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Largest VIX Decline in History, from Kim Zussman

2011-04-04 · Kim Zussman
Original source

  1. VIX went up for a couple of days, then proceeded to go lower still

  2. TVIX is an odd beast. It is new - just started trading Dec 2010. Here is a regression of (daily change in) TVIX vs VIX from inception:

Regression Analysis: TVIX versus VIX

The regression equation is TVIX = - 0.0102 + 0.860 VIX

Predictor       Coef   SE Coef      T      P
Constant   -0.0102  0.00297   -3.45  0.001
VIX            0.8597  0.04250  20.23  0.000

S = 0.0274052   R-Sq = 83.1%   R-Sq(adj) = 82.9%

Of note: The daily change is NOT 2X VIX- more like 0.86. Even more interesting the intercept coefficient is negative and highly significant. ie, on (extrapolated) days when VIX change is zero, TVIX change is -1%. This ongoing loss is also seen in comparative chart (attached), and would appear to be another (now common) ETN contango/roll tracking problem.

The advice that TVIX is short term is no joke.