The Volatility Landscape—May 2013

News CBOE The CBOE plans to extend VIX® Futures trading by over 5 hours—aligning with the London Stock Exchange open, and adding a 45 minute post settlement trading period 4:30 ET to 5:15 ET Monday through Thursday. Two new volatility indexes, DLVIX and DSVIX are documented on the CBOE website.   These indexes were developed in cooperation with the French bank Société Générale and are now …

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Tracking the VIX Index—TVIX and UVXY Are Close

For a long time investors have been frustrated in their desire to directly invest in the VIX index.  Now three ETNs, one by design, and the two other perhaps by accident are tracking (or out-performing) the VIX index on both a daily percentage move basis and for multi-day holding times. Historically the daily percentage moves of short term (1/2 month) volatility ETNs like VXX tend …

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Under the hood of Citigroup’s CVOL volatility ETN

Update:  Citigroup has halted new share creations on CVOL.  It should be avoided. This baby is built for speed—not distance. Fortified with several cups of coffee I took on the tough stuff in Citigroup’s CVOL pricing supplement.   The other volatility ETNs (e.g., VXX, VXZ)  limit themselves to various combinations of volatility futures—CVOL adds a variable leveraged short S&P 500 position.  I’ve been wondering why this …

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Will CVOL become the next VXX?

When Barclays ‘ VXX ETN first came out early last year I was pretty excited.   Having an direct investment in a volatility product that didn’t have the time decay (theta) of VIX options was attractive.   However, it turns out that price erosion on VXX is a huge issue—anyone that holds on for the long term becomes a loser.    In spite of this, …

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