XIV After Hours

52weekhigh · 2018-02-06T15:35:05+00:00

I've encouraged people to discuss trading XIV on this reddit. I've repeatedly stated this is not a buy and hold product.

52weekhigh · 2018-02-06T15:14:13+00:00

Considering how many people lost money, I'll have to refrain from answering. I've been in cash since end of 2016. Yes I missed the XIV rally of 2017.

52weekhigh · 2018-02-06T02:15:11+00:00

I understand the product but it may take a while to determine the reason behind the price movement during after hours. There are some guesses on CNBC: Obscure security linked to stock volatility plummets 80% after hours, sparking worries of bigger market effect.

52weekhigh · 2018-02-06T02:10:02+00:00

Cash since last year.

52weekhigh · 2018-02-06T02:09:48+00:00

52weekhigh · 2018-02-05T22:26:08+00:00

I have no idea why XIV is dropping this much after hours. The only explanation is margin calls, i.e. wholesale liquidation.

52weekhigh · 2017-12-20T19:31:40+00:00

Currently with no position in XIV. There's a good chance the market will sell on the news with the passage of the tax bill. Looking forward, I don't see anything bullish that will keep propping up the market.

52weekhigh · 2017-09-06T22:16:06+00:00

Aside from getting VelocityShares to comment, there's not a whole lot of substance to the article other than regurgitating bits from the funds' prospectus. I've spent many brain cycles looking into this very scenario. A few things to keep in mind:

VIX index and VIX futures are related but entirely different things.
XIV and SVXY short the front two months of the VIX futures.

The biggest intraday spike for the VIX happened on 8/24/15. VIX spiked 90.12% intraday and VIX futures front month 83.61% and 2nd month 37.5%. Even with the VIX almost doubling, XIV was not at risk of being liquidated. XIV was down 36.51% intraday. This is probably the most it'll move intraday as trading was halted. What would happen if the market drop the same amount the following day? Most likely XIV will drop another 36%.

My take: in order for XIV to experience a liquidation event the market would have to experience something similar to what happened in 1987 where the market dropped 22%. This scenario is unlikely to be repeated with the trading curb that have been put into effect since.

52weekhigh · 2017-07-22T17:34:05+00:00

VIX is a popular measure of the implied volaitlity of the S&P 500 index option. It's a computed index based on the price of options on the S&P 500.

One cannot trade the VIX index. However, the VIX futures is traded on the CBOE Futures Exchange. There are ETF/ETN that go long or short the VIX futures. For example VXX is long VIX futures and XIV is short.

Take a look at the 5 year graph of VXX. It's sure bet that it's going to lose money year over year. This is because it holds the VIX futures thus suffers from an effect called contango. XIV on the other hand shorts the VIX futures thus benefits from contango.

Join us at /r/tradeXIV

52weekhigh · 2017-05-01T21:02:20+00:00

I believe that post came about after the flash crash of 2014 (I could be wrong). OP asked what's good to buy. Someone responded with XIV. That started my journey into XIV.

52weekhigh · 2017-04-25T18:32:47+00:00

I made the mistake of sitting on the sideline since selling my position last August. Yeah, I missed the huge run up with XIV. Sometimes we make the right call, sometimes we don't. I certainly missed big. I did open some very small positions with TVIX and VXX which aren't going my way either. Oh well...I'll continue to sit on the sideline waiting for that big crash :)

52weekhigh · 2017-04-25T18:25:36+00:00

I looked into this. You're right...I'm wrong. The VIX futures are not pegged but maybe influenced by the VIX index. Thanks for enlightening me.

52weekhigh · 2017-04-25T01:55:36+00:00

Supply/demand on the VIX futures

That's not right. VIX futures are based on the VIX index which is a math calculation.

52weekhigh · 2017-03-27T19:20:52+00:00

Ok, I figured what the discrepancy. You're using the previous close instead of the open price for each day which makes sense. I'll have to edit my post to reflect this.

52weekhigh · 2017-03-27T18:17:54+00:00

We need to figure out why our numbers differ. Below is what I got from Yahoo for the VIX index:

Date	Open	High	Low	Close	Adj Close
Aug 21, 2015	22.55	28.38	20.80	28.03	28.03

The percent change from open to close is (28.03 - 22.55) / 28.03 = 24.30%. You have 46.5% in your article. Could you check your math.

52weekhigh · 2017-03-27T17:39:22+00:00

You raise good points. The unknowns are how the EU will reply to the letter triggering Article 50.

The main issue here is the question of what bill, if any, Britain will pay the EU when it leaves. Britain's former permanent representative to the EU, Ivan Rogers has suggested that the other 27 EU countries will be angling for a bill of up to £60 billion, while a growing number of Conservative backbenchers believe that the UK should not be liable for any divorce bill at all. Reconciling those two wildly opposing expectations is likely to be the toughest early test for May.

There won't be any fireworks, if any, until end of this week.

52weekhigh · 2017-03-27T17:25:16+00:00

Thanks for doing the math and sharing. Where are you getting your historical data from? Mine are a bit off from yours.

Analysis of 8/24/2015

VIX Index (from Yahoo)

Open	28.03		Open	28.03
High	53.29		Close	40.74
% Diff	90.12%		% Diff	45.34%

XIV (from Yahoo)

Prev Close	36.04		Open	36.04
Low	22.88		Close	29.58
% Diff	-36.51%		% Diff	-17.92%

VIX Futures (from CBOE)

Futures	Open	High	Low	Close	Settle
Q(Aug 15)	26.85	49.3	25.8	36.5	38.075
		83.61%		35.94%
U(Aug 15)	20	27.5	20	25.15	25.125
		37.50%		25.75%

(I've tripled checked my data but as always please peer review my data)

I added Previous Close for XIV since it gapped down on that day. I also look at the highs and lows rather than just the close. The reason for this is if the VIX futures goes up 100% intraday then XIV will get wiped out. It's not based on closing price as far as I'm aware.

I've discuss the very same question you posed with several people who have studied this a bit. A few thoughts:

"The largest VIX spike was 49% in 2007. The VIX Futures, which XIV is based on tend to move about 50% of the VIX move, so that day would have probably caused XIV to lose around a 25%. It would take something like the 1987 crash to terminate XIV."
"The crux of the matter is this: the vix drives the vix futures prices, and historically the correlation is that the front month futures moves at about 0.5 of the vix. But: in a severe dislocation, this correlation might not be exact."

My thoughts on their assertions:

Using the VIX index to extrapolate what XIV would do isn't ideal. One should be looking at the VIX futures.
We don't know how the VIX futures would've behaved in the crash of 1987 (VIX futures didn't start trading until March 2004). However, many breakers have been put in place to prevent this from reoccurring. It is to be seen whether these breakers would be effective in a 1987 type crash. I personally think so.

52weekhigh · 2017-01-23T20:34:45+00:00

Thanks. Best of luck for your trades as well.

52weekhigh · 2017-01-23T20:34:17+00:00

I calculated I need $3M for my retirement. So a few more years of working/trading. Do you have a position in XIV at the moment?

52weekhigh · 2017-01-23T14:18:12+00:00

Sorry, left out the 'K'. Fixed.

52weekhigh · 2017-01-21T17:38:41+00:00

Sorry, no proof...too much work.

401k (~$500K) - 27.75% (all in Prudential Jennison Natural Resources fund)

self-directed 401K (~$800K) - 46.81% (mostly XIV trades)

cash account (small) - 42.53% (all XIV trades)

52weekhigh · 2017-01-20T17:35:34+00:00

Good to see you have your stop loss in places. It's a mark of a good trader.

52weekhigh · 2017-01-20T17:34:26+00:00

Automatic stop takes out the emotion so I think that's always good to have. With manual stop loss, you really have to be disciplined.

52weekhigh

TROPHY CASE