Three weeks of CVOL—a wild ride

Redirected   Citigroup’s new volatility ETN, CVOL has only been trading since November 15th, but it is starting to show some intriguing results.   Designed as a 2X leveraged volatility offering, in a class of products that are already known for volatility, we can expect a wild ride.  So far it has lived up to its billing with a high of around 110, and a …

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Taking CVOL for a ride

I’ve been watching Citigroup’s new CVOL volatility ETN (a souped up competitor to Barclays’ VXX)  since it started trading November 15th.  Tracking its actual performance has been difficult because it is very lightly traded.  Charts for example are useless.  Normally I use Yahoo’s Finance historical quotes feature as a very convenient way to get open /high / low / close data that I can export …

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CVOL—the Other Volatility Kid on the Block

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 …

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CVOL spreadsheet analysis

The spreadsheets (XLS or XLSX format) that can be purchased below backtest CVOL from Jan 2009 to December 2010. Approximately one and half months of real CVOL date was available when this spreadsheet was created, and the match to the backtesting was good.