Tuesday, November 1, 2016

Aqumin Volatility Newsletter 10/31/2016 $UVXY

It aint over until it’s over

Election shocks and surprises

The old saying “It ain’t over til it’s over” was never more true than last Friday.  A small change in the election game set volatility on fire again.  Generally what I like to see is standout volatility up or down for a ride in the volatility products.  Usually the vol products just decay but every once in a while there is a cause for an out of category volatility.  Even with the market clocking in single digit realized volatility UVXY found a way to jump off of the 3D map again.

UVXY is a levered product, but when the levered product gets way above all else it is noteworthy.  The dark red color in the AlphaVision® Landscape below, shows the lively 60 day realized volatility, with NUGT in the front of the group.  Height is what we want since that is the 10 day realized. UVXY is back out in front in the top 10% of 1 day relative moves which is how each decile of ETF’s is sorted.  The election will keep UVXY moving.

I expect UVXY and the volatility products to stay lively through the election with a binary move post- election.  There is now too much uncertainty to let volatility tank prior the Nov 8th a la The Brexit. I like long vol plays (call spreads in UVXY) in the shorter duration, but expiry after the Nov 8th, and a short vol play just farther out in the post-election run up.  The short vol can wait at least until the 7th.

No comments:

Post a Comment