VXX hasn’t hit a new low in 6 weeks, and it’s not because the market is crashing. What has changed is the shape of the VIX futures term structure—the underlying futures that the various volatility Exchange Traded Products (ETP) like VXX, XIV, TVIX, and ZIV are based on (see volatility tickers for the entire list). For most of 2009 through 2012 the monthly roll cost …
We don’t have good metaphors to help us understand the short-selling of equities. It’s easy to understand a straight “long” investment. For example, planting a garden is a reasonable analogy—it involves buying seeds, planting them, and in due time there is a payoff—or not. But in real life people rarely borrow something, immediately sell it, and hope to buy it back at a cheaper price. …
Update Due to low demand, the CBOE discontinued VXST options and futures. The VXST index, renamed the VIX9D, continues to be active. The CBOE went on to introduce weekly versions of its popular 30-day VIX futures which have been marginally successful. _______________________________________________________________________________________ VIX9D Indexes On October 1st, 2013 the CBOE introduced the VXST index. VXST, later renamed to VIX9D. It uses the same methodology as …
During a significant market correction everyone knows that the long volatility funds like VXX, TVIX, and UVXY soar, while inverse funds like XIV and SVXY get crushed—no subtlety there. However, there are a class of volatility funds that attempt to finesse their way through market downturns. They change their allocations based on market conditions or use periodically rebalanced mixes of VIX futures in an attempt …
Apparently, Vanguard likes to keep its ETF ex-dividend and distribution dates a secret until just a couple of days before the event. It has that old mutual fund feel to it—”we’ll give you a quote after-market and allow you to buy or sell our stuff at the end of the day, otherwise go away…” As a result, the dates below are just guesses, based on previous …
