Tuesday was a good day to look at the performance of the current crowd of volatility tickers. Below is a snapshot of things at the end of the day:
- SPY down 1.77%, with relatively high volume—233 million shares
- VIX closes at 20.80, up 4.37 points. A 26.6% move!
- VXX closes at 32.62 up 12.37% with 36.5 million shares traded. As usual VXX is a disappointing play on the VIX, chewed by contango in the slow times, underwhelming in the fast times
- VXZ closed at 57.56 up 6.32% with a volume of 1.8 million shares
- TVIX delivered a 23.93% move—nearly matching VIX. If your timing is good, you will be rewarded.
- ProShare’s VIXY, while tiny compared to VXX had a volume of 110,000—dwarfing VIIX’s 1000 shares, the other VXX wannabe
Not so hot
- CVOL, rigged to match the VIX, delivered a 20.36% move. Its short S&P 500 component isn’t carrying its own weight.
- XXV with 113K shares traded, not sure what people are trying to do here. It’s the ETN with no where to go.
- VQT’s VXX component wasn’t enough to prevent a loss—it was down .49%. If a 12% VXX move isn’t enough to keep you in the green it isn’t worth carrying the rest of the time.