I have generated the end of day trading day values for the most popular long and short volatility Exchange Traded Products (ETPs) for March 26th, 2004 through the end of the most recent quarter. See this table for specifics. +1.5X UVXY ProShares Ultra VIX Short-Term Futures ETF (includes old 2X simulation) VXX Barclays S&P 500 VIX Short-Term Futures ETN VXZ Barclays S&P …
First posted September 11, 2013 INTRODUCTION Always interested in alternatives to buy and hold, Vance has generously allowed me to describe my stock market trading method here, and to post its buy and sell signals as they occur in the future. This information is for educational and entertainment purposes only, it will never be a recommendation to buy or sell anything. But I believe that …
The CBOE’s VIX® methodology calculates a single theoretically grounded number that quantifies virtually the entire volatility landscape for a specific point in time—pretty cool. Prices for hundreds of different options with different expiration dates can be involved in the calculation. This single number is very useful, but obviously, lots of information is discarded in the distillation. I’ve wondered if the VIX’s compression is hiding some information …
Update Effective July 2nd, 2020 TVIX stopped trading on national exchanges (press release). The issuer, Credit Suisse (CS) halted share creations effective July 3rd, 2020 but is not terminating the fund. They reserve the right to do so but don’t have to until 2030. TVIX is currently trading on OTC exchanges, e.g., OTCMarkets.com and is currently trading relatively close to its IV price, the theoretic value of …
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