저자: DavidLincoln · 외국인
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VIX 선물 백워데이션(19%/월)이 지속돼 VXX·TVIX 등 VIX 상품이 추가 상승 압력을 받을 수 있으므로 단기 숏 타이밍에 주의해야 한다. TQQQ의 서킷브레이커 연계상 0 청산(상장폐지) 위험은 매우 낮다고 봤다. 레버리지 상품은 방향을 모르는 상황에서 위험하며, VIX는 일반 주식처럼 계속 오를 수 없어 변동성 정점 이후 하락 가능성을 시사한다.
다듬은 글
you're watching famous all right stop my intro from playing for a second welcome back to the program thanks everybody for tuning in I just want to go through a couple things this morning before the open I know it's been really chaotic out there and I hope everybody is doing all right with their positions and stuff first thing I wanted to cover is just talking for a second about the possibility of these ETFs being terminated because I've gotten a lot of questions lately about could t triple Q be terminated oh the questions usually goes something like this could bla bla bla be terminated like xiv could gosh be terminated like xiv could teacher poke you be terminated like xiv and I am NOT a super expert on oil product so I'm going to stay away from those but let's talk about like the equity products here like the T triple Q's teachable Q's is a leveraged equity product I believe three times leveraged equity product of the triple Q's t standing for triple and when we talk about the VIX term structure the unique thing about the VIX term structure is that there is no arbitrage - between the cash and the term structure and what that means is is just simply that the futures can bounce around if you want to translate from futures into something that's comparable the probably the easiest thing to do would be to buy or sell some options in the SPX because that is what the VIX is based on but the futures kind of freely flow and thus the way ETFs work is they have to rebalance at the end of the day and in the form in the case of XIV they needed to buy a number of futures between 4:00 and 4:15 as well a part of their formula and there are not a whole lot of people in the world who make market in make markets and VIX futures compared to the T triple Q's or the Nasdaq where there's a lot more people trading Nasdaq than the VIX futures also you know my point about there not being an arbitrage if if you are somebody who wants to sell Nasdaq futures to somebody let's say you know somebody comes and says I want to buy a hundred Nasdaq futures and you're making markets in them and you sell them 100 futures and then someone turns around says we want to buy 5,000 more if there's no simple arbitrage like in the VIX then you are kind of just up a creek and you just have to fade a wet and your response would be to fade by that I mean you raise the price rapidly and until you you see sellers come in so price discovery would be your only option with something like the T triple Q there is an arbitrage that's fairly simple between the the T triple Q's futures and and the cash and that would be to just go out and buy the actual stocks that compose of the teachable Q so for example at the end of the day if they need to rebalance the T triple Q they can go out there and if you know if if you sell too many futures as a market maker in the futures you can just turn around and go and buy some of the actual stocks right so to protect yourself and you don't even necessarily need to buy the whole index in its exact proportion you could just go and buy you know a ton of Apple or something like that and to head yourself to some extent there is no sort of way to head yourself in the VIX that way and the this is what created a very unique situation in the xiv that allowed it to terminate and the other thing I think people were thinking of it's just a termination event which would be where we went down so much in one day that the teacher book use just went to zero now if you have a triple if you have a three times leveraged fund then all it takes is to go down a third and you by multiplying that by the by three you're at zero so for a teacher book you to turn to go to zero because remember these products can't go below zero so if it gets to zero what do they do they just close it out cash it out and everybody just you know loses their money and that's it because these things can't go below zero you know the the products that they are using to maintain that three times leverage would allow for this product to go below zero if it wasn't for these controls that are put in effect so the risk to the downside in a teacher book you of it terminating was that it goes to zero and this actually the fact that it would terminate at zero is a protection for you as somebody who is investor who is using this as a trading vehicle because it protects you from your account going negative you know they're treating it like a regular stock where like if it goes to zero that is all of your liability you're not liable below is zero and so it's so they will terminate it if it gets to that point a it protects the company that's that's running T triple Q and B it protects you from owing money to somebody in a brokerage firm type situation so what would happen is and if it for some reason it actually could go down thirty three percent which it pretty much can't and I'll explain that in a second what would happen was they would terminate and then whatever small fraction of money was left they would possibly distribute as a you know one-time sort of special dividend to shareholders but it's very unlikely the T triple Q could terminate because as we have found out in the last day or two there are these circuit breakers in in place and the circuit breakers are towards the S&P 500 however we know that S&P 500 down 20% and things close for the day at which point the teacher book you would reset for the next day so you would need a situation where the Nasdaq somehow was able to get down 33 percent before the SP got down 20% overall in the day for for it to go to zero which is highly highly unlikely unlikely so I wouldn't worry about termination events in these products I would I mean I do think though that this period we've been in of exceptional volatility does highlight the fact that you know using leverage products is very risky you know you lose enough money just being long the spy or being long the the Nasdaq then having a triple leverage long product on that that seems foolish to me to be using leverage in a situation where you don't know what's going to happen directionally so I hope that clears that up a little bit the other thing that really has been bugging me when I look at these chat rooms and whatnot lately is just people treating the VIX as if it's just an VIX products as if it's just another stock you know somebody will ring off a list of stocks and they'll show their their technical analysis charge towards them and in in the middle of that you know number 16 and 17 in that list will be the VIX and like VXX or something and they'll just treat them like their other stocks and like when people talk about the VIX and say well okay well it got to 40 last week it got to 50 this week got to 60 now it's going to go to a hundred it doesn't work that way with the VIX Volatility and I I can illustrate it with my hand volatility is how much stops moving around so if if you've got a situation where where volatility and I know it can be confusing because volatility is expressed in option prices so you see it as a number next to options but it really is how much stuff is moving around and it gets harder and harder to move higher it's not like apple or something we're like yes it gets to 200 and then next up 300 next up 400 the higher the VIX gets the harder it is to maintain that level of motion of drama and and you know the high and it I know it hasn't kind of seemed that way lately because we've seen it continue to spike higher but it becomes harder and harder and harder to maintain an elevated state as we get higher and so it's not like okay well we attained 60 this week next week 100 next week a thousand and I really caution you to to get out of that mentality of this is just like other stocks that you know it just it's slowly moving higher or something like that because it the VIX is an oscillating thing and it it it goes up and comes down it goes up it comes down and it is at a very extreme right now and it will not stay at that extreme it's people have this kind of notion that like reality is gonna change and all of a sudden you know the new normal is going to be the VIX 60 or something and you know that would mean that we were moving you know 3,000 points in the Dow a day or something I mean it's it's a it's just not sustainable you know traders get worn out from buying and selling moving the stuff around like crazy all the time so kind of try to keep that stuff in mind let's keep perspective you know several people have called the top and volatility over and over again and and it hasn't turned out to be true however the more extreme we get the less likely and harder it is to move higher and I really want to impress that on you so just because you've gotten run over on on being short stuff at lower levels doesn't mean that as we move higher it doesn't make more and or a sense that to you know to be short some of this stuff I hope that helps a little bit and let's take a little recoup the other thing I want to say is just that you know this channel among others has discussed the strategy of the what we call the bull's-eye strategy of selling a small amount of naked calls at at the money strike as a viable strategy and I just wanted to acknowledge that that strategy and you know and when I've done it I've tried to explain to people that selling one call should be considered the same as shorting a hundred shares of whatever the underlying is and that you should reasonably expect that you you need to consider what would happen if you had a 100 or 200 percent up move and that has actually come to fruition and even you know we've had like a three hundred percent up move in T VIX and thus this stuff is real if you had employed the bullseye strategy you would have gotten crushed recently and I just wanted to acknowledge that you know the the odds were kind of against it but it has happened and and you know if you've lost money losing money should be a lesson for anybody as a trader you know we don't learn anything when we make money but we should try and learn something when we lose money and you know I I've said a couple times lately that I'm grateful for that vol mageddon because it taught me to have to limit my risk and be more careful and if it hadn't been for the vol mageddon then I you know I might have you know blown out my account in this situation that we are in right now so grateful for that I'm grateful that I have all these people who've checked out the channel and I hope you've learned something from all this stuff that I've been talking about recently so let's take a look at the numbers real quick and I'll let you get on with your day so as we move to Vic Central now this is another point I just want to make before I leave you here for the day is that we are still in a backwardation situation and this is very important to recognize that we are in backwardation because I'm hold on one second let me see if I can get my screens going here display here we go the we are in backwardation right now to the tune of nineteen percent and this is very important to watch because what that means is that these products are going to continue to move higher until we have some sort of resolution to this VIX being so high so you need to be extremely careful because we are getting closer and closer to expiration and these futures are getting pulled higher and thus at V X X and T VIX will be pulled higher if the situation remains the same until we get some sort of resolution to the point where this the cash VIX can move below the futures so you know stuffs turned upside down right now and so even if the VIX comes in a little bit this stuff is all things being equal being pulled higher so you want to keep that in mind and until this term structure can write itself I would be very careful about your decisions especially as far as days to expiration if you're going to short this stuff because there is pressure to pull this stuff higher this 19% backwardation is per month it's not per year usually when we look at % terms we think in our mind per year this is per month and so this is very significant here and until we get some sort of resolution as I said to the sell-off I would be very careful about timing shorts you know I would move way out in time if you're going to be short and and I'd be very careful because this backwardation is real and it you know we could stay in this elevated state for a while I put up the chart into that of 2011 when we were in backwardation for a period of months and it just pulled this stuff higher now ultimately it did move lower but I would caution you about this particular situation alright thanks for watching let's see solutely d'Italia I'm gonna have some interviews coming up next week hoping to have some special guests on the show I've reached out to several people and I hope I hope some of them come through and I hope you survived up till now you know the end result of this is going to be a good environment for trading moving forward because the term structure has been moved way up and that's going to result in a very fruitful opportunity at some point we just don't know when that opportunity is going to be but there you have it thanks for watching and we will see you next time on the short vowel show live please leave any of your questions or comments in in the comments below and I will try to get to them as soon as possible thanks for watching Oh
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