Performance of VIX ETP Hedges in Current Selloff
It was only a week ago that I discussed the performance of 31 VIX and volatility-based exchange-traded products in VIX ETP Returns for Q1 2012 and barely a month ago that I examined in some detail the workings of two VIX ETPs, VQT and XVZ, in Dynamic V...
VIX ETP Returns for Q1 2012
Back in my consulting days, I convinced myself that there were rare instances when an ugly chart crammed full of data should take precedence over a clean and simple graphic that focused on the key takeaways. For my purposes at least, the graphic below,...
Third Steepest First-Second Month VIX Futures Contango Ever
For a variety of reasons, investors seem unwilling to embrace the current rally and with each day the market rises, I see a scramble in the indicator forest to find some sort of proof that stocks are finally, inevitably going to correct…and soon. I n...
Volatility Indices vs. Futures
The CBOE Volatility Index, also known as the VIX, is the most famous and widely quoted of all the volatility indices. It measures the market’s expectations of the volatility in the S&P 500 index (SPX) for the next 30 calendar days. Unbeknownst to...
ETRACS Volatility ETPs
While the likes of TVIX and UVXY have become overnight sensations during the last few weeks, one group of VIX exchange-traded products (ETPs) that continues to toil in relative obscurity is the dozen ETRACS VIX ETN that UBS launched in September 2011. ...
ETRACS Volatility ETPs
While the likes of TVIX and UVXY have become overnight sensations during the last few weeks, one group of VIX exchange-traded products (ETPs) that continues to toil in relative obscurity is the dozen ETRACS VIX ETN that UBS launched in September 2011. ...
Four Key Drivers of the Price of TVIX
TVIX (VelocityShares Daily 2x VIX Short-Term ETN) is the new rock star in the VIX exchange-traded product (ETP) space. Far from being a one-hit wonder, I predicted just two weeks after it was launched (toward the end of 2010) that “TVIX will hit a t...
VXX Celebrates Third Birthday
It does not seem too long ago that I was the only person who thought VXX was worth mentioning. Known formally as the iPath S&P 500 VIX Short-Term Futures ETN, VXX was launched three years ago today, alongside of its sibling, the iPath S&P 500 ...
The VIX-VXX Minotaur Trade
[The following first appeared in the December 2010 edition of Expiring Monthly: The Option Traders Journal. I thought I would share it partly because I have an article, “Synthetic Seasonal VIX-VXX Arb,” which appears in the just published January 2...
ZIV Undeservedly Neglected
Much to my amazement, next week will mark the third anniversary of the launch of the first two VIX ETPs: the S&P 500 VIX Short-Term Futures ETN (VXX) and the S&P 500 VIX Mid-Term Futures ETN (VXZ). Some may recall that investors were slow to w...
VXV Heralding a Return to Normalcy
With the political season heating up, it seemed like an opportune time to work “normalcy” into one of my posts again and what better way to do that than by putting under the microscope one of my favorite overlooked indices: the CBOE S&P 500 3-M...
Italy’s Sovereign Debt Schedule and the VIX
When I think about the risks posed by the European sovereign debt crisis in 2012, the first thing that comes to mind is the huge amount of debt that Italy has to roll over next year. In yesterday’s staff meeting/run with Logan (What My Dog Can Tell U...
