It hasn’t been a good ride for Barclay’s IVOP. It was introduced September 16th at $20, and now 19 days later it is trading at $11.4— a 43% drop. Since IVOP is a effectively a short on volatility instead of tracking daily percentage moves like its competitors (e.g, VelocityShares’ XIV) it has a variable leverage behavior. With VXX currently at 58.5 IVOP’s leverage is a heady 2.4X and it is getting dangerously close to its $10 termination point. It will only take a 6.5% move up on VXX to kill IVOP.
Deathwatch for Barclays’ IVOP short volatility ETN
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