TVIX versus VIX returns

T

trc4949

From July 7th to August 8th 2011 the VIX showed a 214% return.

From the same time frame the TVIX showed a 197% return.


Afterwards the stock market volatility continued and the VIX never exceeded its peak on August 8th 2011, but yet the TVIX did continue to move higher for a total return of 500% in a nice uptrend.

Can anyone here explain to me how or why the TVIX kept going up after August 8th 2011 for greater returns than the VIX achieved ?

If one was trading the TVIX at the time and then saw the VIX unable to exceed the previous high after August 8th 2011, then maybe would have caused to bail out of
TVIX, but it went on to earn another 200% which would have been missed out on.

original_20950010.png


original_20950082.png
 
trc4949 said:
----July 7th to August 8th 2011....
----VIX showed a 214% return.
----TVIX showed a 197% return.
----Afterwards....
----why the TVIX kept going up after August 8th 2011 for greater returns than the VIX achieved ?
More...
1) ? ..... ?? ..... ! .... You need to compare TVIX to VXX, not VIX. :eek: :cool:
2) With so many darn VIX contracts, you have to be exactly sure you're comparing Granny Smith apples to Granny Smith apples and not Macintosh. :)
 
TVIX = short-term vix futures index

The short-term vix futures index is basically a 30 day constant maturity vix future.

If you find out how to predict the curvature change the vix futures term structure let me know :)
 
slickpick said:
TVIX = short-term vix futures index

The short-term vix futures index is basically a 30 day constant maturity vix future.

If you find out how to predict the curvature change the vix futures term structure let me know :)
More...

I think i figured it out.

When this chart is above 1 then we are in backwardation

http://stockcharts.com/h-sc/ui?s=$VIX:$VXV&p=D&yr=3&mn=0&dy=0&id=p82084404813
 
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