In March 2012 Credit Suisse announced that they would resume limited share creation, but TVIX is still not accurately tracking its indicative value (IV). An April 11, 2012 intra-day quote gave TVIX’s bid at 9.39 while its IV on Yahoo Finance (symbol ^TVIX-IV) was 8.21—a 6.4% difference. By comparison ProShares’ UVXY, which has the same performance goals as TVIX was at 20.30, with an IV of …
The VIX Futures market has been on a bit of a tear—driven by inflows into volatility ETFs like Barclays’ VXX, VelocityShares’ XIV and TVIX, and ProShares’ UVXY. The chart below shows the resultant growth in the short term futures open interest and volume. The data doesn’t look as dramatic if we change the vertical axis to a logarithmic scale—a scale that makes it easier to …
I have backtested Barclays’ VQT 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 including the 0.95% annual fee from March 29, 2004, until June …
Currently TVIX is running about 5% high compared to its indicative value. The combination of Credit Suisse making shares available to borrow, plus the knowledge that limited share creation might start on March 28th was enough to restore relative sanity to TVIX’s price. As you can see below it didn’t take a lot of new shares to pull TVIX back close to its indicative value. …
Wednesday night, March 21, 2012, I was wondering if there was a graceful way for Credit Suisse to restore TVIX to working order and get its share creation process working again. The Wednesday close was $14.43, roughly 2X the $7.62 indicative value (IV) giving a market capitalization of $587 Million. The correct market cap, based on the indicative value was $310 Million. Somehow $277 …
