Volatility Trade

Pros have been shorting volatility since late last spring and roll yield has rewarded them handsomely.

I’ve had a pair trade on for the last 3 months.

Spread SVXY

Spread UVXY

I put it on and left it to see what would happen.

So far SVXY is up 21.84% and UVXY is up 253%.


My UVXY position was up over 400% on a previous post. That means it took yesterdays spike in the VIX to put it back to 253% today.

SVXY on the other hand has been trucking regardless. The long side of the SVXY spread is up 63.2% and 46.14% respectively. The short side is down 53.61%.

In spite of the UVXY position being up several times over multiple times this year, I have to think that long volatility is a losing bet. I don’t pretend to be able to predict the future which is what going long volatility requires.

I am speaking in the sense that you would contemplate going long volatility as something beyond a hedge.

Public market design makes long volatility a guaranteed loser in the long run.

Of course products like UVXY aren’t designed for the long run, but that is for a different post.

Beyond the volatility trade I am crushing GMAT study time and reading through every Pitch posted on VIC. Time permitting I would like to post critiques of the VIC pitches. “Post mortems” if you will.

Best to your investing!



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