How Does ProShares’ SVXY Work?

Just about anyone who’s looked at a multi-year chart for a long volatility fund like Barclays’ VXXX has thought about taking the other side of the trade. ProShares’ SVXY is an Exchange Traded Fund (ETF) that allows you to bet against funds like VXX while avoiding some of the issues associated with a direct short. This post will discuss SVXY‘s inner workings, including how it …

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Backtests for Popular Long & Short Volatility Exchange Traded Products

I have generated the end of day trading day values for the most  popular long and short volatility Exchange Traded Products (ETPs) for March 26th, 2004 through the end of the most recent quarter.  See this table for specifics. +1.5X UVXY  ProShares Ultra VIX Short-Term Futures ETF (includes old 2X simulation) VXX     Barclays S&P 500 VIX Short-Term Futures ETN VXZ     Barclays S&P …

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Options on 1.5X and 0.5X Inverse Volatility

If things weren’t derivative enough for you before, you can add one more level of indirection to your volatility investments. Options are available on ProShares‘ 1.5X VIX short-term UVXY and their -0.5X inverse short-term SVXY.   These options are similar to VXX’s options; they are American exercise style and expire on the same day as equity options.  VIX options are European exercise and expire on the same …

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ProShares’ SVXY and UVXY

ProShares was the first  Exchange Traded Fund (ETF) provider for volatility based funds.  The previous volatility entries from Barclays (e.g., VXX & VXZ) were all Exchange Traded Notes (ETN).  Click on the underlined ETF / ETN for discussions on how these types of securities work.  Proshares has done well and currently has the most assets in the volatility ETP space. UVXY (1.5X long) and SVXY ( …

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Inverse Volatility—the Winner for Short Term is SVXY

I used to share stock tips with my brothers-in-law. Before the tech crash I could offer up a few stocks I liked, and they would often make some money.  The crash painfully ended the easy money and I moved onto index funds. They didn’t think indexes were near as much fun. One Easter one of my brothers-in-law asked what I was investing in.   My …

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