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 …
The Holy Grail of volatility investing would be an ETN or ETF that matched the movements of VIX—CBOE’s volatility index on the S&P 500. As a hedging vehicle it would be nearly ideal—negatively correlated to fast moves of the S&P 500 with a stable floor during quiet times. So far no one has figured how to economically offer a fund that does this. Instead …
