It’s been said that we learn more from failures than success. Hopefully the chart below will be an illustration of that. It displays the near real-time prices of VIX futures vs. the predictions of a “simple” model I’ve created. My intent with the model is not to achieve high accuracy (it won’t) but rather to distinguish between when VIX futures prices are truly unusual, and …
Update 20-Oct-2023 Credit Suisse announced yesterday that it will be closing a set of Exchange Traded Notes that include volatility ETNs TVIX, VIIX, and ZIV. These funds had been closed to share issuance since July-2020, signaling that Credit Suisse (CS) was exiting this business. However, rather than closing down the funds at that point by accelerating their maturity date (2030), Credit Suisse choose to let …
It’s now clear that the VXUP/VXDN naysayers were right—the actual behavior of these funds is nowhere close to Accushares’ claim that “VXUP and VXDN are the first securities to offer direct “spot” exposure to the CBOE Volatility Index® (VIX).” Accushares has said nothing publicly about the poor behavior of the funds. Their only response has been to move up the “go live” date of their Corrective …
I’ve taken 20 minute delayed information to calculate tracking information and other items of interest using Google Sheets and Yahoo Finance’s on-line resources. The day-end NAV values for these funds can be found here and here. The last two lines in the table above show an experiment in progress. It’s likely that the VXUP shares will track fairly close to the VIX futures that …
Exchange Trade Fund UVXY is a 1.5X leveraged fund that tracks short-term volatility. To have a good understanding of UVXY (full name: Ultra VIX Short-Term Futures ETF) you need to know how it trades, how its value is established, what it tracks, and how ProShares makes money running it. For the last year, UVXY has been the only leveraged long volatility Exchange Traded Fund (ETF) …
