Friday, 11 November 2016

TVIX, UVXY - post election implosion

With the uncertainty of the election out of the way, equities soared, and the VIX collapsed. The 2x lev' bullish instruments of TVIX and UVXY duly imploded, with net weekly declines of -33.5% and -33.6% respectively. Near term outlook offers moderate upside next Mon/Tue, but decaying across the mid/long term.... as.... ever.

TVIX, daily

UVXY, daily


First, an update on the VIX, which saw a net weekly decline of -37.0%

Note the underlying (blue bar histogram) cycle, which is on the high side, and has ticked lower this week. In theory, the VIX can broadly cool all the way into Jan' 2017.

As for TVIX and UVXY... it was looking rather good overnight Tuesday. With the futures showing the equiv' of sp' -107 handles, and the VIX +40% to around 23.

Despite equities opening significantly lower on Wednesday, the VIX still gaped significantly lower.

The sp' will probably cool a little early next week to at least test the 50dma around 2145, but that will likely only inspire the VIX to the 16/17s. Broadly, the market looks strong into end month, and indeed, into early 2017.

As ever... holding such instruments overnight, across the weekend, or worse.. multiple weeks.. almost always ends badly.. due to a number of issues... not least.. statistical decay.