Volatility Profosser
@volprof.bsky.social
Former Professor and Hedge Fund PM...now providing outlook on the market, F1, Arsenal, and MotoGP
Research at https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=426919
Research at https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=426919
Pinned
Here is a sample of the model output. Will started thread of elements each day. #volatility #SPX #VIX
MODEL CHANGE (equity Risk Premium): CASH and LONG #VIX options and SHORT futures. VIX 17.97 for long #spx position, 26.92 for 2X LONG. Have a good weekend (will be away next week so limited updates)
#volatility
#stockmarket
#volatility
#stockmarket
May 16, 2025 at 10:01 PM
MODEL CHANGE (equity Risk Premium): CASH and LONG #VIX options and SHORT futures. VIX 17.97 for long #spx position, 26.92 for 2X LONG. Have a good weekend (will be away next week so limited updates)
#volatility
#stockmarket
#volatility
#stockmarket
No Model Change: LONG #SPX and LONG #VIX options and SHORT futures. VIX 17.56 for CASH position, 26.32 for 2X LONG. Almost back to cash
#volatility
#stockmarket
#volatility
#stockmarket
May 15, 2025 at 8:31 PM
No Model Change: LONG #SPX and LONG #VIX options and SHORT futures. VIX 17.56 for CASH position, 26.32 for 2X LONG. Almost back to cash
#volatility
#stockmarket
#volatility
#stockmarket
No Model Change: LONG #SPX and LONG #VIX options and SHORT futures. VIX 17.64 for CASH position, 26.43 for 2X LONG.
#volatility
#stockmarket
#volatility
#stockmarket
May 14, 2025 at 8:41 PM
No Model Change: LONG #SPX and LONG #VIX options and SHORT futures. VIX 17.64 for CASH position, 26.43 for 2X LONG.
#volatility
#stockmarket
#volatility
#stockmarket
No Model Change: LONG #SPX and LONG #VIX options and SHORT futures. VIX 17.65 for CASH position, 26.45 for 2X LONG. Almost went to cash
#volatility
#stockmarket
#volatility
#stockmarket
May 13, 2025 at 8:53 PM
No Model Change: LONG #SPX and LONG #VIX options and SHORT futures. VIX 17.65 for CASH position, 26.45 for 2X LONG. Almost went to cash
#volatility
#stockmarket
#volatility
#stockmarket
MODEL SHIFT (VOL RISK PREMIUM): LONG #SPX and LONG #VIX options and SHORT futures. VIX 17.7 for CASH position, 26.35 for 2X LONG. Model now 10% above market
#volatility
#stockmarket
#volatility
#stockmarket
May 12, 2025 at 9:03 PM
MODEL SHIFT (VOL RISK PREMIUM): LONG #SPX and LONG #VIX options and SHORT futures. VIX 17.7 for CASH position, 26.35 for 2X LONG. Model now 10% above market
#volatility
#stockmarket
#volatility
#stockmarket
No model change: 2X LONG #SPX and SHORT #VIX options and SHORT futures. Still looking at VIX 18.28 for model chance. Have a good weekend.
#volatility
#stockmarket
#volatility
#stockmarket
May 9, 2025 at 9:31 PM
No model change: 2X LONG #SPX and SHORT #VIX options and SHORT futures. Still looking at VIX 18.28 for model chance. Have a good weekend.
#volatility
#stockmarket
#volatility
#stockmarket
No model change: 2X LONG #SPX and SHORT #VIX options and SHORT futures. Went back to just LONG SPX when $SPX was above 5700
#volatility
#stockmarket
#volatility
#stockmarket
May 8, 2025 at 8:55 PM
No model change: 2X LONG #SPX and SHORT #VIX options and SHORT futures. Went back to just LONG SPX when $SPX was above 5700
#volatility
#stockmarket
#volatility
#stockmarket
No model change: 2X LONG #SPX and SHORT #VIX options and SHORT futures. Option vol is rich right now. #FED is as uncertain as most of us on how this is going to play out
#volatility
#stockmarket
#volatility
#stockmarket
May 7, 2025 at 8:46 PM
No model change: 2X LONG #SPX and SHORT #VIX options and SHORT futures. Option vol is rich right now. #FED is as uncertain as most of us on how this is going to play out
#volatility
#stockmarket
#volatility
#stockmarket
Good day for Trump 2. Now down -6.05% since inauguration.
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
May 7, 2025 at 8:45 PM
Good day for Trump 2. Now down -6.05% since inauguration.
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
This #championsleague semi-final is something else.
May 6, 2025 at 9:02 PM
This #championsleague semi-final is something else.
MODEL SHIFT: VOL PRMEIUM CHANGE model now 2X LONG #SPX and SHORT #VIX options and SHORT futures.
#volatility
#stockmarket
#volatility
#stockmarket
May 6, 2025 at 8:44 PM
MODEL SHIFT: VOL PRMEIUM CHANGE model now 2X LONG #SPX and SHORT #VIX options and SHORT futures.
#volatility
#stockmarket
#volatility
#stockmarket
Bad day for Trump 2. Now down -6.5% since inauguration.
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
May 6, 2025 at 8:43 PM
Bad day for Trump 2. Now down -6.5% since inauguration.
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
No model change: LONG #SPX and LONG #VIX options and SHORT futures. Key level is now VIX at 27.56 to go to 2X LONG SPX. #VIX 18.39 to go to cash. Model positive on the year.
#volatility
#stockmarket
#volatility
#stockmarket
May 5, 2025 at 8:49 PM
No model change: LONG #SPX and LONG #VIX options and SHORT futures. Key level is now VIX at 27.56 to go to 2X LONG SPX. #VIX 18.39 to go to cash. Model positive on the year.
#volatility
#stockmarket
#volatility
#stockmarket
Flat day for Trump 2. Now down -5.37% since inauguration.
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
May 5, 2025 at 8:47 PM
Flat day for Trump 2. Now down -5.37% since inauguration.
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
No model change: LONG #SPX and LONG #VIX options and SHORT futures. Key level is now VIX at 27.5 to go to 2X LONG SPX. #VIX 18.35 to go to cash. Have a good weekend
#volatility
#stockmarket
#volatility
#stockmarket
May 2, 2025 at 8:53 PM
No model change: LONG #SPX and LONG #VIX options and SHORT futures. Key level is now VIX at 27.5 to go to 2X LONG SPX. #VIX 18.35 to go to cash. Have a good weekend
#volatility
#stockmarket
#volatility
#stockmarket
Solid week for Trump 2. Now down -5.17% since inauguration, and ahead of #GWB. Market putting a lot of faith in no/limited tariffs going forward
@indistinguished.bsky.social
(Not winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
@indistinguished.bsky.social
(Not winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
May 2, 2025 at 8:52 PM
Solid week for Trump 2. Now down -5.17% since inauguration, and ahead of #GWB. Market putting a lot of faith in no/limited tariffs going forward
@indistinguished.bsky.social
(Not winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
@indistinguished.bsky.social
(Not winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
Good day for Trump 2. Now down -6.55% since inauguration, and still the worst. This may be the best it gets before a horrible next couple of months
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
May 1, 2025 at 8:50 PM
Good day for Trump 2. Now down -6.55% since inauguration, and still the worst. This may be the best it gets before a horrible next couple of months
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
No model change: LONG #SPX and LONG #VIX options and SHORT futures. Key level is now VIX at 27.4 to go to 2X LONG SPX. #VIX 18.28 to go to cash. Model positive on the year.
#volatility
#stockmarket
#volatility
#stockmarket
May 1, 2025 at 8:48 PM
No model change: LONG #SPX and LONG #VIX options and SHORT futures. Key level is now VIX at 27.4 to go to 2X LONG SPX. #VIX 18.28 to go to cash. Model positive on the year.
#volatility
#stockmarket
#volatility
#stockmarket
Sorry, no updates today, stuck getting motorcycle serviced
April 30, 2025 at 9:21 PM
Sorry, no updates today, stuck getting motorcycle serviced
No model change: LONG #SPX and LONG #VIX options and SHORT futures. Key level is now VIX at 27.74 to go to 2X LONG SPX. #VIX 18.51 to go to cash
#volatility
#stockmarket
#volatility
#stockmarket
April 29, 2025 at 8:50 PM
No model change: LONG #SPX and LONG #VIX options and SHORT futures. Key level is now VIX at 27.74 to go to 2X LONG SPX. #VIX 18.51 to go to cash
#volatility
#stockmarket
#volatility
#stockmarket
Good Day for Trump 2. Now down -7.27% since inauguration. Still below #GWB.
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
April 29, 2025 at 8:49 PM
Good Day for Trump 2. Now down -7.27% since inauguration. Still below #GWB.
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
Flat day for Trump 2. Now down -7.82% since inauguration. Below #GWB.
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
April 28, 2025 at 8:50 PM
Flat day for Trump 2. Now down -7.82% since inauguration. Below #GWB.
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
No model change: LONG #SPX and LONG #VIX options and SHORT futures. Key level is now VIX at 27.76 to go to 2X LONG SPX. #VIX 18.53 to go to cash
#volatility
#stockmarket
#volatility
#stockmarket
April 28, 2025 at 8:49 PM
No model change: LONG #SPX and LONG #VIX options and SHORT futures. Key level is now VIX at 27.76 to go to 2X LONG SPX. #VIX 18.53 to go to cash
#volatility
#stockmarket
#volatility
#stockmarket
No model change: LONG #SPX and LONG #VIX options and SHORT futures. Key level is now VIX at 28.57 to go to 2X LONG SPX. #VIX 19.07 to go to cash. Have a good weekend
#volatility
#stockmarket
#volatility
#stockmarket
April 25, 2025 at 8:54 PM
No model change: LONG #SPX and LONG #VIX options and SHORT futures. Key level is now VIX at 28.57 to go to 2X LONG SPX. #VIX 19.07 to go to cash. Have a good weekend
#volatility
#stockmarket
#volatility
#stockmarket
Several good days in a row for Trump 2. Now down -7.86% since inauguration. Below #GWB.
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
April 25, 2025 at 8:54 PM
Several good days in a row for Trump 2. Now down -7.86% since inauguration. Below #GWB.
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump
@indistinguished.bsky.social
(winning)
#Trump
#Tarrifs
#SPX
#TrumpSlump