Hedging the S&P 500 with Volatility

It’s expensive to buy securities that track volatility.  Their holding costs are so high that your timing has to be exquisite in order to end up with a profit.  However, if you’re hedging a short volatility position, or poised to jump into the general market at a possible transition point a long volatility position might make sense. Consider this chart: Will the S&P 500 bounce …

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Backtest of VXX Volatility ETN From 2004 Including Yearly Fees

Volatility based Exchange Traded Funds and Notes (ETF / ETN) have only been on the market for a few years (see volatility tickers for the full list of USA based funds).  The oldest one, Barclays’ VXX only started trading in late January 2009.   Because of their relative youth, we don’t have actual trade data on how they would have performed through critical periods—for example, …

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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 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 VIX Mid-Term …

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VXX Reverse Split Number 5—August 23rd, 2017

Barclays reverse split VXX 4:1 for the 5th time August 23rd, 2017 For a security doomed to decrease in value over time Barclays’ VXX does amazingly well.  Its volume averages over 50 million shares per day and its assets under management have stayed around $800 million to $1.5 billion for the last couple of years.  Not bad for a product that has averaged a 58% …

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How Does VXX/VXXB Work?

VXX and its sister fund VXZ were the first Exchange Traded Notes (ETNs) available for volatility trading in the USA.  They have been successful products but they have built-in maturity dates in January 2019 and will be shut down at that point.  To continue these successful products their issuer, Barclays Bank PLC, has created two new funds VXXB and VXZB that are essentially identical to …

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