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DG posted an update 6 years, 9 months ago
@volguru the issue re YTD is the path dependency of the securities, UVXY close was way off NAV the day of the XIV mess, and ended up falling the next day and then reconnected with NAV, so the XIV caused it, as well as the large decline, uvxy will do better when vol of vol is high
Vxx is not broken, tracks m1/m2 blend to a T, Barclays has 4-5 traders that spend their entire day on this security. I’ve spoken with two of them.
I shorted vxx on the pop, now writing covered weekly puts on it as there isn’t a lot of contango, also short market as hedge against the underlying vol short, have shorted these since 2010
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The most divergence has occured on Feb 6th when xiv down 80%, VXX up by some 30% but UVXY was up by 15% or so…i could be wrong but atleast it did not go up by 60% (when VXX went up by 30%)… Once this has taken place everything looks uncorrelated. Please correct me if i am wrong. It was just my observation. I just got lucky by getting out of my pair trade and never going to try again.