• Research

AUG 2, 2016

S3 BLACKLIGHT: Notional Short Interest is an Indication of VXX Tops and Bottoms

The iPath S&P 500 VIX S/T Futures ETN (VXX US) is up over 4% today after hitting its life to date low of $10.02 yesterday. VXX is down 48% year to date.

VXX short interest continues to decline, dropping to $814 million, the lowest level in the ETF since March of 2013. The cost to borrow the VXX has remained stable even as short interest has dropped, with borrow cost ranging between 2.75% to 3.00% fee all year long.

Since 2014, notional short interest has been a solid indication of intermediate tops and bottoms in the VXX price. The following charts show days where short interest increased by $300 million and days where short interest dropped by $200 million over the previous month.

Within a week of hitting an intermediate high short interest level the VXX price hit an intermediate high and began dropping. Within a week of hitting an intermediate low short interest level the VXX price hit an intermediate low and began climbing.

With the present VXX short interest at an intermediate low level, based on recent trends, we should be seeing a rally in the VXX price starting soon.

For more information on the above analysis, please contact:
Ihor Dusaniwsky, Head of Research, S3 Partners, LLC
Ihor.Dusaniwsky@S3Partners.net
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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