Vance Harwood

Volatility White Papers: Power Laws & VIX Options Explained

by

Recommended Papers  Tales of the Unexpected by Andrew Haldane This accessible paper (only one equation) is the best that I’ve ever read on the differences between processes accurately modeled by Gaussian/normal distributions and those better matched by power law distributions.   I have seen this distinction made many times, but this paper provided examples and reasoning that really helped me internalize the differences.   Most of our stock …

Read more

How Does PHDG Work?

by

An ideal volatility investment would hold its value during quiet times and then ride volatility up as the market panics.  Barclays’ VQT and Invesco’s PHDG are two Exchange Traded Products (ETPs) that are designed to fill this need. These two products use the same methodology but differ in that VQT does not distribute dividends, effectively automatically reinvesting dividends, while PHDG distributes any dividends quarterly.  The …

Read more

TVIX’s Fate—Fade to Black?

by

Update TVIX is alive, and well.  For information about TVIX’s  reverse stock splits see this post ————————————-. Things have not been well with TVIX since Feb 21st, 2012 when Credit Suisse stopped the share creation process.   In late March 2012, a modified creation process was put in place, but that has only been partially successful—the TVIX price has often been floating 5% to 10% above …

Read more

2023 Ex-dividend and Pay Date Information For: EEM, EFA, EPP, EWC, EWH, EWY, EWZ and others

by

The 2023 Non US Ex-Dividend and Pay Date information below is based on iShares distribution schedule SEMI-ANNUAL DISTRIBUTION — Non-US/Global MSCI Funds 2022 Ex-Dividend Dates June December Potential Income Dist 7-June 20-December 28-December Pay / Distribution Dates 13-June 27-December 4-January-2024 AAIT iShares MSCI All Country Asia Information Technology Index Fund(AAIT) AAXJ iShares MSCI All Country Asia ex Japan Index Fund (AAXJ) ACWI iShares MSCI ACWI …

Read more

Barclays’ VXXB—Not as Short Term as You Think

by

In terms of assets Barclays’ “S&P 500 VIX Short-Term Futures” ETN is among the leaders in volatility ETFs with around 500 million dollars under management.   I suspect it’s also one of the leaders in investor confusion. Although VIX is in its formal name VXXB doesn’t actually track the CBOE’s VIX index with any degree of precision. In fact, it’s not unusual for VXXB and VIX to …

Read more