Assumes working knowledge of options and a willingness to learn about new things — like volatility
UPDATE Credit Suisse terminated XIV due to a greater than 80% drop in its indicative value on 5-Feb-2018. The final payout was $5.99 per share. The last day of trading was the 15th of February 2018. In the prospectuses for XIV, there are some disconcerting discussions about termination events. For XIV the termination event is triggered if the daily percentage drop exceeds 80%. I did …
I used to share stock tips with my brothers-in-law. Before the tech crash I could offer up a few stocks I liked, and they would often make some money. The crash painfully ended the easy money and I moved on to index funds. They didn’t think indexes were near as much fun. One Easter one of my brothers-in-law asked what I was investing in. …
Update: XVIX was terminated by UBS. It joins the list of market strategies that backtested great but did horribly once if went live. UBS’ E-TRACS XVIX ETN was designed to take advantage of the volatility futures contango that torments Barclays’ popular VXX ETN. VXXB provides a way to go long on volatility—which in theory provides a good hedge against sudden market drops. However, since …
This table gives the date ranges covered by the spreadsheets that I have for sale. For a complete list of products see this page. For active securities, I am very willing to update spreadsheets up to the end of the most recently completed calendar quarter upon request at [email protected] Description Start Date End Date Notes VIX Futures Extended Data (VX OHLC +more), no indexes 26-Mar-2004 …
IEF, Barclays 7-10 year Treasury note ETF, went ex-dividend April 1st with a declared dividend of $0.248 per share. Somewhat surprisingly my IEF + DTYS hedge didn’t dip at all, closing at 146.11, the same close as the 31st. I don’t see any reason why DTYS should go up on IEF’s ex-dividend date—and it is probably just a random thing. I’m not complaining. During the …
