TVIX - (Credit Suisse AG)

TVIXのニュース

   This Week's Market Malaise Was Entirely Predictable... But Should You Buy This Dip?  2020/06/25 15:10:09 Zero Hedge
This Week's Market Malaise Was Entirely Predictable… But Should You Buy This Dip? Tyler Durden Thu, 06/25/2020 - 11:10 As June started, Nomura's Charlie McElligott warned of the Option-expiration line in the sand this month that could ruin (albeit briefly) the V-shaped recovery narrative in stocks: “It is then VERY IMPORTANT to turn our attention back to the sequencing of the month - particularly as there might then be “two trades” based around the first two weeks of June being the “historically risk / equities bullish” trade up into Serial / Quarterly June Options Expiration, vs the last two weeks of June being more “defensively” postured. ” Given this week's post-op-ex plunge, it would appear the cross-asset strategist nailed it. However, the question is - what happens next? The last three weeks are exactly how it was supposed to look all along - the “trade up into-, trade down out of-“ the June serial options expiration phenomenon finally kicking-in. As history shows, the more robust the trade “UP” was into June Op-Ex, the larger the down-trade thereafter (from 1993): While this week's weakness has been pinned on second-wave COVID concerns, McEllligott notes some more technical factors that are more likely to the drivers: The gamma “unclenching” (after last Friday’s large quarterly expiration options de-risking) would allow for a broader distribution of trading outcomes this week due to reduced Dealer hedging flows which had been suppressing the range, in conjunction with overwriter call “rolling” flows abating, the corp “buyback blackout” commencement and qtr-end pension rebalancing out of stocks into bonds all conspiring to send index lower... just as the seasonal phenomenon has conditioned us to expect in the back-part of June, which already sees a period of “Defensives over Cyclicals” leadership.
   The TVIX ETF Is Getting Delisted: Here Are The Three Implications For Markets  2020/06/24 19:30:00 Zero Hedge
The TVIX ETF Is Getting Delisted: Here Are The Three Implications For Markets Tyler Durden Wed, 06/24/2020 - 15:30 Back in February 2018, as a result of the staggering "Volmageddon" surge in the VIX, the market lost the retail favorite XIV ETN used to bet on continued declines in volatility, which was a fantastic strategy while it worked but then suddenly lost virtually all of its value in seconds. Now, it's the turn of the XIV's cousin, the TVIX . Monday's announcement that Credit Suisse will stop taking creations and delist the TVIX (VelocityShares Daily 2x VIX Short-Term ETN) comes at a time when the product is the largest VIX ETP in both AUM ($1.4bln) and vega ($80mm) terms, and the top-performing ETN or ETF in the US equity market in 2020 (+180%). According to Goldman's derivatives strategist Rocky Fishman, there are three takeaways for investors: Reduced vol-of-vo l. While far smaller than the rebalancing done by the SVXY or XIV around the 2018 VIX spike, the TVIX also buys VIX futures when they are going up and sells them when going down, a short gamma phenomenon that can exacerbate VIX future moves in both directions.
   Sentiment Speaks - April's Volatility 'May' Just Have Been The Beginning  2019/05/20 12:00:00 Seeking Alpha
   Huawei Broadside May Be Market's 'Crossing The Rubicon' Moment  2019/05/17 20:37:47 Seeking Alpha
   Market Volatility Bulletin: Equities Shake Off Monday's Concerns  2019/05/14 18:05:35 Seeking Alpha
   Sentiment Speaks - April's Volatility 'May' Just Have Been The Beginning  2019/05/20 12:00:00 Seeking Alpha
   Huawei Broadside May Be Market's 'Crossing The Rubicon' Moment  2019/05/17 20:37:47 Seeking Alpha
   Market Volatility Bulletin: Equities Shake Off Monday's Concerns  2019/05/14 18:05:35 Seeking Alpha
   Market Update: Extreme Volatility  2019/05/14 10:39:01 Seeking Alpha
   Market Volatility Bulletin: Implied Vol Up, But Still Pretty Reserved Given What's Happening In SPX  2019/05/13 19:46:48 Seeking Alpha
   Sentiment Speaks - April's Volatility 'May' Just Have Been The Beginning  2019/05/20 12:00:00 Seeking Alpha
   Huawei Broadside May Be Market's 'Crossing The Rubicon' Moment  2019/05/17 20:37:47 Seeking Alpha
   Market Volatility Bulletin: Equities Shake Off Monday's Concerns  2019/05/14 18:05:35 Seeking Alpha
   Market Update: Extreme Volatility  2019/05/14 10:39:01 Seeking Alpha
   Market Volatility Bulletin: Implied Vol Up, But Still Pretty Reserved Given What's Happening In SPX  2019/05/13 19:46:48 Seeking Alpha

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