Goodbye VXX, Hello VXXB

January 30th, 2019 VXX will be delisted and will no longer trade.  It’s highly unusual, if not unprecedented for a product normally in the daily volume top 10 lists to go away. This post will discuss why VXX is disappearing, how Barclays, VXX’s issuer, is handling the transition, and the impacts on shareholders, options traders, and short sellers. Why is VXX Going Away? VXX is …

Read moreGoodbye VXX, Hello VXXB

How Does VXX/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 VXX/VXXB and other short …

Read moreHow Does VXX/VXXB’s Daily Roll Work?

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 …

Read moreBacktests for Popular Long & Short Volatility Exchange Traded Products

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 …

Read moreHow Does VXX/VXXB Work?

How to go long on the VIX index

Unlike the S&P 500 or Dow Jones Industrial Index, there’s no way to directly invest in the CBOE’s VIX® index.  Some really smart people have tried to figure out a way, but there’s just no way to do it directly with something like a VIX index fund.  Instead, you have to invest in a security that attempts to track VIX.  None of them do a great …

Read moreHow to go long on the VIX index