Long in VXZ

24 июл. 2016 г.

The VIX (red line) is near 52 its week lows. I went long on VIXM on 7/21/2016. After further research I found that VXZ has higher volumes (more liquidity). VXZ and VIXM do not decay as fast as the leveraged ETFs/ETNs. They also react more slowly, peak more slowly, and fall more slowly then the VIX and the short term ETFs/ETNs. Looking further back in time, shows that shows that VXZ and VIXM gradually decay over time. I do not understand the cause of this as they are not rebalanced. Perhaps there is a gradual loss of faith in them as a FIAT marker for the VIX (anyone who knows the correct reason, please comment/enlighten). Going long at 52 week lows may reduce the risk of medium term holds on this long position. This is a also a good black swan position. I am considering adding more long positions via VXZ.

24 июл. 2016 г.

Заметка

I forgot to add the volume to the chart but the volume is also surging.

An extremely low VIX is highly abnormal and unstable. It will not stay low for long and can never go to zero. It tends to correlate with extremely overbought.SPX500 conditions. The futures market indicates a Fed rate hike will occur Wednesday even though the news pundits are not emphasizing this. I anticipate a "surprise" Fed rate hike will cause a surge in volatility. It may trigger a correction in the US and global markets (strong US dollar is hard on the US exporters and tightens the money supply, is good for exporters to the US but hard on the carry trade).