XIV Is No More

Market action on Monday this week resulted in the all-time record for a 1-day spike in VIX at 115.6%. This also caused our beloved XIV to implode and alas, it no longer exists.

SVXY, a nearly identical product managed by ProShares, managed to survive the carnage although it lost most of its value. Other inverse volatility products including ZIV, VMIN, and XIVH are still around as well. We plan to move to SVXY and continue business as usual.

Speaking of business as usual, below is our performance of our indicators through Feb 8, 2018, as auto-traded on Collective2:






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Our 2017 Indicator Performance: +126%

We had a great 2016 with our primary indicator turning in a +96% gain, but 2017 was even better with a +126% gain. It was a bit of a wild journey, however, with a political headlines and threats of nuclear war popping up to cause some pretty strong drawdowns mid-year. Our equity curve for 2017 using hypothetical portfolios is as follows:




Below is how our indicators performed when we sent our trade orders through Collective2's auto-trading platform (performance values and graphs here date back to launch in February 2016), echoing the above equity curves.1

Both our VXX Bias and VRP+VXX Bias strategies were bested by a buy-and-hold approach with XIV in 2017 as it set a new record for best annual return. However, knowing that it is not a good idea to buy and hold XIV, I believe the VRP+VXX Bias performance was still rather good and it helped us to sell when it detected trouble coming our way.




Updated statistics:


Values for monthly returns have been tracked along the way and are updated on our Strategy page as well as below.




Trading Volatility+ subscribers have access to our VRP and VXX Bias indicators, our intraday indicator data, receive emails with preliminary and final change alerts for each of the indicators as well as our daily summaries, and interact with our private community of volatility traders in the forum. If interested, you can learn more about our services on our Subscribe page.

As always, each day's indicator values, buy/sell triggers, trade performance summary, and equity curves are tracked in the spreadsheets linked at the bottom of our Subscribe page. Additional information on our trading strategy and indicators can be found on our Strategy page.

1Note: As mentioned in our previous post, you will find differences between the ideal/hypothetical indicator performance and actual trading performance for the following reasons:
- The VRP+VXX Bias indicator ("Trading Volatility 1" on C2) was launched on C2 on Feb 2, 2016.
- The VXX Bias indicator was launched on C2 on Feb 19, 2016
- Both C2 systems traded only 72%-80% of portfolio equity until April 1. After April 1, both C2 systems trade at ~97.5% portfolio equity (the ideal/hypothetical model portfolios trade at 100% equity).
- The ideal/hypothetical performance does not account for trade commissions or subscriptions costs.

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Hypothetical and Simulated Performance Disclaimer
The results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown. Hypothetical and backtest results do not account for any costs associated with trade commissions or subscription costs. Additional performance differences in backtests arise from the methodology of using the 4:00pm ET closing values for XIV, VXX, and ZIV as approximated trade prices for indicators that require VIX and VIX futures to settle at 4:15pm ET.


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