I keep an eye on the 6 month chart of VIX index’s relation to its Bollinger bands when I’m thinking of making a volatility trade—even when the trade I’m contemplating is a non-VIX related security (e.g., VXX, or XIV). Of course there is nothing iron-clad about it, but as an objective measure I consider VIX touching/near touching its 2 sigma lines to be an …
Originally posted July 18, 2011 Update: VZZB terminated in October 2012, consistent with the 1.5 years or less of life that I predicted below. Barclays didn’t waste any time replacing its recently terminated VZZ ETN. The new fund, targeted at leveraged long performance relative to medium term volatility appears essentially identical to VZZ except for its new inception point (8-Jul-2011). Rather than follow daily percentage moves, Barclay’s …
I think the big picture on the overall economic situation is pretty scary right now. The factors I see, in increasing scariness: The debt limit drama in Washington is probably only a side show, but each side might believe that a bit of a crisis might help their cause. The USA economy is cooling off a bit, with the companies mortally wounded by the …
If you are looking for low risk yields above 1.5% per year, there aren’t many attractive candidates. Stocks seem risky, and if you believe that interest rates are going to go up in the next couple of years then bonds look risky too. Using IEF, Ishares’ 7 to 10 year US treasury bond fund as a example of risk—it is currently yielding 2.21%. Sensitivity …
As of next Monday, July 11th VZZ, Barclays’ iPath® Long Enhanced S&P 500 VIX Mid-Term Futures will stop trading. It is already a zombie because its termination price has already been set at $10 even. XXV, the other volatility zombie continues to trade on average 100,000 shares a day—maybe people are content to just beat T-bills and not much else. See these posts for more details on …
