Saturday, 22 December 2012

TVIX, UVXY - a third day higher

Despite the main volatility index closing a mere 1% higher, the 2x leveraged bullish volatility instruments TVIX and UVXY closed Friday around 13% higher. This was the third consecutive daily close to the upside. Volume was also markedly higher.

TVIX, daily

UVXY, daily


I just wanted to just do a quick update on these two crazy instruments.

First, its notable that TVIX has finally seen a much needed reverse split of 1 for 10. This gets TVIX back into the 10s, and will certainly make the instrument more tradeable, not least in terms of the bid/ask spread.

Friday trading volume was significantly higher than normal, especially for TVIX, although part of the reason is no doubt due to it being quadruple witching (December option expiration).

The VIX itself rose for a fourth consecutive week, and with still no agreement on delaying (partly..or fully) the looming tax rises/spending cuts, it is not surprising that volatility is creeping higher.

Yet, as noted by many, the key VIX 20 threshold is yet to be broken.

Special note, it appears both TVIX and UVXY declined by 3% in Friday AH trading, although that is still a net gain for the day of 10%, which considering the main VIX was only 1% higher, is pretty notable.