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Valyooo (33.63)

A real life CAPS portfolio



January 03, 2012 – Comments (4) | RELATED TICKERS: VXX , UNG , UCO

A lot of people on CAPS red thumb broken etf's.  A lot of people say its cheating, a lot don't care, but regardless it works.

In real life, shorting 2x SPY etf's is not always the best idea.  They don't decay very fast.

3x works pretty well at shorting, as do the oil and gas ETFs, and especially the vix ETFs.  Short UNG on a pop or VXX on a pop.  Shorting bear ETFs seems to also work better than shorting bull ETFs.

You can't short both the bull and bear and hope the decay gives you a positive EV.  If the market goes nuts, you will make like 60% on one trade and lose 300% on the other and your broker will call you and say "you owe us your life savings and your soul" and then it's all over.

Has anybody tried having a portfolio of only short etf and cash?  Cash for if your trade goes wrong by 50% in a week you just double down.  Short nothing but vxx, ung, uco, possibly faz on a pop and watch it drop?

TD does not charge hard to borrow fees and usually has these available to short.  And it can't really be a crowded trade since it is a ETF not a CEF.

Any thoughts on if it would work?

4 Comments – Post Your Own

#1) On January 03, 2012 at 3:22 PM, chk999 (99.96) wrote:

You could open an investopedia account and try it out there. I did that and it was extremely volatile.

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#2) On January 03, 2012 at 5:07 PM, Portfolio12345 (66.92) wrote:

I find it hard to believe that TD does not charge hard to borrow rates to retail investors. What do they consider your general collateral rate?

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#3) On January 03, 2012 at 9:40 PM, anchak (99.90) wrote:

"You can't short both the bull and bear and hope the decay gives you a positive EV."


Pair Shorting Ultras - is a Vega Negative/Positive strategy - 

Unfortunatey CAPS does not show score for a long historical duration - however look at this player started in early 2009 by RVA( Speculator) -


Ultra volatility and decay was a hot topic in CAPS in late 2008 and early 2009 - in fact I did a blog on it - at that time - IIRC.


You need to position yourself accordingly - ie you need to be VIX hedged - alongside - to overall be neutral and take the spread 


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#4) On January 04, 2012 at 12:01 PM, FleaBagger (27.53) wrote:

TD wouldn't let me short those at all when I tried. Someone told me that IB has them, but I've never had the requisite $10K to open an IB account.

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