How did the volatility ETNs / ETFs perform on Tuesday?

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:


Feb 22 end of day results, click to enlarge








Some basics:

  • 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.


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