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Particularly interesting given the decline in stocks, the VIX (VXX -0.7%) is also sliding. The...

Particularly interesting given the decline in stocks, the VIX (VXX -0.7%) is also sliding. The VIX nearly always rises when stocks decline as investors are willing to pay up for equity index options. Surely one of these gauges is getting it wrong.
Comments (22)
  • Charles U. Farley
    , contributor
    Comments (14) | Send Message
     
    I'm long a crap-ton-load of VXX AND the ES, so, I think it's just ME getting it wrong.

     

    (Boyyyyy, looking forward to doing the contango right out of these positions. Flatness is a blesssssssingggggg.)
    10 Oct 2012, 03:37 PM Reply Like
  • thandigloria
    , contributor
    Comments (4) | Send Message
     
    Yes its hard to be long vol when contango is eating away at it all the time. I would stay away from these unless you are buying puts or have impeccable timing.
    10 Oct 2012, 03:47 PM Reply Like
  • vision3001
    , contributor
    Comments (212) | Send Message
     
    This is an extract from Bill Luby's paid news email/letter: "I have received several inquiries about why the VIX was down with the DJIA down 128 points. The short answer is that yesterday's movement in the VIX anticipated some of today's selloff. Yesterday the SPX was down 0.99%, while the VIX was up 8.3%. Today the SPX was down 0.62%, while the VIX was down 0.5%. Both of these data points are outliers, but when one considers that the VIX typically moves about -4.2x of what the SPX does in percentage terms, if one looks at both days the SPX was down 1.55% and the VIX was up 7.8%, about -5x of the move in the SPX and right in line with historical norms."
    10 Oct 2012, 11:10 PM Reply Like
  • jplakal
    , contributor
    Comments (3) | Send Message
     
    Is it because of the volatility calculations for using historical volatility vs intra day volatility? If any one know let me know
    10 Oct 2012, 03:39 PM Reply Like
  • thandigloria
    , contributor
    Comments (4) | Send Message
     
    Every day these derivative instruments sell the current VIX front month day and purchase the second month future. As long as the VIX futures are in contango then they are paying more for the 2nd month future thereby degrading the value of the instrument. These things only really explode when the VIX futures are in backwardation.
    10 Oct 2012, 05:50 PM Reply Like
  • thandigloria
    , contributor
    Comments (4) | Send Message
     
    One more thing...this contango issue is why the hosts of these instruments warn you that the ultimate value of UVXY TVIX VXX is Zero . As long as VIX futures are in contango these will degrade to nothing or just keep reverse splitting so they can continue the downward path.
    10 Oct 2012, 06:00 PM Reply Like
  • Profitsee
    , contributor
    Comments (4) | Send Message
     
    If that be the case, then shouldn't one be continually long the ZIV, mid-term inverse VIX ? If contango, then they converge to zero, more + on the ZIV going down less the loss on UVXY ? 3:1 ratio ? Everyone overpays for insurance it seems
    11 Oct 2012, 05:26 AM Reply Like
  • samrush
    , contributor
    Comments (117) | Send Message
     
    this means that no one is anticipating a crash
    11 Oct 2012, 01:28 PM Reply Like
  • Jon Peter
    , contributor
    Comments (809) | Send Message
     
    The spot VIX is not popping. No real fear, i guess. This selling is likely very short term.
    10 Oct 2012, 03:46 PM Reply Like
  • samrush
    , contributor
    Comments (117) | Send Message
     
    this is what everyone is expecting but anyone expecting a crash
    11 Oct 2012, 01:29 PM Reply Like
  • varunvasudeva
    , contributor
    Comment (1) | Send Message
     
    vix futures settle next wednesday, that's probably why spot is inching lower, but mid next week, we could see the new, current spot be a little higher
    10 Oct 2012, 04:13 PM Reply Like
  • EARLPEARL
    , contributor
    Comments (254) | Send Message
     
    i thought tvix was a steal at 3 bucks...i really loaded up at 2.25 and i have bought 10,000 more under 1.50....today baffles me..up 8% yesterday and down today??????????
    10 Oct 2012, 04:18 PM Reply Like
  • shild
    , contributor
    Comments (53) | Send Message
     
    I cant tell you short-term but if you look at the long term futures and options for 3 months and 6 months out, the VXX and UVXY and TVIX will explode in the long-term. I loaded up.
    10 Oct 2012, 04:22 PM Reply Like
  • 4cessna
    , contributor
    Comments (74) | Send Message
     
    What is to fear? The fed has the investors' back. See Barrons.com article today on VXX, UVXY.
    10 Oct 2012, 05:08 PM Reply Like
  • eastofeden
    , contributor
    Comments (4) | Send Message
     
    How can you tell where your at with TVIX contango if bought on 9/15 and 9/26?
    10 Oct 2012, 09:13 PM Reply Like
  • iBAIT
    , contributor
    Comment (1) | Send Message
     
    Simply put, the ^VIX is down today. Nothing is wrong with TVIX; everyone likes to make TVIX a punching bag in a bull market running on QE. If anything, blame the ^VIX. And if you're going to establish the casual relationship that short S&P = long TVIX, then you may need to do some more research on the VIX.
    10 Oct 2012, 09:38 PM Reply Like
  • bull_market_somewhere
    , contributor
    Comments (115) | Send Message
     
    they're trading like expiring options contracts.
    11 Oct 2012, 08:12 AM Reply Like
  • sharris117
    , contributor
    Comments (10) | Send Message
     
    The way I see the VXX is purely out of naivety , Everyone is writing about contango’s of which I find fascinating. My approach to VXX is simple it seems to me when the market goes down ( not always ) the VXX goes up i.e. today (10/23/12), So I am betting that the election will bring a market crash, and I am using the VXX to offset my losses.
    23 Oct 2012, 11:57 PM Reply Like
  • sharris117
    , contributor
    Comments (10) | Send Message
     
    A private equity investor
    24 Oct 2012, 12:06 AM Reply Like
  • tundra12
    , contributor
    Comments (4) | Send Message
     
    What do you think about a long position in VXX? I bought at $11.71 before the reverse split. So I have to get to $46.84 to break even....
    24 Oct 2012, 04:46 PM Reply Like
  • tundra12
    , contributor
    Comments (4) | Send Message
     
    I bought VXX at $11.71 ($46.84 reverse split adjusted). Do you think I'll be ok going long on it? Or should I get out while I've only lost 20%?
    24 Oct 2012, 04:45 PM Reply Like
  • tundra12
    , contributor
    Comments (4) | Send Message
     
    I'm long VXX. Bought at $11.71 (now $46.84 after reverse split. What do you think about my chances of making money?
    24 Oct 2012, 04:46 PM Reply Like
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