If you use basic math it comes to TVIX being up at least 17 cents, yet its down 3 cents. Only one thing works this way. Who is protecting the TVIX longs? This happens all the time, but this is the worst I have seen it. Could be really be a PS?
"It really doesn't take advanced math to see this thing asymptotically approaches ZERO, but when it gets too close, they reverse split it and resume the process."
Welcome to TVIX country, b_w, a gathering place of mostly delusional fools who refuse to recognize the concepts of contango and negative roll yield.
And it's great to find another soul who actually uses the word "asymptotic" besides me!!
What a slap in the face to longs . VIX up 1% and UVXY down 1.88% !
by sstillen •Feb 11, 2013 1:21 PM
cynical_guyy • Feb 11, 2013 2:02 PM
This Cynic credits you for at least NOT referrng to UVXY as a "stock" like so many other lost clueless souls here.
But surely UVXY is NOT a scam. It is doing exactly as promised in its prospectus, making its asymptotic progressive approach towards ZERO as promised by the good folks at ProShares!
And to answer your question, "how are you supposed to make money?"
Well, one might invest considerable time to understand this product, comprehend VIX, study the VIX futures, and investigate contango and roll yield.
Then one might learn about options and figure out the best risk/rewards for UVXY puts. Or one might become expert at short-selling.
At least, that's how this Cynic makes money on UVXY whether or not the VIX is up or down.
But what does a dumb jerk like me know, anyway???
oops, should have taken my Thorazine this morning
let's try again...
last week, TVIX began the new month comprised 100% of APRIL futures (plus its leveraged piece)
at expiry on Apr 16, after the last "roll", it will hold 0 APRIL. futures and 100% MAY futures
correction to last post,
last week, TVIX began the new month comprised 100% of MARCH futures (plus its leveraged piece)
at expiry on Apr 16, after the last "roll", it will hold 0 MAR. futures and 100% APRIL futures
you dont know..change the rules as it goes..you say rollings..the mfers that are using this scam for profit should be put in a wheelbarrell and pushed to the nearest oak tree with a big enough limb
"So April's TVIX should include 75% May and 25% June futures, right? Its hard to imagine that people believe the market will continue to march upwards in May. Other than the Fed bond purchases, there will be nothing driving the market up."
Cyrus, you need to read the prospectus.
The VIX proxy ETPs are based on rolling VIX futures; the short term on the proximal 2 months.
The VIX futures next expire Apr 16. There were 4 weeks this month; mkt will close Good Friday.
This "month" began last Wednesday with TVIX theoretically 100% invested in Apr futures (remember this is a note). Therefore 19 market days.
Until Apr expiry, every day the fund will sell 1/19th of the original Apr holdings and purchase an equal number of May contracts. If the futures curve is in CONTANGO, the fund will continuously sell low, but high -- known in evonomics as NEGATIVE ROLL YIELD lending to continuous DECAY of this product!
Please remember, TVIX does NOT track the VIX, it tracks the rolling VIX futures.
google. CBOE VIX futures micro site and you will get delayed quotes
calculate the percentage change of both Apr and May futures. weigh those changes 75% April and 25% May. Multiply that figure by 2 and multiply by yesterday's TVIX value. This weighting will change daily.
This will still be an estimate because TVIX trades at a premium to intrinsic value.
Find intrinsic value on Y! quotes ^tvix-iv
If you multiply the percentage change to yesterday's closing iv you will get a pretty close figure but only an estimate because the iv is real time and the cboe futures are 15-20 min delayed.
Good luck. The numbers don't lie. Contango is your friend if you are short!
So April's TVIX should include 75% May and 25% June futures, right? Its hard to imagine that people believe the market will continue to march upwards in May. Other than the Fed bond purchases, there will be nothing driving the market up.