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VelocityShares Daily 2x VIX ST ETN Message Board

  • veloocity2000 veloocity2000 Aug 21, 2014 12:28 PM Flag

    Just for the record, if TVIX were actually tracting S/P Futures/Options it would be "down', so today ...

    is a perfect example of management "decoupling" from the tracking index or in other words lying about how this piece-of-trash is suppose to price. Then again, what should you expect from criminal enterprise like Credit-Scam, certainly nothing truthful, that much has been proven for year after year after year.

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    • Just for the record: S&P 500 VIX Short-Term Index Ex (^SPVIXSTER) is in the green today so not sure what you're looking at. TVIX is based on 2x ^SPVIXSTER

    • TVIX is notes sold by credit suisse. The thought is that is trade at 2x of what the volatility index is doing. The problem is that there aren't a fixed number of shares. Credit Suisse will sell more shares at what the going rate is. This dilutes the number of notes on the market. At a certain point, Credit Suisse will do a reverse split and start the downward cycle again. You can make money on TVIX, but in most cases you have to get in and out in several days or less.

    • From CBOE

      What is VIX?
      VIX is an implied volatility index. It measures the market's expectation of 30-day volatility implicit in the prices of near-term S&P 500 options. VIX is quoted in percentage points, just like the standard deviation of a rate of return, e.g. 23.26. CBOE disseminates the VIX index value continuously during trading hours.

      VIX Futures
      VIX futures (VX) are standard futures contracts that cash settle to a Special Opening Quotation (SOQ) of VIX. VIX futures are therefore contracts on forward 30-day implied volatilities. For example, in March, a May futures is a forward contract on what 30-day implied volatility will be on the May expiration date, and a June futures is a forward contract on 30-day implied volatility on the June expiration date.

      So the way I understand this, VIX futures are contracts based on the VIX which is the implied volatility of S&P 500 options contracts. But these futures contracts can be bought and sold so their price can go up and down as well thus they have their own implied volatility.

      So basically the a VIX future contract has an implied volatility of the implied volatility of the volatility of the S&P 500. Thus you have two levels of implied volatility involved. Very messy.

      I wanted to point that out because someone might say in reply to me that the VIX is the implied volatility but that is not what I am talking about. I was talking about the implied volatility of a futures contract whose underlying is the VIX. That is different. So basically the VIX can go up but the VIX futures contract can go down.

      I point this out because many see the VIX go up and see TVIX go down and wonder. This is why. It is because the implied volatility of the futures contract declined.

      And from what I can tell, I would say that 90% of TVIX investors on this message board have no idea what I am talking about however it is essential that they do if they are invested. Otherwise you are completely in the dark.

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