Update This article was first posted in September 2012. The strategy outlined below worked well until August 2013 and then basically went sideways for over 3 years before perking up again in 2017—when virtually any short volatility strategy worked. I’ve updated the chart and the verbiage to reflect those changes. In September 2017 the Cboe renamed its VXV index as VIX3M. The Cboe does not …
News Recently UBS announced that they shutting down 12 of their 13 volatility based funds. They never gathered the assets needed to make them going concerns. After a long drought we have a new USA based Volatility ETP. First Trust’s CBOE S&P 500 Tail Hedge ETF—ticker VIXH started trading last week, bringing us to a total of 20 US volatility funds (see Volatility Tickers for the full list). This …
The 2023 Ex-Dividend and Pay Date information below is based on my estimates. I was not able to find official information from PIMCO for 2023. Monthly Paying Funds 2023 Ex-Dividend Dates (estimates) 1-Feb 1-Mar 3-Apr 1-May 1-June 3-Jul 1-Aug 1-Sept 2-Oct 1-Nov 1-Dec 12-Dec (cap gains) 29-Dec Pay / Distribution Dates (estimates) 6-Feb 6-Mar 6-Apr 4-May 5-June 7-July 4-Aug 7-Sept 6-Oct 6-Nov 6-Dec 15-Dec (cap …
This post was 1st published August, 2012. In addition to the well-known VIX index, the CBOE also publishes the VXV index. It’s computed just like VIX, except that it gauges the implied volatility of SPX options 3 months out, rather than just one month. The chart below shows the 10-year history of these two indexes. < Recently I posted on how the medium term time structure …
Recently I finished reading a book on options that doesn’t explain the basics of calls and puts. The Greeks are on almost every page, but never defined, and it’s assumed that the reader already knows options strategies and acronyms (e.g., butterflies, condors, ratio spreads, ATM, OTM). Clearly the “The Option Trader’s Hedge Fund” is not for beginners. It targets serious traders that know the basics and …
