11:45:18 AM
UNG contango over 1% since the run-up
if the ability is presented, going short/short of both leveraged pairs seems like the best idea with such volatility
timeframe: 3 months
Total return: 16.6% vs 3.8% SPY
Volatility: 15.6% vs 12.4% SPY
Max DD: -3.61% vs 7.27% SPY
SPY correlation: -0.06
And that's without re-balancing. I am really looking in a similar way to XIV/VXX pair, as most of the time you can capture the VXX premium with extremely low volatility, since XIV doesn't equal to VXX.
XIV YTD: ~ +17.5%
VXX YTD: ~ -37.5%
Can you capture those 20% by going short/short with some re-balancing and capture this kind of premium on the constant basis? Is it more effective to use 50/50 XIV/VXX or 66.6/33.4 XIV/TVIX?
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guspenskiy13
976 posts
msg #122136
- Ignore guspenskiy13
modified |
12/3/2014 12:30:22 PM
It also seems that ZIV (mid-term futures of VIX) is superior to XIV.
There could be some arbitrage strategy deployed, where you buy one sell another and in reverse dependent on the market situation. Or use combination of two to lower maxDD, volatility and improve SR
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shillllihs
6,086 posts
msg #122137
- Ignore shillllihs |
12/3/2014 5:06:58 PM
Idk Gus, this is your expertise.
Why does GASL move so much more than UGAZ?
Will Ugaz drop more or will Gasl start to run. Which way do we go.
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guspenskiy13
976 posts
msg #122138
- Ignore guspenskiy13
modified |
12/3/2014 6:52:43 PM
(GASL) and (UGAZ) are absolutely different, but related;
(UGAZ) tracks " S&P GSCIŽ Natural Gas Index ER" through futures. Unleveraged alternative is (UNG).
(GASL) tracks "ISE-Revere Natural Gas Index (FUM)" which consists of weighted stock combo though many different ways. Unleveraged alternative is (FCG).
One major difference between those two is the decay.
It's hard to tell how much decay has GASL experienced on a short term basis - but Direxion said it's 3-year decay is 16.74%. However, I looked at the 4-year chart and found that in June, 2014 it has underperformed by ~50% its underlying.
UGAZ since inception date, which is 2 years 9 months away (2/7/2012), underperformed by ~57%.
Anyways, it seems that because of the structure and just based on the numbers, UGAZ decays more. Correlation between the two is 0.54...which is nothing meaningful IMO.
______________________________________________________________
Bottom line:
As energy sector and possibly oil rebounds, gas companies (FCG, GASL) will rebound (correlation of 0.9). I am not speculating on the oil prices, opec and geopolitics - but it seems that the last gap was an exhaustion one, similar to what GDX experienced before rebounding.
As for natural gas itself (UNG, UGAZ) - it's range-bound/seasonal/mean-reverting... which could spike up with the storage amount below average under bad circumstances...but who knows?
That's why I said that the pair UGAZ/DGAZ is so good for double short....it's not trending for long....so both decay....while when leveraged instrument trades in trend...their "leverage" actually INCREASES...just look at 2-year SPY vs UPRO... with SPY ~52.5%.... UPRO at over 220%....that's not 3X.
So overall... UGAZ has lower odds than GASL....based on the stats and some fundamentals... but who knows?
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guspenskiy13
976 posts
msg #122146
- Ignore guspenskiy13
modified |
12/4/2014 12:36:59 PM
gas to new lows, and whether it's meaningful or not - at the trend since April '12.
could go lower, momentum basically didn't change for the past three days
accurate short of hard-core decaying DGAZ any time soon....decay itself will yield so much
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shillllihs
6,086 posts
msg #122155
- Ignore shillllihs |
12/5/2014 10:38:20 AM
Bought some UGAZ yesterday @ 8.81
This could be a 2-3 bagger in 2 months.
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