Deathwatch for Barclays’ IVOP short volatility ETN

It hasn’t been a good ride for Barclay’s IVOP.   It was introduced September 16th at $20, and now 19 days later it is trading at $11.4— a 43% drop.   Since IVOP is a effectively a short on volatility instead of tracking daily percentage moves like its competitors (e.g, VelocityShares’ XIV) it has a variable leverage behavior.   With VXX currently at 58.5 IVOP’s leverage is a heady 2.4X and it is  getting dangerously close to its $10 termination point.  It will only take a 6.5% move up on VXX to kill IVOP.

XXV, IVOP, XIV leverage vs VXX, click to enlarge


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