Comments on: Volatility Landscape: And Then There Were 20

By: Andrew_notPorC

Andrew_notPorC — Wed, 19 Sep 2012 02:12:00 +0000

Wouldn’t Barclay’s just as likely sell VXX?

By: vance3h

vance3h — Sat, 15 Sep 2012 16:41:00 +0000

Hi Marc,
Thanks! Regarding the sophistication of VXX longs, I’d have to guess that overall it is pretty low. People see a “low” VIX and want to cash in on the spike. Most have no idea how fast contango chews away at their position.

– Vance

By: vance3h

vance3h — Sat, 15 Sep 2012 16:40:00 +0000

Hi John, Regarding VXX I suspect it has been a real money maker for Barclays–imagine how much money they have made if they only hedged at 90%.. Most of the time it is a PR disaster, but during panics it gets a lot of positive press. If they did want to kill it I would hope they would just shut it down and not let it fade away below $1, that would take a long time and generate a lot more negative PR.

– Vance

By: Vance Harwood

Vance Harwood — Fri, 07 Sep 2012 05:35:30 +0000

– Vance

By: Vance Harwood

Vance Harwood — Fri, 07 Sep 2012 05:29:23 +0000

– Vance

By: Johnheiderscheit

Johnheiderscheit — Thu, 06 Sep 2012 20:22:00 +0000

Given that even VQT, a clearly superior product in my mind, has not been an asset gathering barn burner I have no idea why VIXH was brought to market.

On the subject of VXX, what would you say the odds are that Barclays in an effort to help clean itself up for sale, decides to drop VXX.

By: @ContangoMojo

@ContangoMojo — Thu, 06 Sep 2012 14:24:00 +0000

Great Post!

VXX is a loosing proposition unless you have good market timing. As a long term hedge, it is very pricey insurance.

I wonder how much of the $2B in that fund is put up by people who know what they are doing, and how much is put up by misinformed and ignorant investors and managers. How much of that $2B will simply evaporate with the fund’s decay?