Eli Mintz, the publisher of vixcentral.com, has published an analysis that shows the arbitrage relationship between Accushares’ VXUP shares and VIX Futures. It shows that investors can use VXUP shares to lock in a low risk position for any VIX Future expiration month. What struck me about this analysis was the incentive to sell VIX futures that had a higher daily roll yield, regardless of …
I’ve taken 20 minute delayed information to calculate tracking information and other items of interest using Google Sheets and Yahoo Finance’s on-line resources. The day-end NAV values for these funds can be found here and here. The last two lines in the table above show an experiment in progress. It’s likely that the VXUP shares will track fairly close to the VIX futures that …
Update — Redirected to “How do VXUP & VXDN work” AccuShares’ new VX UP and VX Down funds started trading on May 19th. There is a lot of interest in these Exchange Traded Products (ETPs) because they are the first funds to attempt a direct linkage to the CBOE’s VIX index. An investable VIX has been the Holy Grail of volatility investment. …
Update In early September, 2015 Google stopped supporting NPAPI technology on Chrome. There are no workarounds. This breaks software packages like Microsoft’s Silverlight, which in turns breaks applications like Fidelity’s web based version of Active Trader Pro. Many other browsers still support NPAPI, but they (except for Microsoft) will probably follow Google’s lead and drop NPAPI support eventually. Fidelity recommends switching to their client …
Exchange Trade Fund UVXY is a 1.5X leveraged fund that tracks short-term volatility. To have a good understanding of UVXY (full name: Ultra VIX Short-Term Futures ETF) you need to know how it trades, how its value is established, what it tracks, and how ProShares makes money running it. For the last year, UVXY has been the only leveraged long volatility Exchange Traded Fund (ETF) …
