As happens every time futures expire, as they did last Friday, TVIX and UVXY trade at a discount to their NAV due to the expiration of front-month $VIX futures. As of Friday’s close, TVIX traded at $7.19, which was a 13% premium to its end-of-day NAV of $6.34. As of Friday’s close, UVXY traded at $15.18, which was a premium of 5% to its end-of-day NAV of $14.44. As of this morning at 10:30 Eastern, both traded at a discount to NAV. If today’s pullback in vol holds into the close, I will be getting long more vol. Given the TVIX NAV fiasco of earlier this year, I am going to switch things up a bit and will start buying UVXY for my long vol positions given its position as of Friday relative to its NAV. Meanwhile I will watch to see how TVIX trades around its NAV over the next week or so.
Long calls on VXX are also in the playbook for my long vol position. However, I am holding off on adding VXX calls until we get closer to the golden cross on $VIX.
