The graphic below shows the difference between TVIX and TVIX.IV over the course of the past three trading sessions, using 5-minute bars and reflecting the extended hours trading sessions in the grayed-out blocks.
At this juncture, longs are likely betting that the prospect of a short squeeze, perhaps in combination with a VIX spike, could land them some significant windfall profits. Shorts, on the other hand, are assuming that it is just a matter of time before Credit Suisse (CS) reopens the creation units window for TVIX, which should restore the supply-demand equilibrium and dissolve the 13% premium in the form of a different type of windfall profit.
[It is generally my policy not to comment on individual holdings other than to note them in the disclosure section below, but suffice it to say that as the TVIX premium increases, I find it increasingly difficult to make the bull case in terms of anticipating an additional expansion of that premium.]
- The Ups and Downs of the New Premium in TVIX
- Credit Suisse Suspends Creation Units in TVIX: What it Means
- Four Key Drivers of the Price of TVIX
- Will TVIX Go to Zero?
- TVIX Topples VXX as Highest Volume VIX ETP
- Who Is Trading TVIX?
- Volatility Becomes Unhinged on Friday
- VXX Options Calm After Second Highest Volume Day Ever
- TVIX Finally Getting Its Due As Day Trading Rocket Fuel
- TVIX Trades One Million Shares for First Time
- VIX and More and the 2011 Bespoke Roundtable
- VIX Exchange-Traded Products: The Year in Review, 2011
[source(s): thinkorswim/TD Ameritrade]
Disclosure(s): short TVIX at time of writing