I have now backtested Barclays’ XVZ 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 with and without the 0.95% annual fee from March 29, …
Easy way: If you want to short VXX the simplest way is to buy Volatility Share’s SVIX. This Exchange Traded Funds tracks -1X the daily percentage moves of VXX so it isn’t a true short, but it has the same goal—going up when VXX goes down. They carry annual investment fees (SVXY’s is 1.35%), which I doubt is an issue for you if you’re thinking …
The CBOE has announced a nice new email service for people wanted to know what weekly options are going to be offered each week. While the list has been relatively stable the CBOE recently extended the list to 35 offerings and they usually make a few tweaks each week. For example, they recently dropped USO in favor of NDX—something I’m not happy about. They …
UPDATE CVOL was shutdown by UBS in May of 2016. It never achieved enough assets for it to be a viable competitor CVOL’s stated goal is to “produce returns that are correlated to the CBOE Volatility Index (the “VIX Index”). ” So far no one has figured out a way to offer a direct investment in the VIX Index, so volatility traders must …
Since November 2009 I have been commenting on the eerie day to day correlation between the market (specifically SPY) of 2003/2004 and 2009/2010. These charts continue to track with November 16th’s closing value of SPY (118.16) differing only 0.28 points from SPY’s closing (117.88) on November 16th, 2004—six years ago. Recently I noticed another correction with the past—the market rally beginning in …
