How Does VelocityShares’ ZIV Work?

Just about anyone who’s looked at a multi-year chart for a long volatility fund like Barclays’ VXX has thought about taking the short side side of that trade. VelocityShares’ ZIV is an Exchange Traded Product (ETP) that allows you to hold a short volatility position while avoiding some of the issues associated with a direct short position in VXX.  Because ZIV is tied to VIX …

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Simulation of the Longer Duration VMIN & VMAX

When they were introduced by REX ETF in May 2016 VMIN and VMAX were the first actively managed volatility Exchange Traded Funds (ETFs).  REX’s strategy was to offer higher effective leverage than the popular unleveraged long VXX and the daily resetting inverse volatility funds (XIV & SVXY).  In 2017 REX ETF’s strategy paid off with VMIN delivering an eye-popping 190.6 percentage gain, bettering XIV & …

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1.5X UVXY & -0.5X SVXY Open/High/Low/Close values: March 2004–March 2018

Some volatility trading systems use intra-day open, high, low (OHL) prices as part of their algorithms for determining when to trade. UVXY and SVXY didn’t start trading until late 2011—just after the 2011 correction and well past the 2008/2009 bear market so there’s no actual trade data from those important downturns. To fill that deficiency I did some simulations a few years ago using the …

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How Did the Old -1X SVXY Work

Update  As of February 28th, 2018 SVXY will target -0.5 leverage instead of -1X.  This change was in response to the events of February 5th, 2018 when a massive VIX futures spike occurred in the last 30 minutes of trading, probably in part due to the rebalancing required by the 2X UVXY and -1X SVXY funds.  This change to SVXY will reduce its rebalancing requirements …

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How Do Bitcoin Futures Work?

The CME and Cboe/CFE, two large, well respected, USA regulated futures exchanges, recently started trading Bitcoin futures. These venues make it possible to trade on Bitcoin’s value without being exposed to the uncertainties of the mostly unregulated Bitcoin exchanges. To understand Bitcoin futures you need to recognize, among some other things, that these futures are not in the business of predicting Bitcoin’s price. Bitcoin Futures are …

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