Friday, 23 September 2016

TVIX, UVXY - rough week for the VIX instruments

With equities net higher for the week, the VIX significantly cooled. The 2x lev' bullish VIX instruments of TVIX and UVXY, settled net lower by a severe -25.1% and -25.3% respectively. Near term outlook offers higher equities, with VIX in the low/sub-teens.

TVIX, daily

UVXY, daily


First, an update on the VIX, which saw a net weekly decline of -20.0%.

As for TVIX and UVXY, with the FOMC deciding to refrain (not surprisingly) raising rates, a large amount of uncertainty has been removed, and thus the VIX instruments have been crushed lower.

There is of course the underlying problem of statistical decay. Even if the market can't break significantly higher in the near term to the sp'2200s.. neither does it look liable to break significantly lower. 

For the moment, the VIX-long trade remains dead.