Mark Minnis – Finom Group

Mark Minnis started the topic What happens after Fed rate cut in the forum Daily Market Action: DOW, NASD, SPX 5 years, 5 months ago

As you are discussing the Fed cut I had a look at what was the impact of Dow Jones (price return) over the next 1m. 3m,6m,1y and year following the first fed rate cut (25 or more) after a period of monetary tightening.

1m 3m 6m 1y 3y
Sep 07 0.2% -4.5% -11.8% -21.9% -22.4%
Jan 01 -3.6% -1.4% -3.3% -8.9% -3.7%
Oct…[Read more]

Mark Minnis replied to the topic Hedging TVIX short position in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 5 years, 6 months ago

I was looking at the closing prices and closing NAV where it was 45% discount to NAV taken from Pro shares website. I’m assuming that was at the close of the bell rather than after hours.

The pro shares website of UVXY has a nice tool which enables you to view the distribution of the premium/discount over the quarters (4 quarters are shown). When…[Read more]

Mark Minnis replied to the topic Hedging TVIX short position in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 5 years, 6 months ago

Hi

Does anyone know the reasons why the prices of the long Volatility ETPs (UVXY, VXXY) did not increase as much as their NAV’s and VIX futures during the 5 Feb (Volmageddon). VXX price increase by 33% and UVXY price increased by 66% despite being 2x leveraged at the time. The NAV of these funds increased considerable more UVXY NAV (determined…[Read more]

Mark Minnis started the topic Volatility ETF Arbitrage in the forum UVXY, TVIX, VXX, XIV, SVXY, VIXY, VMAX, VMIN 5 years, 7 months ago

I’m sure the 5th February 2018 is a date that is etched in all volatility traders minds. The VIX doubled in a single day and short volatility traders experienced what we call in the UK “squeaky bum time” and many inverse ETN products (XIV) were wiped out and subsequently closed down. A few like Chris Cole from Artemis Capital must have felt that…[Read more]