Consequences of TVIX delisting
Main three points via GS;
1, Reduced vol-of-vol, TVIX is basically short gamma VIX futs
2, Reduced VIX futures activity and liquidity, TVIX has VIX futures exposure equivalent to roughly 1/3 of the open interest
3, Vega to sell in the coming days, could see some short term selling pressure on vol in the coming days if investors sell TVIX before the delisiting
#stocktalk
Main three points via GS;
1, Reduced vol-of-vol, TVIX is basically short gamma VIX futs
2, Reduced VIX futures activity and liquidity, TVIX has VIX futures exposure equivalent to roughly 1/3 of the open interest
3, Vega to sell in the coming days, could see some short term selling pressure on vol in the coming days if investors sell TVIX before the delisiting
#stocktalk