Hi, I am wondering what is happening with this ETFs as of 8/25. The ETF SVXY, which holds a short position in the 1st and 2nd month VIX futures, is in negative terrorority today even though the vix futures are down. This obviously makes no sense. Similar things are happening with other ETFs like XIV and VXX. I know there are all sorts of issues with funds (Leverage issues, ETNs shutting down, etc), but I have never heard of a fun not being able to perform to what its holdings. Does anyone know how this is happening and what someone can do if they own these ETFs? Thanks!
Don't own those etfs is what you do ... Huge tracking error as a result of changes in the term structure
I have never seen a tracking error in the ETFs up until today. This ETFs track their holdings (the vix futures well). For whatever reason, after tracking everything correctly up until yesterday, they now appear to be acting illogical given what they own. The nav will come up at 4:15 and that should technically list the correct price for the stock given the futures the fund owns and the amount of shares outstanding. When this NAV price comes out will the stock "reset" to the price it should be at? Would love to here some educated responses on this topic if anyone has any knowledge. Thanks!
I was thinking the same thing VXX and SVXY I believe should come in as the inverse of each other so their % returns should be relatively close to equally opposite. There is about a 2.5% difference right now
Cut & Paste from the Yahoo SVXY Boards to a similar question. Reply 1 "The VIX is a measure of the implied volatility of S&P 500 index options. It is calculated by the Chicago Board of Trade and is calculated for at least 15 minutes after SVXY has closed trading. Yesterday, the VIX kept rising after SVXY has ceased trading for the day. Although SVXY closed at 57.14 yesterday, the net asset value at the time at which the VIX closed was 52.07. So the net asset value of SVXY was actually about 8.87% below its closing value. As of right now, the VIX is down 24% and SVXY is down about 0.51%. However, the net asset value of SVXY is actually up about 9.2%. During large moments of the VIX, SVXY tends to move about 40% as much in the opposite direction. So this price of SVXY is about what I would expect it to be today. If you want to see the net asset value of SVXY, look up the quote on Yahoo Finance for ^SVXY-IV" Reply 2 "Yes, the VIX is crashing but the futures are showing a 10% backwardation. That works against SVXY."
Really surprising to see a 10% difference between NAV and closing price on SVXY. I would expect an intelligent person with speed to have arbed it to next to nothing by the close. @garachen Although I guess you would need to know all the fine details on their exact holding/changes throughout the day perhaps.
I noticed that as well with XIV, futures were up 500 points....500 points, not 5 or 50 but 500+ points and xiv was up about $1.08, I laughed because when I saw TVIX down nearly $3.00 it didn't make any sense at all...with the dow up 400+ points xiv should have skyrocketed at least 8-10%
The net change values you see for the ETFs are based on the previous day's close at 4pm. The net change values you see for VIX and VIX futures are based on the previous day's close at 4:15pm. A lot can happen in those 15 minutes. Same thing with SPY (close price is 4pm) and ES futures and SPY options (close price is 4:15pm).
Guys, the VIX is in STEEP backwardation!!!!!! You cannot buy XIV here without bleeding to death. The market is paying you to be long vol not short it. As long as we are in backwardation you should not be buying short vol ETFs. They roll every day at a loss!!!!!! Come on guys.
I would think it depends on your holding period and size as well.. But obviously you don't think the volatility is done Mav????