Since November 2009 I have been noting that the S&P500 (represented here by SPY) has been closely retracing the path that it followed in 2003 and 2004. Now that 2010 is drawing to a close, I took a look back at 2005 to get one vision (hallucination?) of what lies ahead for 2011. My updated graph showing SPY, normalized SPY volume and VIX over those …
For updated information see this post.
Any strategy that hopes to offset down days in the market with volatility products that go up on those same days needs to figure out how much leverage the volatility product provides. A little calculation produced the equation below for computing the expected price of Citigroup’s CVOL from the VIX index quote: (VIX – 10) * 9.6 = CVOL So if the VIX jumps …
When Barclays ‘ VXX ETN first came out early last year I was pretty excited. Having an direct investment in a volatility product that didn’t have the time decay (theta) of VIX options was attractive. However, it turns out that price erosion on VXX is a huge issue—anyone that holds on for the long term becomes a loser. In spite of this, …
Redirected Citigroup’s new volatility ETN, CVOL has only been trading since November 15th, but it is starting to show some intriguing results. Designed as a 2X leveraged volatility offering, in a class of products that are already known for volatility, we can expect a wild ride. So far it has lived up to its billing with a high of around 110, and a …
