The VIX Futures market has been on a bit of a tear—driven by inflows into volatility ETFs like Barclays’ VXX, VelocityShares’ XIV and TVIX, and ProShares’ UVXY. The chart below shows the resultant growth in the short term futures open interest and volume. The data doesn’t look as dramatic if we change the vertical axis to a logarithmic scale—a scale that makes it easier to …
I have backtested Barclays’ VQT ETN back to when VIX volatility futures first started to trade in March 2004. I have made two versions of the spreadsheet available for purchase below. One with results data only and the other version with formulas and required indexes included. I have included the simulated daily closing values including the 0.95% annual fee from March 29, 2004, until June …
Currently TVIX is running about 5% high compared to its indicative value. The combination of Credit Suisse making shares available to borrow, plus the knowledge that limited share creation might start on March 28th was enough to restore relative sanity to TVIX’s price. As you can see below it didn’t take a lot of new shares to pull TVIX back close to its indicative value. …
Wednesday night, March 21, 2012, I was wondering if there was a graceful way for Credit Suisse to restore TVIX to working order and get its share creation process working again. The Wednesday close was $14.43, roughly 2X the $7.62 indicative value (IV) giving a market capitalization of $587 Million. The correct market cap, based on the indicative value was $310 Million. Somehow $277 …
March 9th marked the 3 year anniversary of the current bull market. The S&P 500 has scored an impressive 110% run-up, and I think we can officially declare that the dreaded double dip recession didn’t happen. However for the buy and hold investor there isn’t a lot to celebrate. We are still 16% below the S&P 500’s 2007 peak. Not including dividends a January 1, …
