Goodbye VXX, Hello VXXB

Update 11-March-2019 VXX finished out its 10-year life with a closing value of $38.28 and $449 million in assets. Barclays’ replacement product, VXXB, has revved up nicely with rising volumes and assets (it’s at over $700 million now). Any VXX shares of record at end of day, January 29th, were converted to cash on the 30th. There was some speculation that the closeout of hedges …

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Is Shorting UVXY, TVIX, or VXXB the Perfect Trade?

The charts for long volatility Exchange Traded Products (ETP) like Barclays’s VXXB, VelocityShares’ 2X leverage TVIX, and PowerShares’ 1.5X levered UVXY are astonishing.

vxx-uvxy

I’m not aware of any other widely available securities that have declined like these.

Two questions come to mind:

  1. Why would anyone invest in these perennial losers?
  2. Why doesn’t everyone on the planet short these funds?

It turns out that there are reasonable reasons to buy these funds, and some people make money doing it. And a lot of people short these funds; it’s a crowded trade—to the point where it’s sometimes not possible to borrow the shares to short them.

It’s not easy money either way.

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How Does VXXB’s Daily Roll Work?

All volatility Exchange Traded Products (ETPs) use indexes that track a mix of two or more months of the CBOE’s VIX Futures.  Calculating this mix is not trivial and has resulted in a lot of bleary eyes—including my own.  My intent with this post is to help you understand, and if you desire to accurately compute the key indexes used in VXXB and other short …

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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/VXXB     Barclays S&P 500 VIX Short-Term Futures ETN VXZ/VXZB     Barclays S&P 500 VIX Mid-Term …

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How Does VXXB Work?

This post will discuss what VXXB is ( full name: Barclays Bank PLC iPath S&P 500 VIX Short-Term Futures ETN), how it trades, how its value is established, what it tracks, and how Barclays makes money running it.  VXXB has only been trading since January 2018, it was created as a follow-on product to the popular VXX long volatility fund that started trading in 2009. …

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