My count of volatility US-based ETPs trading on national exchanges is at 8 as of March 30th, 2022. New Additions: A new player in the volality ETP space, Volatility Shares, introduced two new ETFs, the -1X leveraged short term SVIX and the 2X leveraged UVIX on March 30th, 2022. These funds use two new Cboe indexes, SHORTVOL and LONGVOL which use time-weighted averages of VIX …
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 …
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, …
Easy way: If you want to short VXX the simplest way is to buy Volatility Share’s SVIX. This Exchange Traded Funds tracks -1X the daily percentage moves of VXX so it isn’t a true short, but it has the same goal—going up when VXX goes down. They carry annual investment fees (SVXY’s is 1.35%), which I doubt is an issue for you if you’re thinking …
The CBOE has announced a nice new email service for people wanted to know what weekly options are going to be offered each week. While the list has been relatively stable the CBOE recently extended the list to 35 offerings and they usually make a few tweaks each week. For example, they recently dropped USO in favor of NDX—something I’m not happy about. They …
