Since Credit Suisse’s recent pause on TVIX share creations I have been trying to figure out some of the hedging / rebalancing dynamics underlying the current crop of volatility ETNs and ETFs. Traditional equity ETFs like SPY, the S&P 500 index tracking fund don’t require much behind-the-scenes action. Shares are created or redeemed in conjuction with baskets of securities changing hands. The only dynamic part …
February 27, 2007, currently holds the biggest daily percentage jump record in the VIX index’s history (the VIX didn’t come out until after the 1987 crash). The VIX jumped from a 11.15 close the previous day to 18.31 —a 59% jump. Normally I would expect a volatility strategy fund like XVZ or, VQTto perform very well during a volatility spike of this magnitude. None of these …
Gold, loved by many and disdained by at least a few (including Warren Buffett) is an unusual investment. It won’t grow, doesn’t offer a dividend, and other than jewelry and some industrial uses it gets stuck in guarded vaults for safe keeping. With no positive cash flow associated with it, the value of gold is whatever the market says it is. In the past …
In February 2012 VelocityShares‘ TVIX ETN was on a tear. Its volume surged from an average of 6.67 million shares a day in January to 22 million shares a day in February. The assets under management (AUM) also grew dramatically. At the end of January TVIX had $413 million in assets—fourteen days later it has $279 million more for a total of $691.0 million. Credit …
SPDR’s DIA Dow Jones Industrial Average ETF went ex-dividend February 17th with a dividend of $0.3315—about 0.25% of its current price of $129. The dividend will be distributed March 12th. For DIA’s 2012 dividend calendar see this post. DIA is currently yielding around 2.3% on an annualized basis. Unlike most funds that distribute monthly dividends, DIA does not go ex-dividend on the first business day …
