UVXY should be a good substitute for the TVIX strategy .
How to understand these VIXY moves?
- Thread starter blnbr
- Start date
tvix has apx 89% premium to Indicative value.
But I wouldn't try to short is as CS surely will not offer more creation units until volatility spikes.
If you are into it , it could be an arbitrage play.
But I wouldn't try to short is as CS surely will not offer more creation units until volatility spikes.
If you are into it , it could be an arbitrage play.
FWIW....
1) The inverse correlation between the VIX and S&P is "only" ~85% according to the CBOE.
2) On Fridays, there can be outright put-buying that pumps up the VIX while not being hedged in the S&P which can create the appearance of divergence or lack of correlation.
3) If no earth-shattering news occurs over the weekend, the market tries to find a way to "even" things back out, which may defy conventional/linear "logic". :eek:
