3/8/12: Keybot the Quant flipped to the long side at 12:04 PM at SPX 1364; whipsaw occurs; for the year thus far SPX Benchmark is up 8.4%; Keybot algo is up 3.1%; Keybot actual trading is up 5.8%. Stay on guard for a whipsaw.
3/6/12: Keybot the Quant flipped to the short side at 12:18 PM at SPX 1343; for the year thus far SPX Benchmark is up 6.8%; Keybot algo is up 4.7%; Keybot actual trading is up 7.4%. Stay on guard for a whipsaw.
2/16/12: Keybot the Quant flipped to the long side at 1:10 PM at SPX 1356; whipsaw occurs; for the year thus far SPX Benchmark is up 7.8%; Keybot algo is up 5.7%; Keybot actual trading is up 8.2%. Stay on guard for a whipsaw.
2/14/12: Keybot the Quant flipped to the short side at 2:30 PM at SPX 1342; for the year thus far SPX Benchmark is up 6.7%; Keybot algo is up 6.7%; Keybot actual trading is up 10.2%. Stay on guard for a whipsaw.
1/1/12: The new year begins. For 2011, the SPX Benchmark is flat finishing up 0%; Keybot algo finished the year up 33%; Keybot actual trading ended the year up 37%. Keybot begins 2012 remaining long. The new year begins at SPX 1258.
12/20/11: Keybot the Quant flipped to the long side at 2:49 PM at SPX 1240; for the year thus far SPX Benchmark is down 1.4%; Keybot algo is up 31.2%; Keybot actual trading is up 35.5%. Stay on guard for a whipsaw.
12/12/11: Keybot the Quant flipped to the short side at 10:25 AM at SPX 1234; for the year thus far SPX Benchmark is down 1.9%; Keybot algo is up 31.7%; Keybot actual trading is up 37.0%. Stay on guard for a whipsaw.
You once mentioned a short of the VIX etf TVIX.
ReplyDeleteIt has gone down over 20% on a day when the market is down. Is there an explanation for this or
just a quirk of this etf?
KS, since Keybot was long via DIA, how is Keybot shorting the market? Is it through DXD or some other etf/etn vehicle?
ReplyDeleteSteve
KS, what happened to TVIX today? It should be up with the down market. Is it not tracking the VIX properly? VXX was up slightly. What is going on with this market? It's be a conundrum. JJC and CRB were below the levels you indicated but UTIL is still above 447. Is Keybot flipping to the short side too early? Thanks again for all your great insights into this crazy market. Take care.
ReplyDeleteSteve
There are TVIX explanations tonight at zerohedge.com and by Googling "Options Volatility Sonar seekingalpha". I feel for you, KS. I know you were into TVIX. I lost a lot of money in the Canadian equivalent in recent months.
ReplyDeleteHello Anon, yes, it is one of the dangerous ETF's, or ETN's, in the volatilty space. Keystone had just played TVIX for a 5% gain a few days ago and currently remains in VXX. These plays are not for the faint of heart. The problem is that many times, such as the last few days, they do not move as would be expected (opposite the indexes). ETF's use 'creation' to maintain a market in ETF's, you can google that for further study, but with TVIX, this expected market making system is not being used now, so TVIX is selling off. Herb Greenberg, a CNBC analyst that pinpoints troubled market areas, highlighted TVIX this afternoon creating a further catalyst to send it down. Oddly enough, TVIX was more well behaved recently than VXX but not today. The interesting aspect is what happens with VXX tomorrow, does it get painted with the same brush, or, will traders that no longer want anything to do with TVIX, buy VXX for placing a long volatilty trade?
ReplyDeleteHello Steve, Keybot went into DOG today at 36.00. The quant prefers the use of double leveraged ETF's but due to programming rules due to the prior whipsaw in early March, the robot is operating in a lower risk mode until a timer depletes, probably in mid-April, as long as another whipsaw does not occur.
Hello Steve, see prior discussion on TVIX, yes it is one of the 'crack ho psycho's', this is why Keystone always references the volatility ETF/ETN's and the triple X ETF/ETN's in generqal as 'dangerous'. The low volume low volatility run-up in the broad indexes is very unstable so you are correct about questioning the market, at some point, perhaps it occurred today, the music stops and everyone realizes there is no chairs.
Hello Weaver, nope, dodged a bullet on TVIX, Keystone was in and out the other day, and posted hte trade on the Positions and Picks page, so no postition today, however, he must prepare himself since he may have to assume the position tomorrow if VXX suffers a similar fate.
ReplyDelete