2020 Ex-dividend and Pay Dates: VO, VOT, VB, VBR, VBK, VOE, VXF

Apparently, Vanguard likes to keep their ETF ex-dividend and distribution dates a secret until just a couple days before the event.  It has that old mutual fund feel to it—”we’ll give you a quote after-market and allow you to buy or sell our stuff at the end of the day, otherwise go away…” As a result, the dates below are just guesses, based on previous year’s …

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Trading the CBOE’s SPX AM and PM settled Options

If you need options on the S&P 500 the CBOE’s SPX series is one of the most popular solutions in the marketplace.  The CBOE continues to enhance this product with additional expirations—the latest being the addition of options expiring on Monday afternoons.  It’s just a matter of time before they add another weekday—my guess is that Tuesdays will be next. In May 2017 the CBOE …

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How to Vaporize $277 Million in Market Capitalization

Wednesday night, March 23, 2012, I was wondering if there was a graceful way for Credit Suisse to restore TVIX to working order and get its share creation process working again.   The Wednesday close was $14.43, roughly 2X the $7.62 indicative value (IV) giving a market capitalization of $587 Million.   The correct market cap, based on the indicative value was $310 Million.  Somehow $277 …

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How do Leveraged ETFs Work?

At one point I was hazy about the internal workings of leveraged and inverse ETFs, so I constructed models of hypothetical 2X and -1X Apple ETFs to clarify my understanding.  I ignored a whole host of issues (e.g., regulatory, cost-effective leverage), but even a simple model of a leveraged ETF can hurt your brain.  The basic inverse and leverage mechanisms shown below are essentially the same for …

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Credit Suisse Pushes the Pause Button on TVIX

In February 2012 VelocityShares‘ TVIX ETN was on a tear.  Its volume surged from an average of 6.67 million shares a day in January to 22 million shares a day in February.   The assets under management (AUM) also grew dramatically.  At the end of January TVIX had $413 million in assets—fourteen days later it has $279 million more for a total of $691.0 million.   Credit …

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