Friday, March 23, 2012

UPDATED--"TVIX collapse rocks volatility market"

Update below:
Original post:
I'm waiting for the folks at Alphaville to weigh in on this. In the meantime we'll start with OptionMONSTER:

The CBOE Volatility Index and VIX futures were all higher as equities sold off yesterday, but it is the TVIX exchange-traded note that will be the topic of the day.

The TVIX, or the VelocityShares Daily 2x VIX Short-Term Futures ETN, came unhinged on yesterday. The note normally gives twice the return of the iPath S&P 500 VIX Short-Term Futures ETN (VXX) and an equal return to the ProShares Ultra VIX Short-Term Futures ETF (UVXY). However, while the VXX was up 1.2 percent on the day, and the UVXY was up more than 2 percent, the TVIX was down more than 29 percent....MORE
The UVXY is our dirty hedge for the TVIX
HERE's the press release.

A Virtuoso Discusssion of the Recent Action in the VelocityShares Daily 2x VIX Short-Term ETN (TVIX)