Friday, 29 July 2016

TVIX, UVXY - a fifth week of horror

With US equities settling July at/near historic highs, the VIX remained very subdued. The 2x lev' bullish VIX instruments were under strong downward pressure, seeing net weekly declines of -18.4% and -17.9% respectively. The VIX looks set to remain broadly low into mid/late September.

TVIX, daily

UVXY, daily


First, an update on the VIX, which saw a net weekly decline of -1.2%

As for TVIX and UVXY... it was a fifth consecutive net weekly decline, as equities remained broadly strong, with a VIX reflecting a confident capital market.


As ever... due to the inherent statistical decay problem, holding such leveraged instruments across multiple weeks rarely works out well.

*UVXY saw a reverse split this past Monday... TVIX will no doubt follow.. although I'm unaware of any scheduled date.