Friday, 26 June 2015

TVIX, UVXY - net weekly declines, despite a higher VIX

With equities seeing moderate net weekly declines, the VIX saw a net weekly gain of 1.6% @ 14.19. Yet, the 2x bullish lev' instruments of TVIX and UVXY still saw net weekly declines of -10.7% and -10.2% respectively. Volatility continues to remain subdued, but does look set to briefly jump >20, in the Aug-Oct' time frame.

TVIX, daily

UVXY, daily


*first, an update on the VIX weekly..

As for TVIX/UVXY, the net weekly declines are testament of the ongoing near total market complacency, along with the underlying problem of statistical decay in such leveraged instruments.

Of course TVIX/UVXY are not based on pure front month VIX, but on a number of VIX futures (2-3 months ahead I believe).

At some point in the late summer, TVIX/UVXY will likely soar... but the gains will be brief, and then the relentless decay will lead to new lows.

*I hold LONG VIX across the weekend (from 12.98).... seeking an exit in the 16/17s... if sp'2060s next week. That is really the best case though, and I sure don't expect VIX to break/hold the key 20 threshold in the near term.