futures expiry Tues April 16. -- 12 trading days
closing prices Friday
VIX spot. 12.70
Apr future. 14.19, 10% spot to front contango
May future. 15.56
FACT: when futures expire, front future MUST converge with spot
FACT: futures curve is in CONTANGO, ie spot is lower than future
FACT: if the futures curve remains upward sloping, every day in theory. will sell 1/12 of the current April contracts and replace them with May futures which are currently 9.65% more expensive. This is called NEGATIVE ROLL YIELD, the devastating decay that occurs in a futures market in CONTANGO. TVIX is 2x leverage of VXX and will experience twice the decay.
go to VIXCENTRAL. dotcom. Stare at the futures curve until it burns an image onto your retina!
THIS IS WHAT HAPPENS TO TVIX IN A FLAT MKT, ABSENT VOLATILTY:
IF the volatility remains unchanged for the next two weeks until expiry, one of three things will happen that Tuesday p.m. (if VIX has been hovering ~ 12.7 and Apr future ~ 14)
The April future can drop to converge to spot, and TVIX will feel the full brunt of today's 10% contango -- a full 20% drop in TVIX in 2 weeks.
Or VIX can surge up to meet the Apr future in which case TVIX 'longs' will post frantically "TVIX BROKEN, VIX UP 11% and TVIX didn't budge%!%!%!"
Or they can meet somewhere in between and TVIX will fall.
VIX DROPS BELOW 12.7 at expiry: TVIX closes below 2.8 in just 2 weeks
VIX CLOSES ABOVE 12.7 at expiry: VIX can absorb an increase 13.6 - 14.0 (based on today's curve) before TVIX will rise above 3.5.
Just my humble opinion,
Bustin, consulting with RollYield the ferret, MBA
Where are these prices coming from 12.70 to 14.19??? Is it like a Car's retail sticker price. Who would buy that fantasy number. No one pays that price, so bet against it and the fund manager takes all his customers to zero...right? Is this there legal scam? GS games against there clients? How can you lose?
Thanks for the link.
Its all moot - totally insignificant and irrelevant when an elite proven world class day trader carves a pound of flesh from the market everyday.
This etn should only be traded by highly skilled elite world class proven day traders who actually KNOWS how to make money everyday and post their real time trades as proof.
TVIX is still the best and cheapest etn/etf out there to short SPY.
TVIX is only for day trading and swing trading not for buy and hold.
The best time to make $$ from TVIX is when VIX is below 13.50.
"I thought this reverse follows S&P 500, I read that in prospectus."
Lover_of_analysts: Methinks you read the wrong prospectus. Follows rolling proximal two VIX futures, not the VIX, not the SPY. Designed to "leverage X2" the "performance" of VXX.
Groucho Marx once read the TVIX prospectus as well and proclaimed:
"Why, this is so simple a five-year-old child could understand it! Go find me a five-year-old child; I can't make heads or tails of it."