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So, a few things. I've made some money shorting these things, but stay very light given that they could go up many hundred percent at any time. But these things LOVE to drop over time. I mean like on average pretty much a total wipeout yearly (and really more if you replace losses over time...

I follow you newdog, but aren't UVXY and SVXY supposed to have essentially the opposite holdings, since they both are meant to capture movements in the same index, only the former twice as much (and in opposite directions)? Its not so much them not tracking the VIX that I'm talking about, its...

Martinghoul, would the XIV/SPXY owners have to come out of pocket if XIV/SVXY didn't shut down and VIX futures continued their upward climb? Or whoever hedged the issuer would have to come out of pocket?

Haha, lawyers gonna lawyer, you know that. :)

Just another example of weird stuff. UVXY is supposed to move 2x the direction of the VIX, SVXY 1x the inverse of the VIX. So the SVXY move today, looks like it might be reasonable. But why is UVXY also up so much? If it holds the positions it says it does shouldn't it be down big? Thanks.

Interesting ajensen. I dunno what the Sharpe or Sortino ratio is, I guess I'm going to look those up. But presumably they are some benefit-to-risk ratio. If you looked back at XIV before a couple days ago, it would have had HUUUUUGE gains and not really many drawdowns. So I would assume the...

thanks for this! question: "On a more serious note (and this is the second of the two problemsmentioned above), levered and inverse VIX ETPs present (or actually “presented” because it’s to a certain extent past tense now) a sizable rebalance risk" Can anyone explain why levered long...

Interesting balaji. its funny that it seems that because spxy was not doing its job as good tracking its index now it is better off haha.

interesting conclusion as XIV and SVXY were just almost wiped out! if they were down even 200% i would be even more dohwn. but i would do this with only a small piece of my portfolio, and i couldnt be wiped out in the case of a day. wouldnt this generally be better off than buying xiv or svxy...

thanks spread em. What is ES? Thanks.

Whoa, how do you get to this (in my mind) remarkable conclusion Maverick? Thanks.

Would this not be just selling a blend of the nearest two month's VIX futures? And why even go there, why not just, month after month, sell one month out VIX futures, so long as there is contango? Then stop doing it where there is not contango? Do this with a very small part of your portfolio...

Maverick is talking about XIV and SVXY I believe.

S20075, I think if you are buying/selling futures you are subject to basically the same backwardation and contango issues that VIX futures face, no? Maverick covered that I believe at least kinda-sorta earlier in this thread.

I understand this Maverick, makes sense. Reading up on the VIX index, it looks like it is very much the equivalent of buying a VIX future with a 30-day-in-the-future expiration date. So selling one would seem very similar to just selling a VIX as close as possible to being 30 days out. Sounds...

Just getting into this. Is there a go-to software that many use to back-test strategies? For all types of financial products. Sorry for the newb question - thanks for any help!

Maverick and others - I answered one of my stupid questions earlier - what the VIX short-term futures index was - its the VIX lolol. But that still doesn't answer my underlying question - how UVXY/TVIX can be down 30% and XIV and SVXY down ~85% when they are supposed to hold opposite positions...

Yep, I had some shorted, made out on a bandit on these. Waaaaaay down, but they are still trading.

Dunno, but do you mean professional firms that were long XIV/SVXY and got caught up? They should know better hahaha.

stepandfechit, thanks. I think, if they just dissolve it willy-nilly, they can't just wipe everyone out - they would have to pay NAV. I could be wrong though (but I'm sure lawsuits are always in the cards lol).