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 November 1st, 2018 TVIX    VelocityShares Daily 2x VIX Short-Term ETN +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 500 …

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Sometimes Inverse / Leveraged Volatility Funds Outperform Their Leverage Factors

From August 2nd  to October 3rd, 2011 Barclays’ S&P 500 VIX Short Term Futures ETN (VXX) had a great 137% runup.  In that same period VelocityShares’ TVIX  ETN, 2X leveraged on the same index went up an astonishing 348%,  73 percent more than its 2X leverage factor would project.   How is that possible?  Don’t inverse and leveraged funds always underperform the index they’re tracking? Normal …

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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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So What if Volatility ETN/ETFs are Growing—Where are the Problems?

It’s clear that the volatility ETN/ETFs have begun to dominate the VIX Futures market.  What isn’t clear is whether it matters.  Volatility isn’t a commodity like gold or corn that is physically limited, so future position limits don’t seem applicable.  When the price of  VIX futures is attractive, more can be created—and appropriate hedges put in place.  But are these hedges distorting the overall market? …

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ProShares’ SVXY and UVXY vs. VelocityShares’TVIX

ProShares was the first  Exchange Traded Fund (ETF) provider for volatility based fund.  The previous volatility entries from Barclays and VelocityShares 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 is nearly tied with VelocityShares in terms of assets. UVXY (1.5X  long) and SVXY ( -0.5X inverse daily …

Read moreProShares’ SVXY and UVXY vs. VelocityShares’TVIX