SVXY @ significant drawdown

bbpp · Mar 10, 2017

guspenskiy13 said:
The dates are obviously wrong, but yeah...simulated based on /VX values at that time...which would be quite different these days, given the size of short vol complex and de-leveraging which would occur...

It's impossible to time the exact bottom - I would rather look at the duration/severity of the vol spike...which would contribute to the cheaper prices in the ETF...for the obvious reasons.
So, the DDs are inevitable - I've experienced -20% and more in these instruments. Shouldn't be a big concern, given their mechanics.

I'm not sure, how reverse split would influence the returns of a position/DD of the instrument.

This is interesting - I believe the same issue was experienced by TVIX a long time ago...would it "correct itself" or how significant could it be?

Paper losses are inevitable, -20% is the minimum to prepare for. Part of the trade is about quick drop in vol from the spike, part of it is about a slow/grinding decrease in overall volatility levels/term structure...What I like about the ETF vs. option spreads - is this ability to consistently short elevated VIX/VX complex over a long period of time..

In terms of the inverted curve...seems to be a common/popular belief, but I've always attributed the VXX/UVXY losses to the overall /VX curve levels vs. VIX. Why does it lose value? It buys second and sells front; in a stable environment 2nd /VX is typically priced 2-3 points above the spot @ settlement, which are lost by the ETPs...I've found it to be useful to do a very simple estimation of prices, at which the ETP acquires 2nd month - which is typically 5% on any given day.
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Your chart shows XIV had 90% in 1903, which could not be true.There were no options, nor VIX at that age.

BTW, SVXY never had a reverse split. Don't compare SVXY with VXX, they are opposite entities. What caused VXX reverse split, has caused SVXY to continue going up.

guspenskiy13 · Mar 10, 2017

bbpp said:
Your chart shows XIV had 90% in 1903, which could not be true.There were no options, nor VIX at that age.
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I think I've said "...the dates are obviously wrong...".

I have simulated data for VXX/UVXY/XIV since 2004, if you are interested.

jimmyjazz · Mar 11, 2017

Can anyone point to a reliable source of weekly or monthly data for SVXY? Proshares website says the inception date was 10/3/2011 but Yahoo! Finance data only goes back to 2014. I can get the daily performance from ProShares but converting that to weekly or monthly data is a pain I'd rather not endure.

guspenskiy13 · Mar 11, 2017

jimmyjazz said:
Can anyone point to a reliable source of weekly or monthly data for SVXY? Proshares website says the inception date was 10/3/2011 but Yahoo! Finance data only goes back to 2014. I can get the daily performance from ProShares but converting that to weekly or monthly data is a pain I'd rather not endure.
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Here is a spreadsheet, which you can use for any stock/index...

trader42 · Feb 1, 2018

bbpp said:
Where you see SVXY had 90% DD in 2008?
Can you share a link? I saw somewhere it was 73% DD.
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https://seekingalpha.com/article/4095356-profiting-market-volatility-anti-vix-etf-svxy

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SVXY @ significant drawdown

bbpp

guspenskiy13

jimmyjazz

guspenskiy13

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trader42