In December 2010 UBS came out with XVIX—an ETN that holds a long position in medium term volatility (equivalent to VXZ), and short a 50% position in short term volatility (equivalent to VXX). See Volatilty Tickers for the full set of available ETNs. XVIX’s strategy was to take advantage of the historical situation (2004 to 2009) where short term futures were hugely eroded by contango and mid term …
The Euro continues to be a slow motion train wreck. Consider the players. Who is promising to be more disciplined, budget minded, and improve their tax collection efficiency—the Greeks, Italians, and soon the Spanish. And who is being asked to be open their wallets and ultimately debase their country’s currency in order to bail out those that spent irresponsibly? The Germans… The European union is …
I have had several requests to do an analysis of a pair trade with the position being short VXX and short XIV. The idea behind the trade is to take advantage of the compounding effects caused by XIV’s daily reset feature that cause it to diverge from a true short. For example if VXX goes up 20% one day and then down 16.7% VXX is …
Bill Luby, of VIX and more, recently pointed out that the 1st / 2nd month volatility futures had recently set a record (now 70 days) for continuous time spent in backwardation—where the value of the 1st month is higher than the 2nd month. Not just a trivia question, this condition has been feathering the pockets of those holding volatility ETNs like VXX / TVIX, …
Linkedin recently reported their 3rd quarter earnings, or rather losses. The good news however was that their revenue growth surprised analysts on the upside, more than doubling from last year’s numbers. LNKD was trading around $80 this morning, and the November 19th $70 puts were at 1.0 bid / 1.2 asked. The implied volatility on those puts was around 83, which seemed …
