Friday, 21 October 2016

TVIX, UVXY - a rough week with new historic lows

Whilst equities saw a great deal of chop this week, the VIX broadly cooled to the low teens. The 2x lev' bullish instruments of TVIX and UVXY saw net weekly declines of -18.6% and -19.1% respectively. Near term outlook offers a strong rebound, as VIX is set to challenge the key 20 threshold.

TVIX, daily

UVXY, daily


First, an update on the VIX, which saw a net weekly decline of -17.2%

As for TVIX and UVXY.... the net weekly declines are especially harsh, as equities saw a broad failure to continue pushing upward from last week's low of sp'2114.

Considering the looming election, the VIX remains bizarrely subdued. Some degree of rebound looks due next week.

It is hard to see the VIX not making at least one or two attempts to reach the key 20 threshold into early November. The weekly VIX chart is offering the 20/22 zone, which would likely equate to sp'2080/70.

As ever, the issue of statistical decay makes holding such leveraged instruments across multiple days... or weeks... increasingly problematic.