Under the hood of Citigroup’s CVOL volatility ETN
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 …