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標題: UVXY could raise 15X in 2008/2009 crash [打印本頁]

作者: 股霸    時間: 2018-5-22 12:36 AM     標題: UVXY could raise 15X in 2008/2009 crash

Long volatility funds have not existed all that long, the first one was introduced in 2009, so we don’t have actual data for the earlier bear markets, but we do have historical data for the 2011 correction, where UVXY’s value went up 550% in a few months. In my simulation of UVXY’s prices that goes back to 2004, I show that that the prices of UVXY would have gone up 15X in the 2008/2009 crash.  Now you can see why some people are interested in going long with these funds.
In addition to the risks of typical market corrections and bear markets, a short volatility position is also vulnerable to a Black Swan type event. A major geopolitical event, natural disaster, or terrorist attack could cause a very large, essentially instantaneous jump, in the volatility funds.  The record one-day VIX jump so far was a 59% jump in February 2007, but in this post I postulate that a 100% one-day jump in the VIX is not out of the question. The VIX futures that underlie the volatility ETPs don’t track the VIX moves directly, typically the mix of futures used moves around 45% of the VIX’s percentage move, but with the 2X leveraged funds that still gives a 90% daily jump in their prices.  If an event like this happens when the market is closed there will be no chance for protective measures like stop loss orders to execute.  Even if the event happened during market hours conditions would be chaotic, and the market would likely shut down quickly.




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