Thursday, February 23, 2012

"TVIX Premium Spikes to 13%" (TVIX; VIX; VXX; UVXY)

Following up on yesterday's "Perhaps Monsieur Would Like a Few Après-dîner TVIX Calls? (VIX; TVIX)".
TVIX itself, not the premium, is down 3.73% at $16.27.
The correct answer to the mission posed in yesterday's post was "UVXY", another 2x volatility beastie, as a dirty hedge for TVIX.
Always remembering the cry of the old trader:
The only perfect hedge is in a Japanese garden
[otherwise it would be an arbitrage, right? -ed]

From VIX and more:
A little more than two hours into today’s regular trading session, the premium in TVIX is has spiked to 13.5% above its intraday indicative value.

The graphic below shows the difference between TVIX and TVIX.IV over the course of the past three trading sessions, using 5-minute bars and reflecting the extended hours trading sessions in the grayed-out blocks....MORE