Friday, 7 October 2016

TVIX, UVXY - the usual decay

With equities seeing a lot of moderate chop, the VIX remained broadly subdued. That has resulted in the 2x lev' bullish VIX instruments of TVIX and UVXY seeing net weekly declines of -4.4% and -4.6% respectively. Near term outlook offers very little hope that market volatility will pick up.. despite the looming earnings and election.

TVIX, daily

UVXY, daily


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

As for TVIX and UVXY.. its merely the same old problem....

If equities are choppy... that isn't enough to inspire a sustainably higher VIX. Indeed, such trading conditions are only marginally less bad than a soaring market.. as the statistical decay is a near relentless problem.

Yours truly has ZERO interest in being long the VIX. That view would only change if a monthly close in the sp'2050s or lower.... and that sure doesn't look likely for the remainder of this year.