The Story of VIX ETPs Relative to their Intraday Indicative Values
This week has seen an explosion of interest in the VIX exchange-traded product (ETP) space, most of which has been due to the suspension by Credit Suisse (CS) of creation units (think ‘new shares’) in the VelocityShares Daily 2x VIX Short-Term ETNs...
Double trouble in TVIX
What on earth is going on with the TVIX ETN?Last week we pointed out that there has been a hugely unusual rush into the double volatility ETN — which is managed by VelocityShares...
Will TVIX Go to Zero?
The sudden surge of interest in TVIX (VelocityShares Daily 2x VIX Short-Term ETN) made it the most heavily traded VIX exchange-traded product (ETP) on Friday, as TVIX vaulted over the former king of the mountain, VXX. Part of the appeal of TVIX is to ...
TVIX Topples VXX as Highest Volume VIX ETP
With just a few minutes before the close, it is now almost certain that TVIX (VelocityShares Daily 2x VIX Short-Term ETN) is going to dethrone VXX as the most heavily traded VIX exchange-traded product (ETP), with TVIX trading 29 million shares and VXX...
Volatility Becomes Unhinged on Friday
Over the course of the last week, the VIX has risen 21.6% while the S&P 500 index has been essentially unchanged (-0.17%). During this period, the VIX has decoupled from the technical changes in stock prices and become more focused on event risk or...
Implications of a Positively Correlated SPX and VIX
For those who missed today’s market action and just looked at the post-mortem reports, today probably looked like just another in a series of uneventful days. For those who were paying attention to the likes of the VIX futures and ETPs based on VIX f...
A Monthly Comparison of VXX and VXZ
Three years after their launch, VXX has about four times as many assets as its mid-term sibling, VXZ. When it comes to public relations and media column inches, I imagine the ratio is more like 50-1 in the favor of VXX. In many ways VXZ is the unloved ...
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 ...
Expiring Monthly January 2012 Issue Recap
I may have been away on vacation for the last two weeks, but that doesn’t mean my brain was entirely at rest. In fact I was particularly busy in the January 2012 edition of Expiring Monthly: The Option Traders Journal, which was published last week ...
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...
