Serious volatility watchers are always observing a three-ring circus. The left ring holds the general market. Center ring has options on the S&P 500 and the various CBOE VIX® style indexes and to the right are VIX futures, Volatility Exchange Traded Products like VXX, UVXY, TVIX, and XIV plus associated options. Activities in the three rings usually follow a familiar choreographed pattern. The VIX moves …
It’s been said that we learn more from failures than success. Hopefully the chart below will be an illustration of that. It displays the near real-time prices of VIX futures vs. the predictions of a “simple” model I’ve created. My intent with the model is not to achieve high accuracy (it won’t) but rather to distinguish between when VIX futures prices are truly unusual, and …
Update 20-Oct-2023 Credit Suisse announced yesterday that it will be closing a set of Exchange Traded Notes that include volatility ETNs TVIX, VIIX, and ZIV. These funds had been closed to share issuance since July-2020, signaling that Credit Suisse (CS) was exiting this business. However, rather than closing down the funds at that point by accelerating their maturity date (2030), Credit Suisse choose to let …
In the aftermath of the 2010 Flash Crash, the SEC investigated ways to prevent the widespread disruption of prices that led to trades at absurd levels. One of the outcomes was the creation of single-stock circuit breakers across the entire market (SEC document). These breakers are designed to halt trading at specific points to allow markets to stabilize before restarting. Bigger drops triggered longer waits …
Many of the 1600+ Exchange Traded Products (ETPs) on the market are low volume, low asset offerings that either implement failed strategies or have bigger, higher volume competitors. However, some low volume ETPs offer unique opportunities you won’t want to wait for. I’ve organized the special handling required for low volume funds into these categories: Alternatives Before you buy When you buy While you’re holding …
