Shorting VXX (or buying XIV) is a well worn play at this moment in history (because of this), but it’s been an unproductive one for the last couple of months. VXX hasn’t closed at a new low (or XIV a new high) since the beginning of July. That’s 48 trading days, the 9th longest such run in VXX since early 2004.
Below I’ve shown the 10 longest runs without a new VXX low, along with the max gain in VXX, as well as SPY’s performance, over each run.
And a graphical representation of these long runs (truncated at 200 days because of that one monster run in 2007/08).
Is our current run a reason to worry? Not at all (or at least not yet), these runs happen. This is just an attempt to put the current blah VIX market in a bit of historical perspective.
P.S. Adam Warner has often talked about these long VXX dry spells in the past as well (such as here), and as always, I highly recommend following his thoughts on the subject as well.
Volatility Made Simple
Wonk note: Data prior to the launch of VXX has been simulated. We’re able to do this accurately using a combination of the indices and the futures data on which VXX is based. Read more about simulating data for VIX ETPs.