Interview at OptionPundit
Earlier this week, OptionPundit published the transcript of a recent interview: Bill Luby Talks to OptionPundit. The interview touches on a wide range of subject, but with an emphasis on the VIX and VIX-based ETPs, such as VXX, VXZ, XVIX. As always, V...
VIX Futures: A Tale of Two Backwardations
After yesterday’s New VIX Backwardation Record post, I thought it might be interesting to compare the VIX futures term structure during the past three months to that of the prior record, which spanned September to December 2008. The mechanics for gr...
New VIX Backwardation Record
This week marks the first time that the front two months of the VIX futures term structure have been in backwardation each day for more than three consecutive months. In fact, the current streak of 68 days eclipses the old record of 63 days that dates ...
VIX Backwardation Commentary
My recent VIX Term Structure Evolution Over Last Ten Days post seemed to draw a fair amount of interest from the Financial Times, Forbes and elsewhere, with some pundits claiming that the move from contango to backwardation in the VIX futures was fores...
VIX Term Structure Evolution Over Last Ten Days
If you think the last two weeks have turned the investing world upside down, well you have to look no farther than the VIX futures term structure to see just how accurate that view is. Two weeks ago the VIX was in the 17s and the VIX futures term struc...
Google adventures out along the yield curve [updated]
By John McDermott and Cardiff GarciaHere’s a corporate bond mystery for you.Google has $36.7bn cash on hand as of the end of March, according to its Q1 SEC filing. $16.9bn...
Webinar: Using Volatility as an Asset Class
I recently participated in a webinar sponsored by AdvisorOne which tackled the subject of volatility as an asset class. Cliff Stanton of Prima Capital was the featured presenter and he presented the highlights from a white paper he authored, Volatility...
Can you trust the Vix?
It’s official. Volatility is back in vogue.On Wednesday the Vix index, which is derived from the value of S&P 500 options, posted its biggest two-day increase in nine...
Chart of the Week: VXX Celebrates 2nd Birthday
One year ago today, in Chart of the Week: VXX Celebrates One Year of Futility, I chronicled the first year of the iPath S&P 500 VIX Short-Term Futures ETN, known to most by its ticker symbol, VXX. At the time, I noted that VXX had fallen 68.4% in i...
TVIX Finally Getting Due as Day Trading Rocket Fuel
Launched at the end of November 2010, I am surprised it has taken so long for TVIX to become a popular short-term trading vehicle. I predicted in the middle of December that TVIX “will hit a tipping point and become the darling of day traders,” but...
The Skinny on XVIX
Of all the second generation volatility-based exchange-traded products that have been launched in the past few months, the one I find most intriguing is the UBS E-TRACS Daily Long-Short VIX ETN, which I prefer to refer to by its ticker symbol XVIX.XVIX...
Now Sixteen Volatility ETPs, Four of Which Are Optionable
The graphic below is part of my ongoing effort not only to maintain a list of all the volatility-based exchange-traded products, but present them in a manner which helps to highlight the distinctions among these products.Since I last updated this pictu...
