Friday, 9 September 2016

TVIX, UVXY - net weekly gains

With US equities unravelling into the weekend, the VIX soared, and that saw the 2x lev' bullish VIX instruments of TVIX and UVXY settling with net weekly gains of 22.6% and 22.7% respectively. With the breakout level of sp'2134 failing to hold, near term outlook offers at least a little further upside in volatility.

TVIX, daily

UVXY, daily


First, an update on the VIX, which saw a powerful net weekly gain of 46.1%

After the Friday surge to VIX 17.50, The VIX 20 threshold is now within range. Underlying MACD (blue bar histogram) cycle is positive for the first time since early July.

Upper weekly bollinger is offering the 21/22s next week... which would likely require sp' <2100.

As for TVIX and UVXY, rather powerful net weekly gains, although its somewhat ironic that today's gains only bring the instruments back to levels from last week.

The statistical decay remains a near relentless problem. As ever.. mid/long term holds do not end well.