Friday, 1 July 2016

TVIX, UVXY - a weekly swing of horror

Despite equities starting the week significantly lower, the VIX failed from the start, and was indeed an early warning of a turn. With the VIX collapsing from the 26s to the 14s, the 2x lev' bullish instruments of TVIX and UVXY, saw severe net weekly declines of -38.1% and -41.0% respectively.

TVIX, daily

UVXY, daily


First, an update on the VIX, which saw a net weekly decline of -42.7%.

As for TVIX/UVXY, what a nightmare!

It was notable as early as pre-market on Monday, that with the VIX -1%, there was 'an issue'.

With a massive equity ramp from sp'1991 to 2108, the VIX has imploded, almost cut in half.

Naturally, we've already seen both instruments break new multi-week... and indeed, new historic lows.

As ever, such instruments are for short term trading only. It remains notable that as volatility itself increases, the problem of 'statistical decay' itself increases.

*yours truly remains long the VIX from the 17s, seeking an exit in the 19/20 zone, by next Friday.