Barclays VEQTOR ETN (VQT) Begins Trading
Both volatility traders and long-term investors should be interested to know that Barclays launched the launched the ETN+ S&P VEQTOR ETN (VQT) yesterday. Flying mostly under the radar, this ETN traded only 300 shares in its first day. That being sa...
Direxion and S&P Bring Dynamic Volatility Hedging to ETFs with VEQTOR
As the ETF space continues to evolve and push into new territory, such as strategy-in-a-box ETFs and more actively managed ETFs (e.g., QAI, ALT, PQY, PQZ, GVT, PSR, RWG), it was only a matter of time before a volatility play was added to the pool of ac...
The VIX, Rule of 16 and Realized Volatility
Two days ago, in Rule of 16 and VIX of 40, I discussed the Rule of 16 in terms of translating the (annualized) VIX number into expectations for future daily realized volatility in the S&P 500 index. That post drew several interesting comments, whi...
Chart of the Week: No More Free Lunch for Volatility Sellers?
One month ago the VIX closed at a 2009 record low of 20.69, so it should not be a big surprise that realized volatility over the course of the past month has been higher than predicted by the VIX. What I find interesting about this development is that ...
VIX Data to Support Availability Bias and Disaster Imprinting Hypothesis
At the risk of beating to death last week’s theme of availability bias and disaster imprinting as part of the explanation for some of the “realized volatility gap, persistent VIX futures contango and off-center VIX:VXV ratio,” I thought it might ...
The VIX:VXV Ratio, Availability Bias and Disaster Imprinting
Once a popular subject in this space, the VIX:VXV ratio appeared to be a casualty of the financial turmoil and record volatility spikes in October 2008, when the ratio spiked to record levels an generated a buy signal that turned out to be nothing shor...
The Gap Between the VIX and Realized Volatility
Since making an all-time closing high of 80.86 on November 20th 2008, the CBOE Volatility Index (VIX) has been declining in the direction of its historical mean of 20.22. While the initial drop in the VIX took it rapidly from 80 to the 40-50 range, it ...
