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

Try one month of our best daily market and macroeconomic commentary for FREE

Try for free

Or see other subscription options to save 20% on an annual plan

Already have an account? log in

Speak your mind

This site uses Akismet to reduce spam. Learn how your comment data is processed.

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

NEWSROOM crewneck & prints