Friday, 14 October 2016

TVIX, UVXY - a mixed week in volatility land

With key lows of sp'2119 and Dow 18k failing to hold, the VIX climbed to the upper 17s this week. The 2x lev' bullish instruments of TVIX and UVXY saw net weekly gains of 10.4% and 10.6% respectively. With equities unable to hold support, the door is open to a further 3% of downside, which would equate to VIX in the low 20s.

TVIX, daily

UVXY, daily


First, an update on the VIX, which saw a very significant net weekly gain of 19.6%

As for TVIX and UVXY, it is notable that despite settling the week net higher, both instruments did break new historic lows.

The underlying issue of statistical decay will always be a problem, especially for those holding across multiple weeks.. or even just overnight.

*things only get hyper-bullish for volatility, if we see a daily close in the sp'2050s. Until then... TVIX/UVXY will remain broadly vulnerable to the usual decay.