Apparently Vanguard likes to keep their ETF ex-dividend and distribution dates a secret until just a couple 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 year’s …
Update. Barclays’ responded to the problems noted below with their IVOP ETN. It has now has a similar situation that XXV has—near its max price and very low leverage. See this post for more information. ************************************************************* Originally Posted December 11, 2011 Question: What would the value of Barclays’ inverse volatility XXV ETN be if Barclays’ volatility VXX ETN goes to zero? Answer $40 / share …
January 4th ProShares plans to offer two new volatility products: VIXY ProShares VIX Short-Term Futures ETF— a VXX clone VIXM ProShares VIX Mid-Term Futures ETF—a VXZ clone This Morningstar article provides more information. Right now I don’t see much that these new funds have to recommend themselves over the 13 funds that preceded them. Their liquidity and spreads will be poor at first, and …
A week ago Monday I created an IEF (iShares Lehman 7-10 Yr Treas Bond) bear spread in my Schwab margin account—with the short calls deep in the money at S90. Several of the calls were assigned that night when IEF went ex-dividend ($0.248/share). Since I wasn’t long IEF, this assignment resulted in a short position being created in my account. I was surprised the calls were assigned since …
I don’t think the recent blow-off in Treasury bonds is over. I created a bear spread on IEF (7 to 10 year Treasuries), selling-to-open January S90 calls at 3.24 and buying S94 calls at 0.41. The net credit was $2.83 and the worst case loss is $1.17. The spread for this combo order was bid 2.65 and ask 3.05. I tried credit orders …
