Mark – re the Vix explosion last year and different NAVs, I think some providers did the cut off for NAV at 4 pm EST and some others at 415 when the futures closed if I recall. And as you know the after hours move is what really did XIV in (big rebalance move after market close but before futures market closed) – I think that was the reason. The…[Read more]

Seth – I look forward to your weekly piece. It would be great if you would discuss your views on volatility products specifically in your pieces and how you’re thinking about exposure sizes etc in light of market levels and valuations etc. perhaps a model portfolio may be overkill but talking about what the market has done is fine but p…[Read more]

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]

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]

Understand, and thanks for your response. Sounds like you’re not particularly concerned about it or consider it in terms of positioning etc. Do you have a chart you can add relative to the long Vega on the ETPs. So when commercials were short and specs were long vol at year end were you less inclined to be short vol? It seems historically t…[Read more]

Re VX futures, spec short is as high as it’s been as a percentage of open interest since the end of 2008. Curious how you’re thinking about this as well as in the context of very bullish equity market sentiment and this offsides vx positioning.

Specs are short more than 40 percent of the open interest currently. Took down core short after hou…[Read more]

” Anonymous” do you continue selling UVXY vertical weekly ITM call spreads.? if so did you have good results? and any other advise will be appreciate

Thanks Seth. I’ve run a couple studies historically as to how short vxx performs based on commercial short positions or long positions on vx and short vol tends to underperform historically returns from these positioning levels vs when commercials are short vol and lag when they’re long vol. relationships also hold in other asset classes. Obv…[Read more]