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TVIX - Velocity Shares Daily 2x VIX Short Term ETN - Page 3

post #41 of 81
2/22/12 at 3:36pm
Thread Starter 
Interesting read, and intriguing take on the run on TVIX long shares.

"Double Trouble in TVIX"

http://ftalphaville.ft.com/blog/2012/02/22/892951/double-trouble-in-tvix/

ED: ding ding... lightbulb going on. While the diminished volume today may just be part of the natural ebb and flow in an equity, it may also support Isabel's contention that a buyer was pressing CS up against its OS limit. Now that the limit has been reached, there is no more need to buy up all those shares. Hmmmmm...!!
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post #42 of 81
2/22/12 at 7:48pm
Thread Starter 
Beyond the negative roll yield longs in TVIX must fight against, there is more odds-against business at hand. The spread between VIX and its two front month futures contracts, i.e. the underlying of TVIX, is abnormally high. As this spread narrows it will be a drag on TVIX price, requiring a bigger correction to boost TVIX price. There is a good write up by Option Pit in its latest blog post. Today's price action was driven by this spread narrowing.

http://www.optionpit.com/blog/vix-futures-easing-upfinally
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post #43 of 81
2/22/12 at 8:12pm
Quote:
Originally Posted by rando View Post

Beyond the negative roll yield longs in TVIX must fight against, there is more odds-against business at hand. The spread between VIX and its two front month futures contracts, i.e. the underlying of TVIX, is abnormally high. As this spread narrows it will be a drag on TVIX price, requiring a bigger correction to boost TVIX price. There is a good write up by Option Pit in its latest blog post. Today's price action was driven by this spread narrowing.
http://www.optionpit.com/blog/vix-futures-easing-upfinally


 

laughing.gif you must really hate tvix... i do too. it took $2k of my hard earned money after i sold all of my shares a couple weeks back.. not going to touch this again.

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post #44 of 81
2/22/12 at 8:41pm

its a great alternative to vix options thats about it.
 

Quote:
Originally Posted by tones View Post


 

laughing.gif you must really hate tvix... i do too. it took $2k of my hard earned money after i sold all of my shares a couple weeks back.. not going to touch this again.



 

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post #45 of 81
2/22/12 at 10:00pm
Thread Starter 
Quote:
Originally Posted by tones View Post



 
laughing.gif you must really hate tvix... i do too. it took $2k of my hard earned money after i sold all of my shares a couple weeks back.. not going to touch this again.

Nah, don't hate it, just firmly of the belief that it has become a flawed instrument. I could trade it at some point but most likely only after this whole suspension thing settles down quite a bit. The negative roll yield is a huge problem, and since VIX is usually in contango, XIV is a much better play, but of course now is probably not a good time to play XIV due to VIX being below 20-25.
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post #46 of 81
2/23/12 at 10:56am
Thread Starter 
TVIX premium at 9% to NAV/indicative value. IMO longs at serious risk of seeing that premium yanked out from under them. Illusion of "free money" from premium could be vaporized in short order. If I had a green position, I'd book it soon while premium is still fat.
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post #47 of 81
2/23/12 at 11:19am
Thread Starter 
Premium over 9% even hit 10% at times in last few minutes, price melting away as VIX drops, putting extreme pressure on Mar VX futures to draw in closer to VIX as expiry approaches with a 20% premiuim of Mar VX to VIX. This is simple, TVIX longs now sitting on 25-30% downside risk in the "fundamentals" of the underlying and the instrument itself. I'm done with this ticker and running commentary, hopefully the warnings helped some longs lock up profits or at least get out with a flesh wound instead of losing appendages.
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post #48 of 81
2/23/12 at 11:58am

What do you mean by premiums?

 

 

Is that why this guy is down 3% when VXX is down 5%?

 

If this is a 2X performer of VXX, shouldn't this guy be down 10%?

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post #49 of 81
2/23/12 at 1:32pm
Quote:
Originally Posted by joelin02 View Post

What do you mean by premiums?

 

 

Is that why this guy is down 3% when VXX is down 5%?

 

If this is a 2X performer of VXX, shouldn't this guy be down 10%?



Premium is the price above NAV. And this technically doesn't track the VXX, it tracks vix short term futures, like the VXX, but levered at 2x.

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post #50 of 81
2/23/12 at 1:38pm

so how is it that in recent days, VXX Is doing far worse than TVIX.

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post #51 of 81
2/23/12 at 1:48pm
Quote:
Originally Posted by joelin02 View Post

so how is it that in recent days, VXX Is doing far worse than TVIX.



Right!    This is the discrepancy about which Rando (and the linked articles) have been discussing.     It doesn't make sense--and leads one to think that at some point, the discrepancy must be resolved . . .

 

resolved discrepancy=rug being pulled out underneath TVIX = avoid TVIX for now

 

as I type, the discrepancy is nearly 12%

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post #52 of 81
2/24/12 at 12:00pm

another day in which VIX down, VXX down and TVIX up....

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post #53 of 81
2/24/12 at 1:03pm
Thread Starter 
Quote:
Originally Posted by joelin02 View Post

another day in which VIX down, VXX down and TVIX up....

You do realize TVIX has no relation to VIX right? TVIX tracks a rolling 30 day maturity of VIX futures contracts. For example, March 12th is next VX (VIX futures contracts) expiration date. So you take today's date, add 30 days, and anything before March 12th count one part March futures days after are one part April futures and you have your two portions of March and April futures (the two front months). March is trading at a 20% premium to VIX, and if we assume VIX is flat until March 12th for the purposes of this example, that means March VIX futures will fall 3.50, or about 18%, to get down to where VIX is now. If you understand what TVIX tracks, it's simple math. April is trading at I believe over 30% premium to VIX, so as you roll each day one day of March into one day of April, you are losing money (this is the "negative roll yield") because for each $20 March you are buying $22 or so of April, so you only get about 91% as many contracts, for a negative roll yield of about 9%.

Now TVIX longs are sitting on a 18-20% premium to NAV, which they presume is a luxury/benefit but I see as almost all downside risk
Futures 20-30% premium to VIX
VIX has been trending down
TVIX suffers negative roll yield of 9%

I would rather play Baccarat without knowing the rules than be holding TVIX long without knowing EXACTLY what it does, and why. Excuse me, I'd rather flush 10% of my money down the toilet. You choose.
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post #54 of 81
2/24/12 at 2:19pm

doesn't vxx also track those same 30 day futures you mentioned?

 

if so, why would vxx and tvix move in opposite directions?

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post #55 of 81
2/24/12 at 3:12pm
Thread Starter 
This has all been explained in this thread, you shoud go back and read through it, or read Bill Luby's articles on "VixAndMore" blog. It's all about the TVIX premium resulting from suspension of share issuance in that ETN.
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post #56 of 81
2/25/12 at 8:01am

Hello all
I have purchased many shares Tvix (6757 to 14.5) two weeks ago. I was convinced it was an etf....

 

I would understand if the fact that it is an ETN, can give me any problems if I intend to keep it in my portfolio for a few months (until July / August 2012). I did not understand how taxes/delay fee/rollovers......works.
Sorry for my bad english
Thanks in advance for your answers
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post #57 of 81
2/27/12 at 9:48am

TVIX is acting weird.....??????????????

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post #58 of 81
2/29/12 at 10:26am

it looks like UVXY has almost the same performance as TVIX, except TVIX is behaving erratically these days 

 

why would anyone artificially prop up the price of TVIX when UVXY is around?

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post #59 of 81
3/2/12 at 9:23am
Thread Starter 
Quote:
Originally Posted by joelin02 View Post

it looks like UVXY has almost the same performance as TVIX, except TVIX is behaving erratically these days 

why would anyone artificially prop up the price of TVIX when UVXY is around?

It's not being artificially propped up, CS suspended creation of new shares, so any buying demand cannot be met with new share issuance as was the case in the past, this creates a supply/demand imbalance, leading to higher prices. Look at the difference between TVIX and its indicative value, as displayed by the ticker with ".IV" on the end, some brokers require a $ before ticker to display properly. This premium will die eventually.

A good read on these instruments...

http://www.investingwithoptions.com/2012/03/02/volatility-etns-broke-market/
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post #60 of 81
3/19/12 at 2:18pm

But the fact TVIX is so low is enticing! I'm looking into it, as well as FAZ (I've traded FAZ before but not TVIX).

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