My count of volatility US-based ETPs trading on national exchanges is at 8 as of August 9th, 2024. New Additions: Ticker/Quotes & Leverage Description / Time frame Daily activity? / underlying index ETF / ETNCompany website / Prospectus Comments / Posts ^VIX (Yahoo)$VIX (Schwab)VIX (Fidelity)VIX:IND (Bloomberg).VIX (Reuters)INDEXCBOE:VIX (Google FInance) Cboe Volatility Index®Model-free est. of SPX 30 day volatility VIXDerived from SPX option prices CBOE / …
See updated information on IVV’s dividends see this post. For updated OEF dividend information see this post. See this excellent ETF Database post if you’re interested in the differences between the main S&P 500 Index ETFs. See this post for ex-dividend information on many ETFs.
The CBOE posts historical volatility futures quotes, but not in a particularly helpful organization. Each expiration month has a separate spreadsheet, which currently adds up to > 100 different spreadsheets from May 2004 to now. Adding to the difficulties, there are four expiration months in the early years that didn’t exist at all that led to a lot of missing data and a reverse split …
Update: Citigroup has halted new share creations on CVOL. It should be avoided. This baby is built for speed—not distance. Fortified with several cups of coffee I took on the tough stuff in Citigroup’s CVOL pricing supplement. The other volatility ETNs (e.g., VXX, VXZ) limit themselves to various combinations of volatility futures—CVOL adds a variable leveraged short S&P 500 position. I’ve been wondering why this …
I don’t think much is going to happen with the market this week. Trading on that hunch I put a condor position in place Monday with SPY weekly options expiring this Thursday, the 23rd. The position is composed of short calls (S126 at .11) and short puts (S124 at .38) to create the upside of the position, with long calls (S127 at .04) and long puts(S123 …
