The short-term Volatility ETPs hold a mix of the two nearest-to-expiration VIX futures. The ETPs are either long both of those (e.g., VXX, UVXY, UVIX, VIXY) or short both of those (SVIX, SVXY). If the VIX futures term structure is in contango, with prices increasing with time, then the tendency will be for both futures to drop in value on a daily basis–so a long ETP …
This post will discuss how UVIX works, including how it trades, how its value is established, what it tracks, backtest simulations, tax treatment, termination risk, and how it is likely to perform. VolatiltyShares’ new 2X Long VIX Futures ETF (ticker: UVIX) started trading on March 30th, 2022. After a gap of one and half years, volatility traders have access to a nationally traded, 2X leveraged …
This post discusses how the LONGVOL and SHORTVOL indexes work, but starts with some historical background that illuminates why these new indexes were needed. Two new leveraged volatility Exchange Traded Funds from Volatility Shares, -1X SVIX and 2X UVIX started trading on the 30th of March, 2022. SVIX and UVIX utilize two new Cboe indexes, the Short VIX Futures Index (ticker: SHORTVOL) and the …
The Cboe’s VIX® (30-day) and VIX3M (93-day) indexes enable us to quantify volatility term structures but until now, historical analyses between VIX style indexes have been limited to dates after December 2001. This post introduces the results of VIX3M style calculations back to 1990, and reviews issues and trends that were revealed. In November 2007, the Cboe introduced VIX3M, a volatility index that uses the …
Effective May 2nd, VXXB and VXZB, Barclays’ short- and medium-term volatility funds will be renamed to VXX and VXZ. This is a market maneuver by Barclays to recapture the brand value of the original, very successful, VXX and moderately successful VXZ products introduced in 2009. The original products matured in January 2019 so Barclays had to create VXXB and VXZB as replacement products. However, there’s …
