Similar to last week I don’t expect much market action this week. I put a SPY condor in place with the quarterly options expiring this Friday the 31st. The puts were at S123 (buy at .19), S124 (sell-to-open at .33), and the calls at S126 (sell-to-open at .43) and S127 (buy at .16) for a net credit 0f 0.41. Worst case loss is 0.59. …
This spreadsheet allows you to enter in any trading date between 30-Jan-2009 and 11-Nov-2011 to backtest the profit/loss performance of a short VIX / short XIV strategy. See this post for more information and example charts. See ordering information at the very bottom of this post.
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 …
