Friday, 12 August 2016

TVIX, UVXY - seven weeks of horror

With equity indexes breaking new historic highs, the VIX remained broadly subdued. The 2x lev' bullish instruments of TVIX and UVXY continued to decay, with net weekly declines of -6.5% and -6.0% respectively. Near term outlook offers no realistic hope that the VIX will see any sustained/significant upside.

TVIX, daily

UVXY, daily


First, an update on the VIX, which saw a net weekly gain of 1.4%.


As for TVIX/UVXY.... despite a net weekly gain in front month VIX, both instruments still declined for a seventh consecutive week!

Now we have TVIX and UVXY having both recently had reverse splits. As ever, mid/long term decay is an inevitable element of such leveraged products.

To me, the VIX-long trade appears dead until mid/late September. Even then, the key VIX 20 threshold might not be seen for some further months... as central banks continue to increase global QE, and keep rates at emergency levels.