Search found 47 matches

by parval
Tue Mar 02, 2021 2:17 pm
Forum: Investing - Theory, News & General
Topic: BlockFi Interest Account (8.6% APY) with Stablecoin
Replies: 82
Views: 8349

Re: BlockFi Interest Account (8.6% APY) with Stablecoin

Just curious why BlockFi over Nexo? I have my BTC on BlockFI, but Nexo gives 10% on stablecoins, thinking of moving my usdc over there but maybe just easier to consolidate and lose the 1.4% :moneybag Why nexo over Celsius? I’m with Celsius but nexo was a close second. Blockfi while US based is the ...
by parval
Mon Mar 01, 2021 8:31 pm
Forum: Investing - Theory, News & General
Topic: BlockFi Interest Account (8.6% APY) with Stablecoin
Replies: 82
Views: 8349

Re: BlockFi Interest Account (8.6% APY) with Stablecoin

Just curious why BlockFi over Nexo? I have my BTC on BlockFI, but Nexo gives 10% on stablecoins, thinking of moving my usdc over there but maybe just easier to consolidate and lose the 1.4% :moneybag
by parval
Fri Feb 26, 2021 4:30 pm
Forum: Investing - Theory, News & General
Topic: Stories about picking up pennies in front of steamrollers (gone wrong)
Replies: 27
Views: 2985

Re: Stories about picking up pennies in front of steamrollers (gone wrong)

Writing options should be +ev but the risk profile is tricky. In any case I wrote a bunch of $30 GME 3/19 puts, mentioned in another thread this is surely "free" money at 400% IV right :)
by parval
Fri Feb 26, 2021 3:56 pm
Forum: Investing - Theory, News & General
Topic: Bitcoin geniuses, please explain
Replies: 26
Views: 2675

Re: Bitcoin geniuses, please explain

Yeah this actually has nothing to do w/ BTC, read up on this:

https://www.investopedia.com/articles/i ... -works.asp
by parval
Thu Feb 25, 2021 12:05 pm
Forum: Investing - Theory, News & General
Topic: [GameStop GME trading mega-thread]
Replies: 4143
Views: 202019

Re: [GameStop GME trading mega-thread]

hmm surely the 400% IV selling csps are free $$
by parval
Thu Feb 25, 2021 11:28 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

kim.gold wrote: Thu Feb 25, 2021 11:07 am Another TMF 5% down and UPRO 3% down day. How is everyone doing?
think hard about going 100% UPRO :D
by parval
Wed Feb 24, 2021 4:14 pm
Forum: Investing - Theory, News & General
Topic: [GameStop GME trading mega-thread]
Replies: 4143
Views: 202019

Re: [GameStop GME trading mega-thread]

well it went to 483 last time so anything below that is free money right? :D
by parval
Fri Feb 19, 2021 4:25 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Indeed, getting out of some concentrated positions in taxable is my headache now. Definitely warrants a separate thread, but I will just say for now I found https://www.investopedia.com/articles/stocks/11/diversify-stock-position.asp helpful and purchased an options collar around one position, but ...
by parval
Fri Feb 19, 2021 1:38 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Indeed, getting out of some concentrated positions in taxable is my headache now. Definitely warrants a separate thread, but I will just say for now I found https://www.investopedia.com/articles/stocks/11/diversify-stock-position.asp helpful and purchased an options collar around one position, but ...
by parval
Fri Feb 12, 2021 11:07 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Yeah Blockfi is great, USDC is fully-backed so anyone looking for high yield that is the way to go imo.

Honestly TMF is really becoming more and more concerning, despite the incredible runup of UPRO, you can really see the drag.
by parval
Fri Feb 12, 2021 8:39 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

institutions probably rotating from LTTs to crypto these days
by parval
Mon Feb 08, 2021 3:34 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

I'm not sure if this is rational but the stock runup is making me a little nervous and inclined to rebalance into TMF. On the other hand, should probably just stick to my IPS... Funny the runup makes me want to go 70-30. I guess I prefer following momentum than reversal :) One thing you can do to &...
by parval
Wed Feb 03, 2021 3:43 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Can someone explain why hedging w/ VIX (options?) is better than vanilla SPY puts? Ideally w/ data would be great
by parval
Tue Jan 12, 2021 8:38 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

TMF 15% down in 7 days. How is everyone doing? Frustrating to be more than 5% down when the market went 2% up. I bought a bunch today at 30.23 in line with the linear regression channel technique I showed previously. Great timing, that's almost the low of the day. :beer Yeah instead of buying TMF d...
by parval
Tue Dec 22, 2020 11:22 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Anyone else doing this adventure on Robinhood? Now w/ the 2.5% margin interest rate announcement, wondering if there's more ways to juice the returns :moneybag Robinhood uses first in first out tax algorithm which isn't the most tax efficient, m1 finance uses lowest taxes algorithm and it makes reb...
by parval
Mon Dec 21, 2020 11:34 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Anyone else doing this adventure on Robinhood? Now w/ the 2.5% margin interest rate announcement, wondering if there's more ways to juice the returns :moneybag
by parval
Wed Nov 04, 2020 11:55 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

TMF is back from the dead! Up 7%+. UPRO 8%+. Nice to see a day like this but would really sting if the inverse ever occurred. This is super worrying actually, if TMF continues to behave as it has for the past week or so, we're essentially 100% in UPRO. Desperately need correlation to go the other way
by parval
Fri Oct 23, 2020 10:57 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

I'm not using options, I am directly shorting SPXS. TMV has high borrowing costs at my broker so I don't touch it. There was a poster earlier in the thread who was using options though (a couple months ago), using a complicated strategy where he would also sell a couple of options to (I think) be t...
by parval
Thu Oct 15, 2020 10:11 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Has anyone implemented inverse of this strat via short bear 3x ETF (say short SPXS, short TMV)? Honestly it looks super profitable but hard to model underlying costs/margin-risks https://www.bogleheads.org/forum/viewtopic.php?t=288192&start=5600 how do you make a synthetic short 3x? afaik for 3...
by parval
Wed Oct 14, 2020 3:08 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Has anyone implemented inverse of this strat via short bear 3x ETF (say short SPXS, short TMV)? Honestly it looks super profitable but hard to model underlying costs/margin-risks
by parval
Fri Aug 28, 2020 9:51 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

By "target volatility between stocks and bonds", do you mean setting a target volatility on stocks and using bonds as the out-of-market asset? Or are you using a stocks+bonds portfolio and cash as out-of-market asset? (Or something else?) Intuitively it makes sense to me that you'd get lo...
by parval
Fri Aug 14, 2020 1:56 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

So if we don't think TMF is going to return anything, shouldn't we just move to USD? According to this:

https://www.guggenheiminvestments.com/m ... lation-map

There's even less correlation w/ SPY, -46 vs -22 for bonds

WDYT?
by parval
Tue Jul 28, 2020 6:29 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Shorting leveraged inverse ETFs gives much better results than going long leveraged ETFs. (E.g. shorting SQQQ is better than going long TQQQ; shorting SPXU is better than going long UPRO.) In fact, you can just do a pairs trade with SQQQ/SPXU and long term treasuries and receive higher risk-adjuste...
by parval
Fri Apr 10, 2020 9:20 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Hi everyone, new to the forum but I have read through most of this thread, the original, and the back-test thread. I have a small portion of my portfolio allocated to the strategy which I started on April 1st. I'm curious if anyone has looked into a hedging strategy similar to the one Nassim Taleb ...
by parval
Thu Apr 09, 2020 6:56 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Hi everyone, new to the forum but I have read through most of this thread, the original, and the back-test thread. I have a small portion of my portfolio allocated to the strategy which I started on April 1st. I'm curious if anyone has looked into a hedging strategy similar to the one Nassim Taleb ...
by parval
Wed Apr 08, 2020 2:40 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

I like how we're down 30% from market top and about to enter a recession, but the topic at hand is what to do when we've made 100x gains :) Seems perfectly reasonable to me :) . We are in the middle of a pandemic, with the market still down 22% from the highs, and this thing is up something like 80...
by parval
Wed Apr 08, 2020 12:27 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

I like how we're down 30% from market top and about to enter a recession, but the topic at hand is what to do when we've made 100x gains :)
by parval
Thu Mar 26, 2020 7:04 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Anyone doing volatility targeting version of this? Are you mostly in cash for now?
by parval
Sun Feb 16, 2020 6:29 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

For liquid ETFs, it is very difficult to get hurt on execution with market orders during market hours. Many ETfs trade with a spread of a penny these days and mostly you do not have to worry about execution quality on those. ... Thanks for the info. How do I know if an ETF is liquid? My understandi...
by parval
Mon Feb 10, 2020 11:43 am
Forum: Investing - Theory, News & General
Topic: Help me figure out the Target Volatility formula
Replies: 96
Views: 8122

Re: Help me figure out the Target Volatility formula

I think you are somehow using returns as a surrogate for volatility. PV doesn't report volatility, so you need to externally pull down the daily returns and calculate the standard deviations yourself. For those looking for the Excel approach (consider Google Sheets too, which directly downloads ret...
by parval
Thu Jan 30, 2020 7:50 pm
Forum: Investing - Theory, News & General
Topic: U.S. stocks continue to soar!
Replies: 13275
Views: 1025558

Re: U.S. stocks continue to soar!

Holy TSLA. I wanted to buy at 180, but kept telling myself: don't buy individual stocks! When you buy individual stock, you have to have predetermined exit point. With the whole market, you don't have an exit point until you need to the money to support you in retirement. If you had bought Apple at...
by parval
Fri Jan 24, 2020 10:35 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Since 2010, my strategy actually had a lower std. dev. than using UPRO and TMF with a 20% target volatility and no cap on UPRO (22.03% vs. 23.42%). Is there a tool to compute portfolio vol given UPRO/TMF allocation? Yes, the link is this post . I love PV but I think I'm missing something simple, sa...
by parval
Fri Jan 24, 2020 9:51 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Since 2010, my strategy actually had a lower std. dev. than using UPRO and TMF with a 20% target volatility and no cap on UPRO (22.03% vs. 23.42%). Is there a tool to compute portfolio vol given UPRO/TMF allocation? Yes, the link is this post . I love PV but I think I'm missing something simple, sa...
by parval
Fri Jan 24, 2020 8:53 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

willthrill81 wrote: Thu Jan 23, 2020 9:25 pm Since 2010, my strategy actually had a lower std. dev. than using UPRO and TMF with a 20% target volatility and no cap on UPRO (22.03% vs. 23.42%).
Is there a tool to compute portfolio vol given UPRO/TMF allocation?
by parval
Tue Jan 07, 2020 2:50 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

UPRO’s collateral is invested in repos “ Repurchase Agreements with various counterparties, rates 2.00% - 2.28%, dated 11/30/2018” This was at a time when 3 Month T Bills were yielding 2.4%. So it looks like UPRO’s collateral earns close ti the RFR just as I assumed. Right now the REPO is at ~1.5% ...
by parval
Mon Jan 06, 2020 5:32 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

UPRO’s collateral is invested in repos “ Repurchase Agreements with various counterparties, rates 2.00% - 2.28%, dated 11/30/2018” This was at a time when 3 Month T Bills were yielding 2.4%. So it looks like UPRO’s collateral earns close ti the RFR just as I assumed. Right now the REPO is at ~1.5% ...
by parval
Wed Dec 11, 2019 3:04 pm
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 322
Views: 45901

Re: Simulating Returns of Leveraged ETFs

Not sure if right place but why even use swaps? Can't you get 3x or really any X exposure w/ just futures (ES or MES) + underlying + cash and it'd be cheaper to implement rolling yourself?
by parval
Mon Dec 09, 2019 12:17 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Hmm okay. I'm considering this vs LEAPs and that is about $100 due to spread for same 10k 3x exposure but I think tax is even more favorable if I hold the whole year before rolling.
by parval
Mon Dec 09, 2019 10:29 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Yes I hold a few micro contacts currently..... but they aren't very granular at $15k increments. Pls you have to actively monitor them... it's not been such a big deal now.... but if we get into a high volatility down market.... your account with equity futures can go a little haywire if you aren't...
by parval
Sun Dec 08, 2019 8:42 pm
Forum: Investing - Theory, News & General
Topic: Lifecycle Investing - Leveraging when young
Replies: 1258
Views: 146703

Re: Lifecycle Investing - Leveraging when young

I want to follow your strategy but couldn't find how you're executing? Can you talk more about your current allocation? I assume some % in LEAPs/futures? How do you calculate borrowing cost vs say LETFs? -edit I thought harder about this, does this make sense? Say SPY is at $315, instead of paying $...
by parval
Sun Dec 08, 2019 2:09 pm
Forum: Investing - Theory, News & General
Topic: [Wiki article update - Inverse and leveraged ETFs]
Replies: 121
Views: 5432

Re: [Wiki article update - Inverse and leveraged ETFs]

What I mean is if you put $100 in sso vs 50 in spy and upro, would you get identical exposure but less cost with the latter?
by parval
Sun Dec 08, 2019 1:32 pm
Forum: Investing - Theory, News & General
Topic: [Wiki article update - Inverse and leveraged ETFs]
Replies: 121
Views: 5432

Re: [Wiki article update - Inverse and leveraged ETFs]

Can we say there's no reason to ever invest in 2x, because you can just do underlying + 3x?
by parval
Wed Oct 30, 2019 7:42 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Thank you so much for all the insight, has there been discussion on how realistic using moving averages to augment this strategy would be? Link to Leverage for the Long Run paper that proposes higher returns with less volatility (200-day LRS): https://papers.ssrn.com/sol3/papers.cfm?abstract_id=274...
by parval
Wed Oct 30, 2019 12:02 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 8015
Views: 783527

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Thank you so much for all the insight, has there been discussion on how realistic using moving averages to augment this strategy would be? Link to Leverage for the Long Run paper that proposes higher returns with less volatility (200-day LRS): https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2741...