Aqumin Volatility Newsletter 9-1-16 $DUST $VIX
Where will the DUST settle?
The historic lows in realized volatility are surprising this
year given the crazy volatility we saw in the first 6 months. If I told you in February that 10 Day
Realized Volatility would be down in the single digits for 30+ days, you would
have thought I was crazy. Yet here we
sit. Even with the NFP number, VIX can barely get above 13.5%. Not all products are taking a rest right now.
Note the action yesterday in DUST. DUST just reverse split after a one way trip
to the dog house in 2016. The product is
the inverse Gold Miner (3x) ETF so good day for DUST is a bad day for the gold
miners. It is not a product I trade
normally. 3x leverage has problems day
to day, but the leveraged ETFs are a great signal for volatility in a sector in
general. The screenshot is just showing
relative movement grouped by the most volatile, popular ETFs traded on the
CBOE. My snap was on the close
yesterday.
DUST is continuing the climb this morning and could keep
going. I like long gamma (owning near term
calls and puts) in the gold miners since for whatever reason, the miners care
about the NFP number tomorrow. The
massive gain in the Gold Miners this year could get messy.
Positions in GDX and GDXJ
Data from the Bloomberg Terminal
Read more from Andrew at Option Pit
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