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Oct 26, 2017

S3 Analytics: VIX up but VXX Shorts Hanging Strong

As the VIX Index hit an intra-day high of 13.20 the inevitable cacophony of “VXX short squeeze” can be heard in the CBOE pits and Vol trading desks around the country. In reality, short interest in the 6 major shorted VIX ETFs/ETNs do not show any sign of a “squeeze”. And in fact, we are seeing added short activity today in several of the ETFs/ETNs even as the VIX rallies.

There is $1.38 billion of short interest in the long VIX ETFs/ETNs and $822 million of short interest in short VIX ETFs/ETNs. There was approximately $100 million of new short activity today, $70 million on the long side and $35 million on the short side. Shorts continue to bet both sides of the VIX market, if the VIX eventually climbs out of its doldrums, we should see short interest in the VXX, UVXY, TVIX and VIXY decrease while the SVXY and XIV increase.

Want deeper insight into the above analysis? Contact:
Managing Director Predictive Analytics, S3 Partners, LLC
The information herein (some of which has been obtained from third party sources without verification) is believed by S3 Partners, LLC ('S3 Partners') to be reliable and accurate. Neither S3 Partners nor any of its affiliates makes any representation as to the accuracy or completeness of the information herein or accepts liability arising from its use. Prior to making any decisions based on the information herein, you should determine, without reliance upon S3 Partners, the economic risks and merits, as well as the legal, tax, accounting and investment consequences, of such decision.

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