The Volatility Term Structure is Driven by OTM Puts

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The CBOE’s VIX® methodology calculates a single theoretically grounded number that quantifies virtually the entire volatility landscape for a specific point in time—pretty cool.  Prices for hundreds of different options with different expiration dates can be involved in the calculation.   This single number is very useful, but obviously, lots of information is discarded in the distillation.  I’ve wondered if the VIX’s compression is hiding some information …

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TVIX’s Last Reverse Split, Number 7—December 2nd, 2019

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Update Effective July 2nd, 2020 TVIX stopped trading on national exchanges (press release). The issuer, Credit Suisse (CS) halted share creations effective July 3rd, 2020 but is not terminating the fund. They reserve the right to do so but don’t have to until 2030. TVIX is currently trading on OTC exchanges, e.g., OTCMarkets.com and is currently trading relatively close to its IV price, the theoretic value of …

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Google and Yahoo Finance Symbols

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Some indexes can be hard to find on Google and Yahoo Finance.    The chart below gives some ticker symbols for popular indexes. Index Google Finance Ticker Yahoo Finance Ticker S&P 500 INDEXSP:.INX or .INX ^GSPC Dow Jones Industrial INDEXDJX:.DJI or .DJI ^DJI VIX INDEXCBOE:VIX ^VIX 13 Week Treasury Bills INDEXCBOE:IRX ^IRX              

Next VXX Reverse Split (No. 8) —July 24th, 2024 2023

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VXX’s next reverse split will be July 24, 2024, at a four to one ratio. For a security doomed to decrease in value over time Barclays’ VXX does amazingly well.  Its volume averages over 12 million shares per day and its assets under management had stayed around $800 million to $1.5 billion until an ugly 2022, were it had to cease share creations for 6 …

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