ProShares Trust Ultra VIX Short Term Futures ETF (UVXY)

[eric4x]

UVXY-VIX numbers for August 2015 to October 2015.*

I am writing this analysis using old posts for a reference:

#8206 Comparing UVXY and VIX highs and lows, 160612.* eric4x 06/12/16 04:53:31 AM

http://investorshub.advfn.com/boards/read_msg.aspx?message_id=123250520

#7070 VIX Futures Term Structure, recent charts, 150908.* eric4x 09/08/15 04:08:49 AM

http://investorshub.advfn.com/boards/read_msg.aspx?message_id=116800665

There was a low for the VIX of 10.88, and a low for UVXY of 24.34, on August 5, 2015.*

08/05/2015,,,25.81,,,,24.34,,,,,,12.72,,,10.88

UVXY dipped just a little bit lower in December, to 23.83:

12/02/2015,,,26.80,,,,23.83,,,,,,16.49,,,14.71

UVXY did not go any lower than that until March 17, 2016. But then it started dropping relentlessly.*

03/17/2016,,,25.74,,,,23.31,,,,,,15.38,,,13.82

Last year was an unusual situation, and there is no reason to believe it will be repeated. But it's important to note that this DID happen, and it was just last year.*

There was a "floor" under UVXY, which kept it from dropping below $23.83 for over 7 months, after it reached $24.34 in August 2015.*

I have copied the charts from vixcentral, but the numbers change throughout the night, so they are not exact. This is referring to the contango or backwardation between the first and second month, on the night after the date given.*

Look at this set of price numbers below, (with dates from bottom to top), and see how price changes follow the supposed indicators. It has been my observation that prices often DO NOT move the way the contango experts suggest.*

Starting on Aug. 18, 2015, the UVXY high price and the spot VIX gradually go up, even though the VIX is under 20, and the futures are in contango.*

The UVXY price goes from a low of 24.97 on Aug. 18, 2015 up to a high of 42.25 on Aug. 21, 2015, with the PREVIOUS DAY futures in contango. This is a jump in price of almost 70%, with the previous day's futures in contango. If waiting for backwardation was your signal to buy the next day, it would not have worked.*

Of course, on the day that UVXY reaches $42.25, the futures do go into backwardation, and the VIX spikes up above 28. But this is on the day that it jumps, not the day before.*

08/21/2015,,,42.25,,,,32.68,,,,,,28.38,,,20.80,,,,,backwardation -6.51%

Here, the signals work as they say. But this hardly ever happens:

08/24/2015,,,73.69,,,,45.72,,,,,,53.29,,,28.03,,,,,backwardation -8.79%

With a spot VIX at 28.38, (that is, above 25), and with backwardation -6.51%, the high price of UVXY goes even higher the next trading day.*

But on the next day when the price jumps, the spot VIX goes up to 53.29, and the backwardation increases to -8.79%. So it is no wonder that the price of UVXY goes up.*

In other words, the price of UVXY tends to go up when the spot VIX goes up, and go down when the spot VIX goes down, regardless of the previous day's numbers for spot VIX, or for contango and backwardation.*

Consider these two days together:

08/25/2015,,,66.90,,,,42.68,,,,,,38.06,,,28.08,,,,,backwardation -8.53%

08/24/2015,,,73.69,,,,45.72,,,,,,53.29,,,28.03,,,,,backwardation -8.79%

The price of UVXY goes DOWN from Aug 24 to Aug 25, 2015, even though the futures are in heavy backwardation, and even though the spot VIX is above 25 for the LOW, and had just set a record high point.*

UVXY does eventually go higher, on Sept 1, 2015. But there is no apparent reason why it should go up, or why it should go back down the next day, based on the indicators we're supposed to be watching.*

09/01/2015,,,91.25,,,,76.10,,,,,,33.82,,,29.91,,,backwardation -11.63%

--*
(I am getting the best results here with 175% enlargement on my screen. Adjust the image size to keep the numbers on a single line).
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DATE,,,,,,,,,,,UVXY,,,UVXY,,,,,VIX,,,,,,VIX

,,,,,,,,,,,,,,,,,,,,,HIGH,,,,LOW,,,,,,,HIGH,,,LOW

10/09/2015,,,40.39,,,,37.04,,,,,,18.20,,,16.89,,,,,contango 1.21%

10/08/2015,,,42.86,,,,37.12,,,,,,19.02,,,16.34,,,,,contango 1.10%

10/07/2015,,,45.29,,,,41.91,,,,,,19.73,,,18.33,,,,,backwardation -2.02%

10/06/2015,,,45.78,,,,41.91,,,,,,20.32,,,18.82,,,,,backwardation -1.75%

10/05/2015,,,47.24,,,,42.88,,,,,,20.42,,,19.14,,,,,backwardation -2.13%
--*
10/02/2015,,,59.73,,,,49.00,,,,,,24.47,,,20.35,,,,,backwardation -2.75%

10/01/2015,,,59.86,,,,54.65,,,,,,25.23,,,22.55,,,,,backwardation -2.97%

09/30/2015,,,59.51,,,,55.06,,,,,,25.88,,,23.25,,,,,backwardation -3.50%

09/29/2015,,,64.64,,,,57.01,,,,,,28.20,,,25.76,,,,,backwardation -4.51%

09/28/2015,,,64.50,,,,56.69,,,,,,28.33,,,24.94,,,,,backwardation -5.01%
--*
09/25/2015,,,56.44,,,,46.91,,,,,,24.29,,,20.81,,,,,backwardation -2.82%

09/24/2015,,,58.38,,,,50.51,,,,,,25.30,,,21.81,,,,,backwardation -2.24%

09/23/2015,,,52.44,,,,47.64,,,,,,23.20,,,21.14,,,,,backwardation -3.25%

09/22/2015,,,55.70,,,,49.00,,,,,,26.29,,,22.25,,,,,backwardation -2.11%

09/21/2015,,,51.14,,,,45.88,,,,,,22.48,,,20.05,,,,,backwardation -0.34%
--*
09/18/2015,,,54.27,,,,47.33,,,,,,23.99,,,20.98,,,,,backwardation -2.42%

09/17/2015,,,44.37,,,,35.04,,,,,,23.33,,,17.87,,,,,backwardation -1.47%

09/16/2015,,,48.26,,,,42.61,,,,,,22.94,,,21.09,,,,,contango 1.04%

09/15/2015,,,59.95,,,,48.64,,,,,,23.77,,,22.13,,,,,contango 0.98%

09/14/2015,,,63.60,,,,60.36,,,,,,25.32,,,23.64,,,,,backwardation -2.98%
--*
09/11/2015,,,66.48,,,,60.64,,,,,,25.81,,,23.15,,,,,backwardation -3.59%

09/10/2015,,,71.86,,,,63.80,,,,,,27.22,,,23.53,,,,,backwardation -4.94%

09/09/2015,,,68.14,,,,57.25,,,,,,26.82,,,21.51,,,,,backwardation -5.74%

09/08/2015,,,70.92,,,,63.89,,,,,,26.25,,,24.13,,,,,backwardation -3.36%
--*
09/04/2015,,,81.50,,,,71.57,,,,,,29.47,,,25.68,,,,,backwardation -8.06%

09/03/2015,,,72.36,,,,59.00,,,,,,26.31,,,23.45,,,,,backwardation -7.91%

09/02/2015,,,84.39,,,,69.06,,,,,,30.45,,,24.77,,,,,backwardation -7.15%

09/01/2015,,,91.25,,,,76.10,,,,,,33.82,,,29.91,,,backwardation -11.63%

08/31/2015,,,68.68,,,,63.02,,,,,,29.37,,,26.63,,,backwardation -12.66%
--*
08/28/2015,,,68.88,,,,59.32,,,,,,29.20,,,25.77,,,backwardation -10.44%

08/27/2015,,,64.44,,,,49.79,,,,,,29.90,,,24.49,,,backwardation -10.59%

08/26/2015,,,69.72,,,,53.20,,,,,,35.62,,,28.67,,,,,backwardation -7.74%

08/25/2015,,,66.90,,,,42.68,,,,,,38.06,,,28.08,,,,,backwardation -8.53%

08/24/2015,,,73.69,,,,45.72,,,,,,53.29,,,28.03,,,,,backwardation -8.79%
--*
08/21/2015,,,42.25,,,,32.68,,,,,,28.38,,,20.80,,,,,backwardation -6.51%

08/20/2015,,,31.85,,,,28.32,,,,,,19.24,,,16.13,,,,,contango 0.23%

08/19/2015,,,28.09,,,,25.26,,,,,,15.96,,,13.73,,,,,contango 2.79%

08/18/2015,,,26.10,,,,24.97,,,,,,13.94,,,13.17,,,,,contango 4.89%

08/17/2015,,,26.84,,,,25.13,,,,,,14.52,,,13.01,,,,,contango 9.20%
--*
(I'm having trouble here, because I somehow had the closing price of 40.74 listed in my information as the high of Aug 24. 2015, instead of 53.29; There may be other mistakes, but these are the numbers I have for now, until corrected).*