Found myself looking at the charts I mentioned earlier so posting them now. It was the inversion of $VIX’s term structure

(nearer term futures contracts trading at a higher price than longer dated ones), that caused TVIX to behave as it did in 2011.

UVXY’s performance in August 2015 suggests it reacts to $VIX term structure inversion in a similar way to TVIX. (I wouldn’t

go near TVIX when there is a comparable ETF because an ETF has a lower credit risk than an ETN. Don’t care about the

fee differential.)

$SPX D 11  $VIX D 11  TVIX D 11

However, 2011 was before Simon Potter took over at the NY Fed and started aggressively selling vol  –  have a

relevant chart somewhere but can’t find it so here’s another one instead:

$VIX Curve 2004-2015