Update Effective July 2, 2020 ZIV stopped trading on national exchanges (press release). The issuer, Credit Suisse (CS) halted share creations effective July 3rd but is not terminating the fund. They reserve the right to do so but don’t have to until 2030. ZIV is currently trading on OTC exchanges, e.g., OTCMarkets.com and is currently trading pretty close to its IV price, the theoretic value …
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 the end of the most recent quarter. See this table for specifics. +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 …
From August 2nd to October 3rd, 2011 Barclays’ S&P 500 VIX Short Term Futures ETN (VXX) had a great 137% runup. In that same period ProShares’ UVXY, 2X leveraged Exchange Traded Fund (ETF) went up an astonishing 348%, 73 percent more than its 2X leverage factor would project. How is that possible? Don’t inverse and leveraged funds always underperform the index they’re tracking? Normal market …
Update This article was first posted in September 2012. The strategy outlined below worked well until August 2013 and then basically went sideways for over 3 years before perking up again in 2017—when virtually any short volatility strategy worked. I’ve updated the chart and the verbiage to reflect those changes. In September 2017 the Cboe renamed its VXV index as VIX3M. The Cboe does not …
All of the volatility based ETN/ETF products are relatively new. Barclays’ VXX and VXZ oldsters started in January 2009—just a few months before the end of the 2008/2009 crash. This lack of historical data over full market cycles makes it hard to assess the risks associated with new products—such as VelocityShares’ ZIV (medium-term inverse volatility) which started in November 2010. test I have backtested ZIV starting from …
