Did you know you can actually calculate and plot the values for SVXY and UVXY any time of day or night as long as VIX futures are trading? I went through a complicated explanation here so you can do it yourself and understand what goes into the calculations.
Once you understand the calculation though, a simple shortcut is to use an index ticker known as SPVIXSTER. This is available on most trading platforms as well as Google and Yahoo quotes. An even nicer trick is that you can create a ThinkorSwim Thinkscript to plot the value you for you overnight!
Basically SPVIXSTER is telling you the relative value of the 30-day weighted VIX future. The fund values of UVXY and SVXY are also available in realtime with the ticker UVXY.IV and SVXY.IV (or some variation thereof, depending on your specific broker). Now, although the fund values are not available after the 4:15 close, SPVIXSTER is reported around the clock as long as VIX futures are trading. See where I'm going with this?
By creating a script that calculates the SPVIXSTER change from yesterday and applies it against the last known values of UVXY and SVXY, you can calculate and update your own values for these tickers in realtime, even at midnight. Of course you still can't trade them overnight, but knowing where the values are based on VIX futures overnight can give you some idea on how to plan your next trade or where to open or close your next position, or keep better tabs on your margin requirements.
Below are my Thinkscripts for both UVXY and SVXY. To use these if you are not familiar with Thinkscript, follow these directions on ThinkorSwim:
1. Click on the little studies icon at the top of a chart of your choice
2. Click Edit Studies...
3. Click Create...
4. Give it a new name that makes sense to you (ex: UVXYAfterHours)
5. Cut and paste the code below into the big lower box
6. Click OK
It should now be visible on the lower part of your chart along with any other indicators you may have there.
Thinkscript for UVXY overnight chart:
## UVXY Overnight Calculator. Version 2.0
## This script is free to use.
## Created by Eric Vymyslicky
## http://vixworkshop.blogspot.com
## Unfortunately the previous version of this script
## did not pull the correct close for $SPVIXSTER
## In order to use this properly,
## you must manually input the 4:15ET close of $SPVIXSTER each day.
## Data is only available when $SPVIXSTER is available,
## usually 7PM-3:30PM ET
declare lower;
input SPVIXSTERclose = 47.72;
def closingUVXYIV=close("UVXY.IV",period="DAY");
def AGG = getaggregationperiod();
def currentfuture = close("$SPVIXSTER", period = AGG, priceType = PriceType.LAST);
def yesterdayfuture = SPVIXSTERclose;
def doublechange = (((currentfuture / yesterdayfuture) - 1) * 2) + 1;
def CurrentUVXY = doublechange * closingUVXYIV;
plot UVXYIVAH = CurrentUVXY;
UVXYIVAH.AssignValueColor(Color.GREEN);
Thinkscript for SVXY overnight chart:
## SVXY Overnight Calculator. Version 2.0
## This script is free to use.
## Created by Eric Vymyslicky
## http://vixworkshop.blogspot.com
## Unfortunately the previous version of this script
## did not pull the correct close for $SPVIXSTER
## In order to use this properly,
## you must manually input the 4:15ET close of $SPVIXSTER each day.
## Data is only available when $SPVIXSTER is available,
## usually 7PM-3:30PM ET
declare lower;
input SPVIXSTERclose = 47.72;
def closingSVXYIV=close("SVXY.IV",period="DAY");
def AGG = getaggregationperiod();
def currentfuture = close("$SPVIXSTER", period = AGG, priceType = PriceType.LAST);
def yesterdayfuture = SPVIXSTERclose;
def inversechange = (1/currentfuture) * yesterdayfuture;
def CurrentSVXY = inversechange * closingSVXYIV;
plot CurrentCaluclatedSVXY=CurrentSVXY;
CurrentCaluclatedSVXY.AssignValueColor(Color.GREEN);
HINT: If you don't want to see yesterday's closing price on the chart just delete the second line that begins with "plot" and the last line.
You will need to change the value for $VIXSTER every day. Just identify the 4:15pm ET close and use that as the value for SPVIXTERclose.
Updated November 30, 2017 with new version of the script that more accurate calculates overnight values.
Enjoy and Happy VIX Trading!
Once you understand the calculation though, a simple shortcut is to use an index ticker known as SPVIXSTER. This is available on most trading platforms as well as Google and Yahoo quotes. An even nicer trick is that you can create a ThinkorSwim Thinkscript to plot the value you for you overnight!
Basically SPVIXSTER is telling you the relative value of the 30-day weighted VIX future. The fund values of UVXY and SVXY are also available in realtime with the ticker UVXY.IV and SVXY.IV (or some variation thereof, depending on your specific broker). Now, although the fund values are not available after the 4:15 close, SPVIXSTER is reported around the clock as long as VIX futures are trading. See where I'm going with this?
By creating a script that calculates the SPVIXSTER change from yesterday and applies it against the last known values of UVXY and SVXY, you can calculate and update your own values for these tickers in realtime, even at midnight. Of course you still can't trade them overnight, but knowing where the values are based on VIX futures overnight can give you some idea on how to plan your next trade or where to open or close your next position, or keep better tabs on your margin requirements.
Below are my Thinkscripts for both UVXY and SVXY. To use these if you are not familiar with Thinkscript, follow these directions on ThinkorSwim:
1. Click on the little studies icon at the top of a chart of your choice
2. Click Edit Studies...
3. Click Create...
4. Give it a new name that makes sense to you (ex: UVXYAfterHours)
5. Cut and paste the code below into the big lower box
6. Click OK
It should now be visible on the lower part of your chart along with any other indicators you may have there.
Thinkscript for UVXY overnight chart:
## UVXY Overnight Calculator. Version 2.0
## This script is free to use.
## Created by Eric Vymyslicky
## http://vixworkshop.blogspot.com
## Unfortunately the previous version of this script
## did not pull the correct close for $SPVIXSTER
## In order to use this properly,
## you must manually input the 4:15ET close of $SPVIXSTER each day.
## Data is only available when $SPVIXSTER is available,
## usually 7PM-3:30PM ET
declare lower;
input SPVIXSTERclose = 47.72;
def closingUVXYIV=close("UVXY.IV",period="DAY");
def AGG = getaggregationperiod();
def currentfuture = close("$SPVIXSTER", period = AGG, priceType = PriceType.LAST);
def yesterdayfuture = SPVIXSTERclose;
def doublechange = (((currentfuture / yesterdayfuture) - 1) * 2) + 1;
def CurrentUVXY = doublechange * closingUVXYIV;
plot UVXYIVAH = CurrentUVXY;
UVXYIVAH.AssignValueColor(Color.GREEN);
Thinkscript for SVXY overnight chart:
## SVXY Overnight Calculator. Version 2.0
## This script is free to use.
## Created by Eric Vymyslicky
## http://vixworkshop.blogspot.com
## Unfortunately the previous version of this script
## did not pull the correct close for $SPVIXSTER
## In order to use this properly,
## you must manually input the 4:15ET close of $SPVIXSTER each day.
## Data is only available when $SPVIXSTER is available,
## usually 7PM-3:30PM ET
declare lower;
input SPVIXSTERclose = 47.72;
def closingSVXYIV=close("SVXY.IV",period="DAY");
def AGG = getaggregationperiod();
def currentfuture = close("$SPVIXSTER", period = AGG, priceType = PriceType.LAST);
def yesterdayfuture = SPVIXSTERclose;
def inversechange = (1/currentfuture) * yesterdayfuture;
def CurrentSVXY = inversechange * closingSVXYIV;
plot CurrentCaluclatedSVXY=CurrentSVXY;
CurrentCaluclatedSVXY.AssignValueColor(Color.GREEN);
HINT: If you don't want to see yesterday's closing price on the chart just delete the second line that begins with "plot" and the last line.
You will need to change the value for $VIXSTER every day. Just identify the 4:15pm ET close and use that as the value for SPVIXTERclose.
Updated November 30, 2017 with new version of the script that more accurate calculates overnight values.
Enjoy and Happy VIX Trading!
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