It's a bear play on S&P market volatility. Just because S&P500 goes down doesn't mean that volatility goes up. I've said it before months ago, but one of the best places to get a quick read on volatility is the CNN "Fear-Greed" indicator; sometimes other parameters will be showing "fear" or "extreme fear" but the volatility index will still be relatively neutral.
Right now, that volatility index is back in "neutral" again, even though other parameters are showing fear/extreme fear.
The volatility index has only been in "fear" mode for several days in all of 2015 thus far, which is why TVIX is in the toilet.
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