A super contango in fear
This is a guest post for FT Alphaville by Theo Casey, a columnist at Futures & Options World, blogging on the back of FOW’s European Equity Options conference in Amsterdam....
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,...
The Vix distortion quantified
Are volatility-linked exchange-traded products (ETPs) getting too big for the Vix futures market? Are they comprising the price discovery role of Vix futures? Are they the reason...
Options on UVXY and SVXY Open Up New VIX ETP Trading Approaches
Whether or not I find it useful to flog the wounded horse otherwise known as the VelocityShares Daily 2x VIX Short-Term ETN (TVIX), it seems as if investors and the media insist that the wild and crazy story of this +2x VIX futures ETN remain on the fr...
Options on UVXY and SVXY Open Up New VIX ETP Trading Approaches
Whether or not I find it useful to flog the wounded horse otherwise known as the VelocityShares Daily 2x VIX Short-Term ETN (TVIX), it seems as if investors and the media insist that the wild and crazy story of this +2x VIX futures ETN remain on the fr...
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...
Is TVIX Now Just a More Docile UVXY?
Today is the eleventh trading day since Credit Suisse (CS) announced a suspension of new creation units in the VelocityShares Daily 2x VIX Short-Term ETN (TVIX) after the close of the regular trading session on February 21. In the interim, all manner ...
VXEEM vs. VIX Indices and Futures in Today’s Selloff
Stocks have been eerily quiet for the first ten weeks of 2012, with only four 1% moves in the SPX so far – and all of those coming to the upside. It just so happens that the CBOE’s launch of futures and options on the CBOE Emerging Markets ETF Vol...
Time for position limits on Vix futures?
Holy cow! Index Universe – self-described defenders of the ETF industry — have admitted there may be an issue with these products affecting the underlying assets, after all....
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...
