Back into XXV, USO Weeklys back
Bought XXV (inverse VXX) at 32.11, put a 2% trailing stop in place. USO weekly options are back—at least for next week, expiring December 10th.
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Taking CVOL for a ride
I’ve been watching Citigroup’s new CVOL volatility ETN (a souped up competitor to Barclays’ VXX) since it started trading November 15th. Tracking its actual performance has been difficult because it is very lightly traded. Charts for example are useless. Normally I use Yahoo’s Finance historical quotes feature as a very convenient way to get open /high / low / close data that I can export …
Bearish on treasuries
I created a bear spread on IEF, using a $0.50 credit combo order to sell Dec 98 calls and buy Dec 101 calls. The order filled at 0.57 and 0.07 respectively. The straight market quote at the time for the spread was $0.40 (0.50 bid on the 98s and 0.1 ask on the 101s).
GM stock options are now available
Options on the “new” GM are now available. Created a bear spread, selling Dec 34’s at 0.75 and buying Dec 36s at 0.20 for a net credit of 0.55. GM is currently at 33.60.
XVZ Backtest from March 2004
I have now backtested Barclays’ XVZ ETN back to when VIX volatility futures first started to trade in March 2004. I have made two versions of the spreadsheet available for purchase below. One with results data only and the other version with formulas and required indexes included. I have included the simulated daily closing values with and without the 0.95% annual fee from March 29, …
