VIX was touching / very close to the lower 2 sigma Bollinger band this morning, so I sold my XIV position at 150.13. Bought some IEF (Barclays 7-10 Treasuries) at 93.80 because it was near the low end of its current trading range, will go ex-dividend next week (1-Feb) with a dividend of around $0.24/share, and tends to go up if equities go down. Later …
ProShares’ competitors to Barclays’ VXX and VXZ now have options available on them. With VIXY’s and VIXM’s average daily volumes of 50K and 10K respectively it seems premature, but I guess if you are going to compete with the market leader you need all the pieces. It will be interesting to see how wide the bid/ask spreads will be on these options. NEW OPTIONS CLASSES …
There is an interesting post in Volatility Futures and Options that projects XVIX performance back 5 years. It addresses a couple of things more analytically than I did in my recent post. Specifically how did UBS pick the 0.5 short factor it uses with short term volatility, and how stable has that factor been over time. .
VelocityShares’ daily inverse volatility fund XIV has only been around since November 30th, 2010, but it has already delivered in a head turning 44% gain. This performance is not totally surprising given the collapse of VXX in the last two months, but how would it have behaved in less favorable times—let’s say the Flash Crash? I did a back synthesis of XIV starting January 4th, …
The histogram below shows the daily percentage moves of VXX for 2010. If you plot this distribution for a normal stock or ETF you will get a normal looking distribution, with an average close to zero. This distribution (the red line marks zero), is asymmetrical (fat tail on the positive side), with an overall average of minus 0.43%. In contrast, the average of VIX’s …
