BTW, I looked at 2011. Using VXX as a proxy for UVXY, it was a challenging year.
Algyros
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Could you share some thoughts about how best to take profits on a VIX spike? In other words, what indicator do you look at to ascertain that the VIX spike is over? Thanks.
jjfrost
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Thanks. Watching UVXY, sell when the 20 EMA crosses the 9 EMA on the 5 min or 15 min time frame. Watching for convergence/divergence on RSI also helps.
Algyros
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I've been playing around with your charts and have ascertained that if you go long UVXY when the conditions you describe are met and then go short UVXY the rest of the time, the results are excellent. Thank you for a terrific idea.
Algyros
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Terrific chart. Thanks.
jjfrost
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VIX went up everytime a min of 8.7% since July 2012, the farthest back I checked.