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 …

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A brief condor

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 …

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SPY dividend for 4th quarter 2010

SPY went ex-dividend December 17th, 2010.  The payout will be $0.6528 per share.  The paydate will be 31-January-2011. In premarket on the 17th SPY was trading around 124.17, after closing at 124.82 in regular trading Thursday.  It looks like some poor soul had a buy order in at 124.74 that filled in the pre-market—ex-dividend day drops at the beginning of trading are one of the …

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SPY ex-dividend

For updated information about SPY’s ex-dividend and payout dates see this post.