I have been investigating VelocityShare’s XIV inverse volatility ETN, and I’m very impressed. I’ve backtested it through the beginning of 2010 and I’m getting some very attractive numbers—150% gain for the year. At the worst of the Flash Crash it would have gone down around 20% YTD, which is better than I would have expected. This looks like the first volatility ETN/ETF that …
Update. Barclays’ responded to the problems noted below with their IVOP ETN. It has now has a similar situation that XXV has—near its max price and very low leverage. See this post for more information. ************************************************************* Originally Posted December 11, 2011 Question: What would the value of Barclays’ inverse volatility XXV ETN be if Barclays’ volatility VXX ETN goes to zero? Answer $40 / share …
January 4th ProShares plans to offer two new volatility products: VIXY ProShares VIX Short-Term Futures ETF— a VXX clone VIXM ProShares VIX Mid-Term Futures ETF—a VXZ clone This Morningstar article provides more information. Right now I don’t see much that these new funds have to recommend themselves over the 13 funds that preceded them. Their liquidity and spreads will be poor at first, and …
My count of volatility US-based ETPs trading on national exchanges is at 8 as of March 30th, 2022. New Additions: A new player in the volality ETP space, Volatility Shares, introduced two new ETFs, the -1X leveraged short term SVIX and the 2X leveraged UVIX on March 30th, 2022. These funds use two new Cboe indexes, SHORTVOL and LONGVOL which use time-weighted averages of VIX …
The CBOE posts historical volatility futures quotes, but not in a particularly helpful organization. Each expiration month has a separate spreadsheet, which currently adds up to > 100 different spreadsheets from May 2004 to now. Adding to the difficulties, there are four expiration months in the early years that didn’t exist at all that led to a lot of missing data and a reverse split …
