The ‘Doom Loop’: How VIX ETPs Exacerbated Last Week’s Vol. Spike

The ‘Doom Loop’: How VIX ETPs Exacerbated Last Week’s Vol. Spike

So last week the VIX spiked and investors (if that's what you want to call them) were quick to cash in long vol. positions and put on new shorts, a bet that the low vol. regime will reassert itself. You can see that clearly in the SVXY and UVXY flows through Monday (more here): Implicitly, that suggests that the ETP vega to buy (which sat at roughly $100 million headed into the vol. spike) would have moved sharply lower on a rebalance and then spiked again on inflows. Sure enough, Deutsch
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2 thoughts on “The ‘Doom Loop’: How VIX ETPs Exacerbated Last Week’s Vol. Spike

  1. UVXY/SVXY are ETFs, not ETNs. Does this mean they are shielded from redemption clauses ala TVIX/XIV? I’ve only read CS’s prospectus, wondering if anyone knows offhand

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