I am perhaps tempting the market gods to humble me by another post in this featured section on this call. You see, the first version from 7/28 had suspicions of a decent turn, but this was before the big move that turned a 30% VIX jump into a 95% explosion!*
* VIX 7/26L to 7/27H = 30.1%
* VIX 7/26L to 8/11H = 95.5%
Before that big move, I pounded the table on 8/6 with a post, "XIV, again".
"In case you haven't gotten the point I am very keenly watching VIX and XIV for a trade and in fact already partially positioned in a rare UVXY position. XIV is sitting on YR3 at 95.23. This could be the turn of the year. The VIX short trade is hugely crowded. As it turns out the July close on XIV was 94.37. This means there is a hugely significant zone between 95.23-94.37 that combines YR3 and the monthly close high. Anything below this is very vulnerable. Interactive brokers hiked margins for VIX futures and this could be the spark for a XIV selloff on Monday. I'm ready to add."
Monday didn't sell off but daily comment spotted the rally as fake and then Tuesday dropped in a big way. Full disclosure - I did not nail the exit. Great trade nonetheless. 8/4 close to 8/14 open still +20% on UVXY.
The full series of VIX and XIV posts:
7/25 VIX and XIV blog post - Intro to idea of an immanent turn.
7/26 daily comment: "I think VIX may have bottomed today..." (In case you don't know or aren't looking at charts, that was *the low!*
7/28 Featured post "So if you are not getting the point about XIV being on YR3 with me pointing out GDX major high, China multi-decade high, GLD all time high, SPY & QQQ multi-decade highs, I cannot really help you."
7/29 Safe havens: "We could have just seen the major turn in XIV for the year. If you think this is too much a stretch then please review the charts towards the end of this review and see if you are convinced that seemingly unstoppable trends can and do end on yearly levels."
8/5 Safe havens blog post: "XIV is seeing resistance at YR3. This could be a critical turn..."
Any algos out there that caught both the global yield low in 2016 and VIX low in 2017 - one and only one shot each? I didn't think so.