Taking CVOL for a ride

I’ve been watching Citigroup’s new CVOL volatility ETN (a souped up competitor to Barclays’ VXX)  since it started trading November 15th.  Tracking its actual performance has been difficult because it is very lightly traded.  Charts for example are useless.  Normally I use Yahoo’s Finance historical quotes feature as a very convenient way to get open /high / low / close data that I can export into Excel for analysis. However I have been wondering how their methodology handles securities that have wide bid/ask spreads and low volumes.   From my perspective it would be great if their opening number was a split between the bid / ask quotes at market opening.   But that’s not what they do—it’s the first trade of the day.

Ideally I would like bid / ask data available; let’s say at 15-minute intervals—terabytes are cheap these days.   This sort of info for lightly traded securities, like most options, would enable a huge improvement in the quality of the charts and the open / high / low / close data.

I know about the opening data, because I made the first CVOL trade today—a buy limit order at 97.00 that filled around 10:00 ET.  This is what Yahoo shows as the opening for today.   This means that using the Yahoo data for comparisons with other securities like VXX is likely to be misleading because the true opens / high / low / close values from a market standpoint are not reliably captured.

A couple other observations about CVOL:

• Currently it doesn’t really open when the rest of the market opens. Its spreads stay very wide (e.g., 101.05 / 110.03 on 30-Nov) until a minute or two after opening.  Then the bid/ask spreads drop to their current normal range—around $0.6 to $1.00.  This is not a security you want to trade at open…  Update 13-Dec-2010, CVOL’s openings have become much cleaner.  Recently the volatility futures opening moved earlier, this might have helped.
• I tried to get a fill between the bid and ask—no luck.   My limit order was about halfway between the bid / ask spread when I put it in.  The trade did not fill until the CVOL ask had dropped to match my limit position.
• The volatility of this security is impressive.  In its two weeks of existence it has ranged from a low of below 92 to a high of at least 110.   When I sold my position this afternoon the bid was 98.03.   I put in a limit order of 98.00 and the position filled a few seconds later at 98.80—a pleasant surprise, but it could have just as easily been 97.20.