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How to understand these VIXY moves?

  1. I am relatively new to VIX and its ETFs. But as far as I know VIXY tracks the S&P 500 VIX Short-Term Futures Index, and when S&P 500 shows more volatility, VIXY would move more. But in the recent days it doesn’t show this character or even show the opposite (please see the attached chart and the notes).

    What are the recent VIXY moves implying?
  2. I traded the VXX on Friday and noticed it closing at highs on Thursday. This is a great blog to follow to understand VIXY, TVIX, and VXX a bit better. This guy knows his shit.

  3. Thanks for the link. There are some good articles there.

    But so far it seems to me that VIX or VXX etc. are often moved by expectation or the supply/demand of the ETFs, rather than following the SPX volatility formula. Or say they follow SPX volatility formula only some of the time :confused:
  4. They don't follow the spot VIX, they follow the 1m VIX futures - so they will not follow the VIX. They also suffer/profit from contango/backwardation from time to time.
  5. And to make it more confusing, the VIX futures (that drive the VXX) don't settle on an underlying calc'd the same way as the spot VIX you see quoted. Generally the same, but enough differences that you can see the two not converge at expiration.
  6. 3/19 is another obvious example, VXX down $1.30 but TVIX up $0.26 (they also moved in different directions the day before ). I guess VXX TVIX VIX should be treated as different animals. They may move in different directions whenever they want and don't have to follow the rule?

    How do you understand this:confused:
  7. http://vixandmore.blogspot.com/

    see wed march 7th postings for why tvix is all screwed up
  8. Thank you for the link. But too bad I have no access to that website from my area right now(I'm traveling). I'll take a look after the trip.
  9. no problem my friend.

    IMHO I'd stay away from tvix like the plague it's a broken instrument not acting like it's stated purpose.
  10. Thanks for the article! Now I've got some basic idea why TVIX behaves strangely. I will stay away from TVIX for now. It seems the VIX and its related products are quite complicated, I guess more careful TA is also needed when trading them.
  11. UVXY should be a good substitute for the TVIX strategy .
  12. tvix has apx 89% premium to Indicative value.

    But I wouldn't try to short is as CS surely will not offer more creation units until volatility spikes.

    If you are into it , it could be an arbitrage play.
  13. FWIW....
    1) The inverse correlation between the VIX and S&P is "only" ~85% according to the CBOE. :)
    2) On Fridays, there can be outright put-buying that pumps up the VIX while not being hedged in the S&P which can create the appearance of divergence or lack of correlation. :cool:
    3) If no earth-shattering news occurs over the weekend, the market tries to find a way to "even" things back out, which may defy conventional/linear "logic". :eek:
  14. so what anii were long tvix?

    must be et posters.
  15. lol, only a congenital idiot held this long.