Vance Harwood

The Volatility Term Structure is Driven by OTM Puts

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The CBOE’s VIX® methodology calculates a single theoretically grounded number that quantifies virtually the entire volatility landscape for a specific point in time—pretty cool.  Prices for hundreds of different options with different expiration dates can be involved in the calculation.   This single number is very useful, but obviously, lots of information is discarded in the distillation.  I’ve wondered if the VIX’s compression is hiding some information …

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TVIX’s Last Reverse Split, Number 7—December 2nd, 2019

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Update Effective July 2nd, 2020 TVIX stopped trading on national exchanges (press release). The issuer, Credit Suisse (CS) halted share creations effective July 3rd, 2020 but is not terminating the fund. They reserve the right to do so but don’t have to until 2030. TVIX is currently trading on OTC exchanges, e.g., OTCMarkets.com and is currently trading relatively close to its IV price, the theoretic value of …

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Next VXX Reverse Split (No. 8) —July 24th, 2024 2023

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VXX’s next reverse split will be July 24, 2024, at a four to one ratio. For a security doomed to decrease in value over time Barclays’ VXX does amazingly well.  Its volume averages over 12 million shares per day and its assets under management had stayed around $800 million to $1.5 billion until an ugly 2022, were it had to cease share creations for 6 …

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Top 11 Questions About the CBOE’s VIX

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Based on searches that lead people to Six Figure Investing, these are the top 10 questions people ask about volatility investing: How can I buy/trade/invest in the CBOE’s VIX® index?   The short answer is that you can’t.  No one has figured out how to do this economically. However, there are quite a few investment approaches that allow you to trade in volatility, including futures, options on …

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SPXH—Hedging the S&P 500 For Free?

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Update TRSK & SPXH were shutdown in March 2018, probably because they never gained enough assets to be profitable for the issuer.  In general, these fund performed as expected.  They likely would have really done well in a major correction or bear market but that didn’t happen during their lifetimes.  Their main weakness is that they tended to lose value when volatility makes sudden shifts. …

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