How Does VXUP / VXDN’s Corrective Distribution Work?

It’s now clear that the VXUP/VXDN naysayers were right—the actual behavior of these funds is nowhere close to Accushares’ claim that “VXUP and VXDN are the first securities to offer direct “spot” exposure to the CBOE Volatility Index® (VIX).” Accushares has said nothing publicly about the poor behavior of the funds.  Their only response has been to move up the “go live” date of their Corrective …

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Did Accushares Create a Product That is Linearizing the VIX Futures Term Structure?

Eli Mintz, the publisher of vixcentral.com, has published an analysis that shows the arbitrage relationship between Accushares’ VXUP shares and VIX Futures.  It shows that investors can use VXUP shares to lock in a low risk position for any VIX Future expiration month. What struck me about this analysis was the incentive to sell VIX futures that had a higher daily roll yield, regardless of …

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Tracking Information and Status Update on Accushares’ VXUP and VXDN

I’ve taken 20 minute delayed information to calculate tracking information and other items of interest using Google Sheets and Yahoo Finance’s on-line resources.   The day-end NAV values for these funds can be found here and here. The last two lines in the table above show an experiment in progress.  It’s likely that the VXUP shares will track fairly close to the VIX futures that …

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Eleven Things You Should Know About AccuShares’ VIX UP and VIX Down

Update — Redirected to “How do VXUP & VXDN work”       AccuShares’ new VX UP and VX Down funds started trading on May 19th.   There is a lot of interest in these Exchange Traded Products (ETPs) because they are the first funds to attempt a direct linkage to the CBOE’s VIX index.  An investable VIX has been the Holy Grail of volatility investment. …

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Eleven Things You Should Know About AccuShares’ VIX Up and VIX Down Funds

Update VXUP and VXDN were terminated on September 8th, 2016.  They never accumulated enough assets to be financially viable.   The naysayers on these funds were right—there was no way these funds could perform the way their prospectus or marketing materials suggested.  They didn’t understand (and didn’t bother to learn once it was pointed out) how their funds would be arbitraged against VIX futures in such …

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