Thursday, September 1, 2016

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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