Weekly Wrap 4/12: Easy Money

Pretty nice week for those owning XIV with a 8.8% gain.  Term structure and VIX declined substantially and remain in contango producing a roll yield over 2% per week for XIV and almost 3% for ZIV (see VIX Futures Data page).  View of the term structure week over week:

Looking Ahead:
Next Wednesday April VIX futures expire and all months roll forward. You can expect April VIX and spot VIX converge as we get closer to Wednesday.  Right now April is ~5% higher than VIX so there's some  premium left but not much. Don't expect disproportionate downward moves from VXX this time around.

We've been in a pattern in the market lately where it is ridiculously easy to make thousands of dollars just buying the dips of XIV in the morning and selling during the afternoon melt-up. Cash out and repeat the next day. Seems to be a common occurrence and everyone is on to it, making me wonder just how much longer that pattern will last. This is trend we are currently in and I choose to play along rather than try to short it, but I remain very cautious with what I hold overnight.

Checking in on the VXX Daily Forecast for Monday, we can see that it has changed very little over the past week due to a pretty consistent contango term structure and positioning of front month futures relative to VIX. The bias remains slightly negative after today, however the risk of a spike edged up a bit.

Weekly VIX ETF Performances vs S&P 500:
XIV:     +8.8%
ZIV:      +5.2%
VXX:    -9.2%
UVXY:  -17%
SPY:     +2.3%

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