Slope initially began as a blog, so this is where most of the website’s content resides. Here we have tens of thousands of posts dating back over a decade. These are listed in reverse chronological order. Click on any category icon below to see posts tagged with that particular subject, or click on a word in the category cloud on the right side of the screen for more specific choices.
With the VIX jumping again on today’s market drop, here’s a quick Portfolio Armor optimal collar hedge that might of interest to some playing VXX: cap your potential upside at 20%, limit your downside risk to a max drawdown of 20%, get paid 6.47% of position value to hedge.
As you can see at the bottom of the screen capture above, the cost of the put leg of this collar was $2,270, or 11.48% of position value. But if you look at the call leg below, you see that the income it generated was greater: $3,550, or 17.95% of position value…
… So the net cost of this optimal collar hedge was -$1,280, or -6.47% of position value, meaning an investor would essentially get paid to open this hedge.*
*To be conservative Portfolio Armor calculated the cost of the puts at the ask, and the income from the calls at the bid; in practice, you can often buy puts for less (at some point between the bid and ask) and sell calls for more (again, at some point between the bid and the ask). So you would probably have collected more than $1,280 to open this hedge.
My stomach rolled over when I read this post from ZeroHedge about Suze “the teeth” Orman. She tweeted out the following, indicating not only that she’s so well off that she’s just going to kick back for a year, but that she wants Yellen to “help us out” since we’ve all suffered the unspeakable calamity of stocks actually going down a few percent.
If you believe as I do that the governments of the world have shot their load, and for whatever reason (politically, economically, or culturally) can’t keep expanding their debt loads, means one thing.