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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Under the hood of TVIX and XIV—Cause for Concern

Since Credit Suisse’s recent pause on TVIX share creations I have been trying to figure out some of the hedging / rebalancing dynamics underlying the current crop of volatility ETNs and ETFs.  Traditional equity ETFs like SPY, the S&P 500 index tracking  fund don’t  require much behind-the-scenes action.   Shares are created or redeemed in conjuction with baskets of securities changing hands.  The only dynamic part …

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XIV during the 2008 Crash

XIV has only existed since November 2010, so we are dependent on simulations for guesses on its performance before that.   The index that XIV is based on goes back into the 2005 time frame, so I have the data I need to backtest XIV for the 2008 crash.    My simulations show a close  match to actual XIV values (see this post) so I have …

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Is XIV behaving correctly?

In spite of its name, XIV is not the inverse of the VIX index—it is the daily percentage inverse of an index called SPVXSP, which you can monitor on Bloomberg here.  This index very closely tracks the same index that VXX uses, SPVXSTR. Last week XIV did not track VXX’s daily moves particularly well.   There has been a lot of speculation about what was causing …

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XIV termination

UPDATE Credit Suisse terminated XIV due to a greater than 80% drop in its indicative value on 5-Feb-2018.  The final payout was $5.99 per share.  The last day of trading was the 15th of February 2018. In the prospectuses for  XIV, there are some disconcerting discussions about termination events. For XIV the termination event is triggered if the daily percentage drop exceeds 80%. I did …

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