IEF, Barclays’ 7-10 year treasury ETF has been trading in a 102 to 105 range since October. When the market is down it has been trading near 105. I put a call credit spread in place, betting that IEF would stay below that 105 level for the rest of this week. I sold S105 calls and bought S106 calls for a net credit of $0.20. …
Update: UBS terminated all of their ETNs except for XVIX on September 12, 2012. They never gathered enough assets to be viable. Until recently if you wanted to be long or short on volatility Exchange Traded Products (ETP) your only choices were based on short term 1-2 month rolling volatility futures (e.g., VXX, TVIX, or XIV), CVOL‘s mix of the 3-4 month rolling index …
Based on searches that lead people to Six Figure Investing, these are the top 11 questions people ask about dividends: When is XYZ’s ex-dividend date? This information can be hard to find. Some companies provide the entire year’s dates on their webside (e.g., iShares), others like Vanguard only reveal the information a few days before the ex-dividend occurs. I have summarized / estimated ex-dividend dates …
If your interests are related to the simulation / backtest of volatility exchange-traded products like VXX and XIV, then you should review the products I have listed here. While the indexes discussed in this post can be used to compute the prices of the volatility ETPs it is not an entirely straightforward process. I have generated both the Excess Return (ER) and Total Returns …
In December 2010 UBS came out with XVIX—an ETN that holds a long position in medium term volatility (equivalent to VXZ), and short a 50% position in short term volatility (equivalent to VXX). See Volatilty Tickers for the full set of available ETNs. XVIX’s strategy was to take advantage of the historical situation (2004 to 2009) where short term futures were hugely eroded by contango and mid term …
