For a long time investors have been frustrated in their desire to directly invest in the VIX index. Now three ETNs, one by design, and the two other perhaps by accident are tracking (or out-performing) the VIX index on both a daily percentage move basis and for multi-day holding times. Historically the daily percentage moves of short term (1/2 month) volatility ETNs like VXX tend …
Note: XVZ was an exchange traded note, which an expiration date of Aug, 11, 2021. Barclays chose to not create a new instance of XVZ, it was never highly successful. Investco’s PHDG is still available, and uses the same index as XVZ did. It did well in the COVID crash, but generally significantly lags the S&P. ************************************************************************************ Barclays’ XVZ volatility ETN is intended to allow investors …
XIV has only existed since November 2010, so we are dependent on simulations for guesses on its performance before that. The index that XIV is based on goes back into the 2005 time frame, so I have the data I need to backtest XIV for the 2008 crash. My simulations show a close match to actual XIV values (see this post) so I have …
In spite of its name, XIV is not the inverse of the VIX index—it is the daily percentage inverse of an index called SPVXSP, which you can monitor on Bloomberg here. This index very closely tracks the same index that VXX uses, SPVXSTR. Last week XIV did not track VXX’s daily moves particularly well. There has been a lot of speculation about what was causing …
This morning I put a credit spread in place, selling August VIX $15S calls and buying $47.5S calls for a net credit of $18.2. The underlying for these calls is the August volatility futures—not the VIX itself. The effective price of the underlying for these options was about $34 at the time. The VIX was around 42. Normally the shortest term volatility futures are cheaper …
