If financial crash prediction were a science, it wouldn’t work because then market participants would position themselves to counter the risk and the crash would be accelerated or delayed to a time before or after the predicted date.
I actually profitably trade the VIX and have for years. But I supported an options based risk management package for years at an insanely global bank before ever trading a single VIX option or future too. I mean I actually got that ref to variance swaps and got it years ago when you used it in one of your anti-VIX articles.
I make it a habit to lurk around the forums of Reddit dedicated to options and stocks, and when some poor moke pops up with a bright idea about VIX I try to knock him down.
The last guy was very sophisticated. He had built a synthetic buy on VIX using the options that was quite something: balanced across all of the greeks, 100 delta per structure bought, it was a thing of great beauty. He was betting on a sustained rise of course, which of course didn't happen. I duly admired it but stated my longstanding opposition to ever going long this index outright. But it was after that six day stretch of down days, and I'm sure he was sure he had a sure thing.
The next week the market went up and VIX went down. I don't know how he did, he never came back to say, but hopefully he learned that betting on sustained rises in the VIX is as likely to pan out as buying a lottery ticket.
A correction and hat tip to Pietro Ferri ---The BIS hq is in Basel, not Bern. Apologies, John Dizard
I actually profitably trade the VIX and have for years. But I supported an options based risk management package for years at an insanely global bank before ever trading a single VIX option or future too. I mean I actually got that ref to variance swaps and got it years ago when you used it in one of your anti-VIX articles.
I make it a habit to lurk around the forums of Reddit dedicated to options and stocks, and when some poor moke pops up with a bright idea about VIX I try to knock him down.
The last guy was very sophisticated. He had built a synthetic buy on VIX using the options that was quite something: balanced across all of the greeks, 100 delta per structure bought, it was a thing of great beauty. He was betting on a sustained rise of course, which of course didn't happen. I duly admired it but stated my longstanding opposition to ever going long this index outright. But it was after that six day stretch of down days, and I'm sure he was sure he had a sure thing.
The next week the market went up and VIX went down. I don't know how he did, he never came back to say, but hopefully he learned that betting on sustained rises in the VIX is as likely to pan out as buying a lottery ticket.
You know whereof you speak--- interesting...
What did he say?
Basel not Bern—-sorry!