I have had several requests to do an analysis of a pair trade with the position being short VXX and short XIV. The idea behind the trade is to take advantage of the compounding effects caused by XIV’s daily reset feature that cause it to diverge from a true short. For example if VXX goes up 20% one day and then down 16.7% VXX is …
Bill Luby, of VIX and more, recently pointed out that the 1st / 2nd month volatility futures had recently set a record (now 70 days) for continuous time spent in backwardation—where the value of the 1st month is higher than the 2nd month. Not just a trivia question, this condition has been feathering the pockets of those holding volatility ETNs like VXX / TVIX, …
The prices of SPY from this year and the same date 6 years ago continue their intertwining. For the last two years, just using the old SPY chart has been a better predictor than any number of CNBC commentators—too bad I haven’t been able to convince myself to use this as my market strategy. Today’s closing price of $122, was only $1.5 different from the …
It’s tough right now to get returns above 1% a year right now without taking significant risks. For example ten year treasuries are running around 2% without much upside and a lot of downside. Stocks paying dividends of 2% or more are common, but they will track a general downturn. Typically quality high dividend stocks won’t decrease as much as other stocks in a downturn, but …
ProShares was the first Exchange Traded Fund (ETF) provider for volatility based funds. The previous volatility entries from Barclays (e.g., VXX & VXZ) were all Exchange Traded Notes (ETN). Click on the underlined ETF / ETN for discussions on how these types of securities work. Proshares has done well and currently has the most assets in the volatility ETP space. UVXY (1.5X long) and SVXY ( …
