Update: VIXCentral has enhanced their historical term structure graphs to use days to expiration rather than months for the time axis of the charts. This change eliminates the distortions that I wrote about in the post. VIXCentral’s historical charts now look a lot like the Excel charts that I generated for this post. Term structure graphs, like the VIX® future charts on VIXCentral.com are very …
Investors betting on the next volatility spike have taken a beating. The last time the CBOE’s VIX® index closed above 30 was December 8th, 2011. In the 16 months since the split adjusted price of Barclays’ VXX has dropped from 174.84 to 20.34—an 88% drop. None of the 14 other USA based volatility funds that are designed to rise with volatility increases did well, the best …
Occasionally there are eye-popping percentage moves in the CBOE’s VIX® index—these moves generate a lot of headlines . As an antidote to the hype a few savvy VIX followers noted: “Remember that $VIX is already a percentage.” Jared Woodward from Condor Options “The $VIX was up 2.08% today, NOT 18.5%” Mark Sebastian from Option Pit . I have to admit that my brain spun a bit on Jared’s percent of a percent …
Frequently I see people complaining that their Exchange Traded Fund (ETF) or Exchange Traded Note (ETN) is broken. Occasionally they’re right, but most of the time they’re not. Before complaining, here are some things to look at: Are you looking at the right index? All Exchange Traded Products (ETPs) track an index, which is identified in their prospectus, and in the fund’s fact sheet. Don’t …
In 2010 I set out to prove that I understood the indexes that underlie the volatility Exchange Traded Products (ETPs). I developed a spreadsheet that uses the CBOE’s historical VIX Futures data to produce the short term (1 to 2 month) and medium term (4th through 7th month) rolling volatility indexes. The heart of these indexes is the daily roll of VIX futures contracts. At …
