FCF or Bust

Style Agnostic | Capital Structure Agnostic | Never Long Frauds | 90% Indexed with 10% Fun Money | Mostly retweets, not investment advice

[FCF or Bust @CapStructKing]

@Mr_Neutral_Man Perks of low supply!

[Matias Scalbi @MatiasScalbi]

🔥 "The Volatility Edge" Esta estrategia de volatilidad hizo +86,9% en 2008, el año que el S&P 500 se desplomó 36,8%. Y rinde 16,3% anual desde entonces cobrándole el miedo al mercado

Zarattini y Aziz, los mismos del paper de ayer, se juntaron con Antonio Mele, profesor del Swiss Finance Institute, para atacar el trade más temido del mercado: vender volatilidad

La idea de fondo es simple. El VIX sobreestima la volatilidad que después se materializa el 80% del tiempo, porque la gente paga de más por asegurarse

El que vende ese seguro cobra una prima. El problema es que cobrás de a poquito y cada tanto viene un 2008 o un COVID y te lleva puesto

El paper arma 4 versiones de la estrategia, de la más naive a la más fina, usando solo ETNs de VIX que opera cualquiera:

- Pasiva, siempre vendido: 6,2% anual, Sharpe 0,48, drawdown de 32%
- Con filtro de prima esperada: 6,9% anual y menos drawdown
- Sumando la pendiente de la curva del VIX, y si se invierte se pone COMPRADA de volatilidad: 10,5% anual, Sharpe 0,87
- Con tamaño dinámico según el nivel del VIX: 16,3% anual, Sharpe 1, correlación de 15% con la bolsa

Los años bravos son una bestia:
- 2008: +86,9% contra -36,8% del S&P
- 2020: +42,3%
- 2022: +1,8% contra -18,2% del S&P

Todo neto de costos de transacción. Y el detalle que más me gustó: publicaron el código Python completo para automatizarla por la API de Interactive Brokers, gratis

Para no vender humo: vender volatilidad ya fundió gente, XIV cayó 97% en UN día en 2018 y lo terminaron cerrando. La diferencia entre cobrar la prima y volar por los aires son las reglas y el tamaño de la posición

Mi conclusión: la volatilidad dejó de ser terreno exclusivo de los hedge funds, pero es un seguro que cobrás de a centavos y pagás de a millones si no tenés reglas

Link al paper en el primer comentario

[FCF or Bust @CapStructKing]

@taobanker Feels like you might be better off entering on the next leg down if the region sees a repeat of the 97 Asian financial crisis.

[FCF or Bust @CapStructKing]

@yenoms Never mind, was thinking of Blue Owl parent 2028s. Interesting to see Blue Owl parent and Ares Strategic Income at same credit ratings.

[FCF or Bust @CapStructKing]

@Mr_Neutral_Man Can you start wearing Gap so the stock starts gapping down too?

[FCF or Bust @CapStructKing]

@Mr_Neutral_Man Honestly not that incremental for a heavy equity focus but does come in handy for the options or fixed income stuff.

[FCF or Bust @CapStructKing]

@AuclairsDad Only the cutest girls wearing the grippiest of socks.

[FCF or Bust @CapStructKing]

@calvinfroedge Ah $SSL, basically the cleanest way to play oil price in a chems wrapper.

[Adam Butler @GestaltU]

Open model capabilities now exceed what is required for most enterprise tasks. Which - along with the ability to self-host for security purposes - is prompting enterprises to switch away from expensive private models toward open models like Deepseeks at a fraction of the cost.

[FCF or Bust @CapStructKing]

@Mr_Neutral_Man @thepupil11 Long corn farms, short bitcoin farms

[@aahan_prometheus @AahanPrometheus]

Macro Regime Views 🧵

Quick thread on our macro views and how we’re thinking about playing them.

And ofc some systematic applications

0/13

[Imran Lakha | Options Insight @options_insight]

Looking at the skew dashboard right now...

Bonds skew put biased. Gold skew put biased. Equities put skew cheap as chips. One of them is wrong.

Bond put skew is sitting around the 75-85th percentile. Gold put skew is 85th percentile. Investors are loading up on downside protection outside of stocks.

Equity put skew? Near bottom-of-range.

Three asset classes, three reads on the same macro. One of them is probably mispriced. I don't know which way it resolves, but it doesn't tend to sit like this forever.

For me, I kind of think it gets resolved by equity skew catching a bid rather than the other way around. Stocks ignoring what bonds and gold are pricing usually ends with the put skew waking up.

Doesn't mean short stocks. Could mean owning a few equity puts before the rest of the surface catches up makes sense.

[carried_no_interest @carrynointerest]

It begins:

The whole thesis I hear VCs say of “you will always want the latest frontier model” falls apart once unit economics come into question

[Craig Fuller 🛩🚛🚂⚓️ @FreightAlley]

Trucking spot rates have never moved up this fast, ever - including early COVID.

The weekly average for truckload spot rates moves to a new all-time high of $3.71/mile.

It took 43 weeks for spot rates to increase by $1.38/mile during early COVID (April - Feb 2021).

It has taken only 29 weeks to achieve the same increase (Nov 2025 - June 2026).

[FCF or Bust @CapStructKing]

@SowingAlphaSeed @ptuomov Even funnier considering that USMV owns Microsoft, Nvidia, Cisco, and IBM. Might as also own Intel too.

[FCF or Bust @CapStructKing]

@taobanker Fair point on management innovation. Personally biased towards businesses that do well regardless of management and Autotrader probably leans more that way.

[FCF or Bust @CapStructKing]

@taobanker Close to a like-for-like autos sales platform comp but with a more interesting market position

[FCF or Bust @CapStructKing]

@blondesnmoney Cluseau mogging on the brokermaxxors again.