Originally Posted by joelin02
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.