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fehro wrote:and just like that 2 months of work erased in 2 days.
fehro wrote:Not stopping.. pushing for the 200d SMA in the after hours.. ugliness 2600 SPX
fehro wrote:fehro wrote:Not stopping.. pushing for the 200d SMA in the after hours.. ugliness 2600 SPX
https://www.zerohedge.com/news/2018-02-05/it-traders-panic-xiv-disintegrates-after-close
XIV $18.. VXX $65 in the AH
In the prospectuses for XIV, there are some disconcerting discussions about termination events. For XIV the termination event is triggered if the daily percentage drop exceeds 80%. I did some digging into these events to try and figure out how likely they are to occur. If you’d like to read a more general discussion about this ETN you can read this post.
...Just to be clear, this fund isn’t tied directly to VXX, but rather the underlying futures contracts, but I believe VXX is a good proxy for the situation.
The termination risk for XIV appears to be limited to market crashes worse than the Flash crash. Two examples that come to mind are the 2009 crash and the October 1987 crash. VXX didn’t exist for either of these. I have analyzed VIX data (or simulated data) since 1992—there were 20 days with VIX jumping over 30% (previous day close to intraday high) during that period. The highest percentage jump over that period was 70.5% on February 27, 2007. There were three days with VIX jumps over 30% in the 2008/2009 crash, and during the Flash Crash.
fehro wrote:/GC spikes. not yet updated pops to 1345 Futs UGLY
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