The Volatility Landscape—May 2013

News CBOE The CBOE plans to extend VIX® Futures trading by over 5 hours—aligning with the London Stock Exchange open, and adding a 45 minute post settlement trading period 4:30 ET to 5:15 ET Monday through Thursday. Two new volatility indexes, DLVIX and DSVIX are documented on the CBOE website.   These indexes were developed in cooperation with the French bank Société Générale and are now …

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A Volatility Spike Barclays’ XVZ Would Have Missed

February 27, 2007, currently holds the biggest daily percentage jump record in the VIX index’s history (the VIX didn’t come out until after the 1987 crash).  The VIX jumped from a 11.15 close the previous day to 18.31 —a 59% jump. Normally I would expect a volatility strategy fund like XVZ or, VQTto perform very well during a volatility spike of this magnitude.  None of these …

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VelocityShares’ Short Term Volatility Offerings Overtake Barclays’

Barclays had the short term volatility ETF space to itself from January 2009 until November 2010 with their VXX long and XXV short ETNs.  On November 30th, 2010 VelocityShares came on the scene with three new short term funds: 1X long VIIX , 2X long TVIX, and -1X daily inverse XIV.  Fifteen months later, on February 14th, the combined daily volume of  these VelocityShares ETNs …

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How Does Barclays’ XVZ ETN Work?

Barclays’ XVZ volatility ETN is intended to allow investors to profit from volatility jumps without the contango losses that drag down approaches like Barclays’ VXX short term and VXZ medium term long only products.   To accomplish this XVZ switches between 11 different mixes of short term and medium term positions in volatility futures.  In volatile times there can be a different setting every day. The …

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Barclays’ XVZ—A Long Volatility Fund That Won’t Fade to Zero

Almost everyone that invests would love to have a cost-effective way to insure against market declines.   Securities that allow you to go long on volatility are attractive because they tend to go up when the market goes down,  but none of them, when sized to really protect an investment are affordable in a “set and forget” sort of way. The first generation volatility ETNs …

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