Q*W
2 楼
Heartsme
Here it's info about Uvxy,vxx,tvix and Vix ...hope it helps.
I have coped some commons from yahoo message boards about
the topic of "UVXY and VXX Explained"
There is so much confusion on regarding UVXY and VXX, I thought I would set
the record straight and try to keep it simple.
First of all, the VIX Spot Price is an index that measures implied market
volatility based upon the activity of put/call options. The higher the VIX,
the more implied market volatility, the lower the VIX, the less. The VIX
Spot cannot be traded directly, so it is accomplished through VIX Futures
Contracts (typically the front month plus the 8 following months). For
example, on Monday 3/19, you can buy/sell VIX Futures Contracts for the near
month March (H) through November (X). Each month is represented by a letter
(Jan=F, Feb=G, March=H, April=J … Nov=X, Dec=Z). There is no month with an
I or Y. You can get EOD Futures prices at the CBOE - http://cfe.cboe.com/data/CFEMktStat.aspx
UVXY and VXX will always hold two months of VIX Futures contracts: the near
month (March, until 3/21) and the following month (April, until 4/20). Each
day, UVXY and VXX must rebalance to sell a portion of its March VIX Futures
Contracts to buy an equivalent amount of April VIX to maintain a constant
maturity of 30 days. Assuming an average of 23 trading days each month, it
must therefore sell 1/23 of its March VIX holdings each and buy an
equivalent amount of April VIX. When the near month has a contract value
LOWER than the following month (i.e. VIX Futures upward sloping over time),
futures are said to be in CONTANGO. If the near month is HIGHER, futures are
said to be in BACKWARDATION. We are now in significant CONTANGO.
For example, at Friday 3/16 close, VIX March (H) = $16.15 and VIX April (J)
= $21.60, a +$5.45 or 34% difference which is significant CONTANGO. To get a
sense of the affect on UVXY or VXX, just take that Contango of $5.45 and
divide by 23 = $0.24 … therefore, at present, there is a rebalancing loss
of $0.24 on Monday INDEPENDENT of how the VIX Spot Price moves. For VXX,
that $0.24 represents 1.1% of its $21.56 last closing price. Thus, VXX will
lose 1.1% of its value on Monday independent of VIX Spot Price movement due
to daily rebalancing. This is why it is NOT a good idea to hold UVXY or VXX
long-term unless you’re gambling on a significant volatility spike at some
point.
The price of UVXY and VXX is based upon three elements: 1) Daily Rebalancing
Gain/Loss, 2) VIX Spot Price Movement, and 3) Supply/Demand of the shares (
sometimes generating a short-term premium versus NAV).
Since I day trade UVXY, I visit the ProShares page summarizing its Daily
Holdings - http://www.proshares.com/funds/uvxy_dail... … for VXX, go here - http://www.ipathetn.com/product/VXX/#/do...
At present, UVXY holds 1,885 March VIX contracts and 20,744 April VIX
contracts for a total of 22,629 contracts. I know that by the end of
Wednesday 3/20, it will have sold ALL 1,885 March VIX contracts and be 100%
April VIX. The following evening, it begins to sell roughly 1/23 April VIX
to buy May VIX ($23.80 as of last Friday). You should
If you have read this far and doing the math, you will notice that beginning
Friday, 3/22, the CONTANGO will be reduced significantly because there is
only +$2.20 difference between April/May contracts versus +$5.45 between
March/April contracts. Therefore, beginning Friday, the daily rebalancing
loss will be cut by more than half and that may have a more positive (less
negative) impact on the price of UVXY and VXX. But until then, the CONTANGO
slope is steep.
BTW - When I day trade UVXY, I am primarily playing the #3 short-term Supply
/Demand element … buying when it becomes oversold and selling within
minutes or hours to grab a quick profit. To track this, I watch the
correlation of UVXY to $VXV (the 3 month version of VIX) on the 5-minute
chart.
If you want a more detailed explanation - http://investing.kuchita.com/2011/08/16/...
About topic of tvix
Unfortunately no one can predict TVIX at this point.
Given the recent Credit Suisse shares manipulation, it is trading with a big
premium to NAV, more as a stock with a heavy supply/demand component. It is
trading with a much smaller beta than UVXY/VXX because of this and is being
insulated by the futures contracts Contango at the moment.
It seems to be trading more real-time with VIX Spot, as traders watch that
index, not with the Futures. This premium to NAV will NOT last forever and
TVIX could collapse at some point (likely IMO).
Here it's info about Uvxy,vxx,tvix and Vix ...hope it helps.
I have coped some commons from yahoo message boards about
the topic of "UVXY and VXX Explained"
There is so much confusion on regarding UVXY and VXX, I thought I would set
the record straight and try to keep it simple.
First of all, the VIX Spot Price is an index that measures implied market
volatility based upon the activity of put/call options. The higher the VIX,
the more implied market volatility, the lower the VIX, the less. The VIX
Spot cannot be traded directly, so it is accomplished through VIX Futures
Contracts (typically the front month plus the 8 following months). For
example, on Monday 3/19, you can buy/sell VIX Futures Contracts for the near
month March (H) through November (X). Each month is represented by a letter
(Jan=F, Feb=G, March=H, April=J … Nov=X, Dec=Z). There is no month with an
I or Y. You can get EOD Futures prices at the CBOE - http://cfe.cboe.com/data/CFEMktStat.aspx
UVXY and VXX will always hold two months of VIX Futures contracts: the near
month (March, until 3/21) and the following month (April, until 4/20). Each
day, UVXY and VXX must rebalance to sell a portion of its March VIX Futures
Contracts to buy an equivalent amount of April VIX to maintain a constant
maturity of 30 days. Assuming an average of 23 trading days each month, it
must therefore sell 1/23 of its March VIX holdings each and buy an
equivalent amount of April VIX. When the near month has a contract value
LOWER than the following month (i.e. VIX Futures upward sloping over time),
futures are said to be in CONTANGO. If the near month is HIGHER, futures are
said to be in BACKWARDATION. We are now in significant CONTANGO.
For example, at Friday 3/16 close, VIX March (H) = $16.15 and VIX April (J)
= $21.60, a +$5.45 or 34% difference which is significant CONTANGO. To get a
sense of the affect on UVXY or VXX, just take that Contango of $5.45 and
divide by 23 = $0.24 … therefore, at present, there is a rebalancing loss
of $0.24 on Monday INDEPENDENT of how the VIX Spot Price moves. For VXX,
that $0.24 represents 1.1% of its $21.56 last closing price. Thus, VXX will
lose 1.1% of its value on Monday independent of VIX Spot Price movement due
to daily rebalancing. This is why it is NOT a good idea to hold UVXY or VXX
long-term unless you’re gambling on a significant volatility spike at some
point.
The price of UVXY and VXX is based upon three elements: 1) Daily Rebalancing
Gain/Loss, 2) VIX Spot Price Movement, and 3) Supply/Demand of the shares (
sometimes generating a short-term premium versus NAV).
Since I day trade UVXY, I visit the ProShares page summarizing its Daily
Holdings - http://www.proshares.com/funds/uvxy_dail... … for VXX, go here - http://www.ipathetn.com/product/VXX/#/do...
At present, UVXY holds 1,885 March VIX contracts and 20,744 April VIX
contracts for a total of 22,629 contracts. I know that by the end of
Wednesday 3/20, it will have sold ALL 1,885 March VIX contracts and be 100%
April VIX. The following evening, it begins to sell roughly 1/23 April VIX
to buy May VIX ($23.80 as of last Friday). You should
If you have read this far and doing the math, you will notice that beginning
Friday, 3/22, the CONTANGO will be reduced significantly because there is
only +$2.20 difference between April/May contracts versus +$5.45 between
March/April contracts. Therefore, beginning Friday, the daily rebalancing
loss will be cut by more than half and that may have a more positive (less
negative) impact on the price of UVXY and VXX. But until then, the CONTANGO
slope is steep.
BTW - When I day trade UVXY, I am primarily playing the #3 short-term Supply
/Demand element … buying when it becomes oversold and selling within
minutes or hours to grab a quick profit. To track this, I watch the
correlation of UVXY to $VXV (the 3 month version of VIX) on the 5-minute
chart.
If you want a more detailed explanation - http://investing.kuchita.com/2011/08/16/...
About topic of tvix
Unfortunately no one can predict TVIX at this point.
Given the recent Credit Suisse shares manipulation, it is trading with a big
premium to NAV, more as a stock with a heavy supply/demand component. It is
trading with a much smaller beta than UVXY/VXX because of this and is being
insulated by the futures contracts Contango at the moment.
It seems to be trading more real-time with VIX Spot, as traders watch that
index, not with the Futures. This premium to NAV will NOT last forever and
TVIX could collapse at some point (likely IMO).
b*s
3 楼
QJW:
any reason why tvix up today and uvxy down?
any reason why tvix up today and uvxy down?
h*e
4 楼
谢谢！
看完了就一个感觉，赶紧卖了它。。。
set
,
【在 Q*W 的大作中提到】
: Heartsme
: Here it's info about Uvxy,vxx,tvix and Vix ...hope it helps.
: I have coped some commons from yahoo message boards about
: the topic of "UVXY and VXX Explained"
: There is so much confusion on regarding UVXY and VXX, I thought I would set
: the record straight and try to keep it simple.
: First of all, the VIX Spot Price is an index that measures implied market
: volatility based upon the activity of put/call options. The higher the VIX,
: the more implied market volatility, the lower the VIX, the less. The VIX
: Spot cannot be traded directly, so it is accomplished through VIX Futures
看完了就一个感觉，赶紧卖了它。。。
set
,
【在 Q*W 的大作中提到】
: Heartsme
: Here it's info about Uvxy,vxx,tvix and Vix ...hope it helps.
: I have coped some commons from yahoo message boards about
: the topic of "UVXY and VXX Explained"
: There is so much confusion on regarding UVXY and VXX, I thought I would set
: the record straight and try to keep it simple.
: First of all, the VIX Spot Price is an index that measures implied market
: volatility based upon the activity of put/call options. The higher the VIX,
: the more implied market volatility, the lower the VIX, the less. The VIX
: Spot cannot be traded directly, so it is accomplished through VIX Futures
Y*g
5 楼
Demand > supply
【在 b*****s 的大作中提到】
: QJW:
: any reason why tvix up today and uvxy down?
【在 b*****s 的大作中提到】
: QJW:
: any reason why tvix up today and uvxy down?
j*z
6 楼
粗粗地说是供需。不过还是反映了市场的预期。这里的信号是空大盘，而不是卖TVIX.
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