VXST Index, Futures Quotes and Expiration Dates

Friday, February 21st, 2014 | Vance Harwood

VXST Indexes

On  October 1st, 2013 the CBOE introduced the VXST index. VXST uses the same methodology as the CBOE’s VIX® index except that it gives the market’s 9 day expectation of volatility rather than the 30 day.  VXST options on VXST futures started trading April 10, 2014.

Some of the tickers related to the VXST are:

Quote Provider

Index

Futures Symbols

Weekly
Settlement (SOQ)

Calc
Near
Week

Calc
Far Week

CBOE

VXST

1VSW/<> 2VSW/<>
3VSW/<>
4VSW/<>
5VSW/<>

<> = mo code + yr (see below)

SVRO

VSTN

VSTF

Yahoo Finance

^VXST

 ^SVRO

^VSTN

^VSTF

Google Finance

CBOEINDEX:VXST

CBOEINDEX:VSTN

CBOEINDEX:VSTF

Schwab

$VXST

 $SVRO

$VSTN

$VSTF



The CBOE publishes two intermediate calculations (VSTN & VSTF) that are used to the compute the VXST index.  These two indexes do a VIX style calculation with just the nearest SPX weekly options (VSTN) and the next available set of SPX weekly options (VSTF).   The VXST is a variance (not linear)  interpolation between these two indexes that gives a 9 day expectation of volatility.

At expiration the VXST calculation uses the same option series utilized in the VSTF—the SPX weekly options that will expire in 9 days.   These indexes are analogous  to the VIN and VIF used in the VIX calculation.  For more on this see Calculating the VIX index—the “easy” part.

 

VXST Futures

On February 13th, 2014 the CBOE started trading futures on their new VXST based index.

Currently the CBOE has opened up futures trading up to  5 sequential weeks of VXST.    The futures typically expire on Wednesday morning.

The full ticker symbology for VXST futures is given here.   For CBOE delayed quotes the symbol is constructed with one of the 5  preambles:  1VSW, 2VSW, 3VSW, 4VSW  5VSW followed by a “/” and then the futures month and year code (see below for details).    So for example the VXST futures expiring 26-Feb-2014 will have the symbol:  4VSW/G4.   The futures are numbered by the week of the month that they expire, so the futures expiring the first week of the month will have the 1VSW preamble, 2nd week  2VSW, and so on.
The settlement price at expiration for VXST futures and options  will be computed using the CBOE’s Special Opening Quotation (SOQ) process and will be distributed under the SVRO symbol.  This price is not the same as the VXST opening quote on the day of expiration, the SVRO print will occur at least a few minutes after market open.   The SVRO price is derived from actual option trade prices, not the split bid/ask price that the index calculation uses.
VXST Options

VXST options started trading April 10, 2014.    The most important thing to remember with VXST (and VIX) options is that the underlying is not the index, but rather the future that expires on the same day as the options.   As with VIX options the last day of trading is the day before settlement, which is typically a Wednesday.   For more on trading VXST options see 13 Things You Should Know About VXST options.

 

The futures month codes are:

Code

Month

F

January

G

February

H

March

J

April

K

May

M

June

N

July

Q

August

U

September

V

October

X

November

Z

December



The year code is just the last digit of the year (e.g., 4 for 2014).



Dynamic Volatility Funds During a Correction

Wednesday, February 5th, 2014 | Vance Harwood

During a significant market correction everyone knows that the long volatility funds like VXX, TVIX, and UVXY soar, while inverse funds like XIV and SVXY get crushed—no subtlety there.  However, there are a class of volatility funds that attempt to finesse their way through market downturns.  They change their allocations based on market conditions or use periodically rebalanced mixes of VIX futures in an attempt to minimize the damage, and in some cases profit from corrections / crashes.  

The current downturn has been going on long enough, with enough increase in volatility measures for these funds to start showing their mettle.  There are only 6 of these dynamic funds, with 5 different strategies (Barclays’ VQT and PowerShares’ PHDG follow the same S&P VEQTOR index).  Three funds: XVZ, VQT, and PHDG are designed to provide significant profit during downturns, while SPXH, TRSK, and VIXH attempt to track the S&P index closely during the good times and reduce the degree of loss during the bad.

This first chart shows the best and the worst performers starting on Jan 15th compared to the S&P 500 (represented by SPY).

b&w-vol



Barclays’ XVZ delivered an impressive 4% gain, while First Trust’s VIXH hasn’t deviated from the S&P—presumably its VIX option based hedging strategy hasn’t kicked in yet.  XVZ looks good in this chart, but overall it has been a big disappointment since its introduction in 2011 because of poor performance during bull phases when its medium term volatility futures positions are eroded by contango.

The next chart shows VQT/PHDG as well as VelocityShares’ TRSK and SPXH funds.

mid-dyn-vol



The VEQTOR based VQT and PHDG (dashed line) have limited their downturn to around 2.5%, with TRSK trailing by a few tenths of a percent.  Notice how VQT and PHDG went flat from January 28th through February 3rd—their strategy put them in cash during that period, which saved them from the damaging February 3rd decline.   SPXH’s hasn’t dampened losses much yet, but it tracks the S&P 500 quite well during bull markets (only a 1.4% lag since inception)—something none of these other solutions can claim.    SPXH only started trading in June 2013, and initially didn’t have much inflow, but recently it’s gaining momentum with assets under management climbing to $24 million.

LagSPY

Chart from Yahoo Finance



This last chart shows the Achilles heel of most of these funds—significant underperformance during bull markets.

SPXH (light green) lags the least, with XVZ (dark green) and VQT/PHDG (red) suffering the most.

For detailed analysis of how these funds work see:

For a list of all 20 USA volatility funds see Volatility Tickers



2014 Vanguard Ex-Dividend and Distribution Dates: VCIT, VCLT, VGSH, VMBS

Tuesday, February 4th, 2014 | Vance Harwood

Apparently Vanguard likes to keep their ETF ex-dividend and distribution dates a secret until just a couple days before the event.  It has that old mutual fund feel to it—”we’ll give you a quote after-market and allow you to buy or sell our stuff at the end of the day, otherwise go away…” As a result, the dates below are just guesses, based on previous year’s ex-dividend and distribution dates.   For ex-dividend and pay dates see this  Vanguard link for getting the confirmed dates.

Selected Vanguard ETF 2014 Monthly Ex-dividend & Distributions Dates:  VCIT, VCLT, VGSH, VMBS

2014 Ex-Dividend Dates
31-Jan 28-Feb 31-Mar 30-Apr 30-May 30-June 31-July
29-Aug 30-Sept 31-Oct 28-Nov 24-Dec 24-Dec (possible cap gain dist)
Pay / Distribution Dates
6-Feb 6-Mar 4-Apr 6-May 5-June 7-July 6-Aug
5-Sept 6-Oct 6-Nov 4-Dec 31-Dec 31-Dec (possible cap gain dist)



VCIT  Vanguard Intermediate-Term Corporate Bond ETF
VCLT  Vanguard Long-Term Corporate Bond ETF
VGSH  Vanguard Short-Term Government Bond ETF
VMBS  Vanguard Mortgage-Backed Securities ETF


For information on other Vanguard ETFs see this page. Looking for ex-dividend information for other ETFs? Check this page.

Notes:  Except for December, ex dividend is last business day of month,  distribution is 4 business days later.  For December  distribution is last business day of the month and ex-div date is 7 days prior to that.



2014 Ex-Dividend Dates for iShares’ IFEU, IFAS, DVYE, IFGL, IFNA, DVYA, IDV, WPS

Sunday, February 2nd, 2014 | Vance Harwood

2014 Ex-Dividend Dates for IFEU, IFAS, DVYE, IFGL, IFNA, DVYA, IDV, WPS

Based on Ishares’ distribution schedule, I expect the next ex-Dividend, pay dates for these ETFs to be:


2014 Ex-Dividend Dates
Q1 Q2 Q3 Q4
25-Mar-14 24-Jun-14 24-Sep-14 19-Dec-14 29-Dec-14 (potential cap gains)
Pay / Distribution Dates
1-Apr-14 1-Jul-14 1-Oct-14 29-Dec-14 5-Jan-15 (potential cap gains)

 

In alphabetical order:

DVYA  iShares Asia/Pacific Dividend  ETF

DVYE  iShares Emerging Markets Dividend ETF

IDV   iShares International Select Dividend ETF

IFAS  iShares Asia Developed Real Estate ETF

IFEU   iShares Europe Developed Real Estate ETF

IFGL  iShares International Developed Real Estate ETF

IFNA iShares North America Real Estate ETF

WPS  iShares International Developed Property ETF

If you don’t see the ETF symbol you want there are a lot more here: Dividend, Ex-Dividend, and Paydate / Distribution Date information for ETFs

Related Posts



http://sixfigureinvesting.com/2014/02/2014-ex-dividend-and-pay-date-information-for-amlp/

Saturday, February 1st, 2014 | Vance Harwood

Apparently  Alerian likes to keep their future ETF ex-dividend and distribution dates a secret.

As a result, the dates below are just guesses, based on this and previous year’s ex-dividend and distribution dates.   For historic ex-dividend, pay dates, and dividend amounts see this Alerian link for getting the confirmed dates and amounts.

2014 Estimated Alerian AMLP  ETF Quarterly Ex-dividend & Distributions Dates: 

2014 Ex-Dividend Dates
Q1 Q2 Q3 Q4
6-Feb-14 6-May-14 6-Aug-14 6-Nov-14
Pay / Distribution Dates
13-Feb-14 13-May-14 13-Aug-14 13-Nov-14


Looking for ex-dividend information for non-Alerian  ETFs? see this page.

Notes: Previously ex-dividend was on the 7th unless not a business day, then the previous business day before that.   In 2014 started on 6th, so I am assuming the 6th will be used.   The distribution date is 7 calendar days after the ex-day, unless not a business day, then use the next business day after that.