UVXY Archives - Cboe Blogs

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 30, 2017, 9:10 AM

    Weekend Review of Volatility Indexes and ETPs - 4/24/2017 - 4/28/2017

    Weekend Review of Volatility Indexes and ETPs - 4/24/2017 - 4/28/2017

    S&P 500 implied volatility was dramatically lower last week.  Of significance is VXV which hit 2017 lows.  I’m teamed up with an academic putting the final touches on a study showing that VXV leads VIX so this may be a signal that the low for VIX in 2017 hasn’t be established and a close below 10.00 is a distinct possibility.  Beyond the long ETPs on the table, which had a pretty tough week, are some other markets worth noting.  First, TYVIX, which was over[...]

  • VIX | Trader Talk | Trade Ideas | Apr 29, 2017, 9:27 AM

    Outcome: Net Fun

    Outcome:  Net Fun

    Shorting UVXY is sort of like making pancakes and flipping them in the air and catching them with the pan.  You can entertain yourself and others like that for a while, and you just may accumulate a large stack of perfectly browned piping-hot pancakes, but sooner or later some raw batter is going to hit the kitchen floor, and that is not much fun.  And what if everyone eats up all your pancakes in the meantime, and you're stuck with nothing but a kitchen-floor disaster? Well, on Thursday,[...]

  • Apr 22, 2017, 9:59 AM

    Weekend Review of Volatility Indexes and ETPs - 4/17/2017 - 4/21/2017

    Weekend Review of Volatility Indexes and ETPs - 4/17/2017 - 4/21/2017

    The VXST – VIX – VXV – VXMT curve is a textbook, “here’s what it looks like in front of an event”.  The event being the first round (yes it doesn’t end Sunday) of the French Election.  We will know when the markets open Monday morning who the two finalists are to be the next Presidence del al Republique.  I do expect VXST to fall back in line come Monday morning, either with the longer dated contracts rallying but more likely due to VXST dropping[...]

  • VIX | Trader Talk | Trade Ideas | Apr 21, 2017, 9:51 AM

    Short Some Shares and Call Me in the Morning

    Short Some Shares and Call Me in the Morning

    Who wants to buy high and sell low?  Why would anyone buy calls before the closing bell and sell them to someone for half price the next morning when the opening bell rings?  When would anyone feel okay about buying for 88 cents and then selling for 45?  Answer: When the calls are just a wrapper, a box designed to keep something else safe while in transit, like a shoe box protects the merchandise on the delivery truck so that your purchase isn't thrown on the porch one shoe at a time[...]

  • Apr 20, 2017, 1:57 PM

    Rewrap and Return to the Store

    Rewrap and Return to the Store

    Before the paint was really dry I started tinkering with the reverse collar set up yesterday.  The first thing I did, acting upon a suspicion (you could call it a wish) that the VIX would sift downward the next day (which is today, as I write this), is that I closed the short put.  To recap the spread, it was as such, all of it opened yesterday, April 18th: Shares of UVXY sold short at 19.48 Put for the April 21st expiration, 19.00 strike, sold short for 0.62 Call for the April 21st expiration,[...]

  • Apr 19, 2017, 7:58 AM

    Taking the Unmarked Trail

    Taking the Unmarked Trail

    Every once in a while I have to try something new, and that means choosing something different from the menu and forgoing that same old tried-and-true sandwich.  What sandwich am I talking about?  My own trademarked "strangle sandwich, which is no one's favorite but my own.  It's a doozy; it's not for all tastes, and it might just fail and make you sick (and sorry you tried it.)  Let me tell you what it is before I tell you what I opted for instead, today: I like premium, so[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 9, 2017, 10:29 AM

    Weekend Review of Volatility Indexes and ETPs - 4/3/2017 - 4/7/2017

    Weekend Review of Volatility Indexes and ETPs - 4/3/2017 - 4/7/2017

    When there is not a whole lot going on to impact the financial markets we can get fixated on different topics.  Maybe that is what is going on with me and the French Election process.  The steep difference between VXST and VIX on the chart below may reflect the time frame being measured by VXST being just short of the pending rise in implied volatility that is expected in front of round one of the election in a couple of weeks.  It will be interesting to see if we get a relative rise[...]

  • VIX | Trader Talk | Trade Ideas | French Election | Apr 2, 2017, 9:50 AM

    Weekend Review of Volatility Indexes and ETPs - 3/27 - 3/31

    Weekend Review of Volatility Indexes and ETPs - 3/27 - 3/31

    The shift lower in the VXST – VIX – VXV – VXMT curve was 75% parallel and 25% dramatic.  The dramatic move was at the shorter end of the curve where VXST dropped 28% moving from a premium to discount relative to VIX.  As noted volatility was lower across the board.  Of interest below, VVIX finished below 80 and TYVIX remained at very low levels. For the volatility bulls the only glimmer of hope is SKEW around 140, but it is pretty difficult to get excited about[...]

  • Mar 25, 2017, 1:30 PM

    Weekend Review of Volatility Indexes and ETPs - 3/20 - 3/24

    Weekend Review of Volatility Indexes and ETPs - 3/20 - 3/24

    We finally got a 1% move out of the S&P 500 last week, breaking a streak that has been the focus of many market observers.  The result of the dramatic mid-week drop for SPX was a rise in shorter term implied volatility which shows up nicely below.  For only the second week this year VXX and the other long related ETPs were higher.  VVIX is showing some strength as concern creeps back into the equity markets.  SKEW which reached all-time highs just a week ago, backed off[...]

  • Mar 18, 2017, 10:20 AM

    Weekend Review of Volatility Indexes and ETPs - 3/13 - 3/17

    Weekend Review of Volatility Indexes and ETPs - 3/13 - 3/17

    We got a parallel shift lower in the SPX term structure last week as the fed raised rates and lowered the risk of owning equities at the same time.  I know the fed gets a lot of criticism, but hiking rates to slow the economy a bit without having a psychologically negative impact on the financial markets seems like a group doing a pretty good job to me. The long volatility ETPs continue to have a tough 2017 while XIV and SVYX are putting up strong numbers.  As would be expected TYVIX[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Mar 6, 2017, 3:37 PM

    Tales from the Cross VIX Highway

    Tales from the Cross VIX Highway

    While traders of nothing but the Essenpee would find themselves sitting on a gain of 1.5% to nearly 2% from February 14th through today (or through Friday, March 3rd's closing price, thus the difference between quotes), traders like me who favor TVIX or UVXY would be sitting right where they started, whether short or long. See chart below for a short history of UVXY over the last nearly-three-weeks. My account performance shows a gain of several percent. How did I do that, when trading nothing[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Mar 5, 2017, 8:08 AM

    Weekend Review of Volatility Indexes and ETPs - 2/27/2017 - 3/3/2017

    Weekend Review of Volatility Indexes and ETPs - 2/27/2017 - 3/3/2017

    Textbook and parallel are two terms that come to mind to described the shift in the VXST – VIX – VXV – VXMT curve below.  Also, steep comes to mind as the longer dated indexes are pretty elevated when compared to VIX and VXST. The long funds below benefited from volatility increasing a bit on Tuesday last week, with VIX even putting in a 2017 high, before resuming their downward trajectory.  Note TYVIX giving up 10% which puts the volatility of 10-Year Treasury Note options[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 25, 2017, 2:14 PM

    Weekend Review of Volatility Indexes and ETPs - 2/21 - 2/24

    Weekend Review of Volatility Indexes and ETPs - 2/21 - 2/24

    VIX was the only S&P 500 related volatility index that lost value last week.  VXST rose, probably getting a boost from coming off a long weekend.  The longer dated volatility indexes mirrored the action in longer dated VIX futures by moving to the upside.  April seems to be the next month of concern among volatility players with the pending election in France.  Other pockets of volatility are showing up in the table below.  SKEW finished the week near recent highs and[...]

  • VIX | Trader Talk | Trade Ideas | Feb 20, 2017, 7:30 PM

    Weekend Review of Volatility Indexes and ETPs - 2/13 - 2/17

    Weekend Review of Volatility Indexes and ETPs - 2/13 - 2/17

    VXST and VIX managed gains last week while the longer dated volatility indexes (VXV and VXMT) both lost value.  The curve created by charting out VXST, VIX, VXV, and VXMT has been steep for most of 2017 as the shorter dated indexes have been at very low levels.  The price action last week narrowed the angle to more normal levels.  Last week the S&P 500 was up just over 1.5% and VIX rose over 5%.  More on that after the table below.  I ran some numbers and this is[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 12, 2017, 11:27 AM

    Weekend Review of Volatility Indexes and ETPs - 2/6 - 2/10

    Weekend Review of Volatility Indexes and ETPs - 2/6 - 2/10

    There was a slight and uniform shift lower in the term structure of S&P 500 related volatility indexes last week.  One might say this is a case of all indexes not having much more room to drop.  An ETN I don’t mention too much was interesting to me this week.  VXZ was unchanged on the week as the longer end of the VIX futures curve was mixed.  TYVIX also rebounded a bit at concerns over interest rates had been trending lower.  The March Fed meeting concludes on[...]