Seeking Alpha
  • Charles Santerre
    $VIX $VXX $XIV $SVXY Must resist the song of the sirens to jump in $XIV. How much longer can it go up? Crazy town.
    10/17/13
    Reply (18)
    • Rubenov: Technically, it will go up forever, through ups and downs, barring the end of the world.
      10/17/13
    • thetortoise: Buy $ZIV instead at this point. Avoid the volatility while collecting contango.
      10/17/13
    • Evanku2007: It can go a lot higher...as long as there is a contango situation within the futures. I hold SVXY in my Roth.
      10/18/13
    • Evanku2007: I like the structure of ZIV much more than XIV, but has anyone back-tested/compared results between then two longer than ~ 1 / 1.5 years?
      10/18/13
    • thetortoise: my thought is the contango on $ZIV should be much greater than $XIV, and the volatility much less over time. Unsure how to validate this.
      10/18/13
    • thetortoise: i also hold these in my ROTH. makes buy and hold for awhile make more sense due to the 'free-riding' rules. i'm 60/40 $ZIV to $XIV today.
      10/18/13
    • Fred Piard: $XIV will go up until a termination event, for ex. a 100%+ intraday move in the VIX. Instruments for traders, not buy-and-hold investors.
      10/18/13
    • Fred Piard: A VIX ETN termination with value close to zero has already happened in the past. Hope is not a strategy.
      10/18/13
    • Evanku2007: The highest single day move I have researched is Feb 27 2007 of 64%.
      10/18/13
    • Evanku2007: 64% is single day movement, not intraday like you mentioned. Can you provide example where intraday was >100+?
      10/18/13
    • Evanku2007: In addition, how could a termination event occur since current and forward futures prices also change with movement in spot VIX?
      10/18/13
    • Fred Piard: I think last intraday VIX move above 100% was in February 2007. Check it if you want. A sure thing is that it has already happened.
      10/19/13
    • Fred Piard: More info about latest terminations in VIX ETPs on smaller moves: http://yhoo.it/1gURs65
      10/19/13
    • Fred Piard: A termination on ZIV is much less likely than on XIV. Mid term futures have more resilience.
      10/19/13
    • Evanku2007: I appreciate the information Fred. I'll look over it this weekend. Thankyou.
      10/19/13
    • thetortoise: Wow Fred this is incredibly useful information. I had no idea there were actually inverse VIX ETN termination events in the past! Thank you
      10/19/13
    • thetortoise: I thought this would be black swan only. 2007 was not black swan in my book. $ZIV seems much safer in this context.
      10/19/13
    • Charles Santerre: Except $ZIV daily volume is approx 500k only.
      10/21/13