With Greece’s Euro problems successfully extended out a few more months, and the economy continuing to consistently send mixed messages, the focus of fear is the budget cap. I’m thinking neither party has the stomach for the wholesale disruption of the Treasury’s affairs. I wouldn’t be surprised to see one more major upswing in the VIX, but right now the prospect of a happy ending …
One of the scariest things about market panics is their unpredictability. All of us remember the dark days of 2008 and 2009, not so many the October 1987 crash. For me, both of those crashes carried the same sense of disruption—the feeling that things would never be quite the same again. I’ve been looking at the history of volatility because it’s clear to me …
I keep an eye on the 6 month chart of VIX index’s relation to its Bollinger bands when I’m thinking of making a volatility trade—even when the trade I’m contemplating is a non-VIX related security (e.g., VXX, or XIV). Of course there is nothing iron-clad about it, but as an objective measure I consider VIX touching/near touching its 2 sigma lines to be an …
All of the volatility based ETN/ETF products are relatively new. Barclays’ VXX and VXZ oldsters started in January 2009—just a few months before the end of the 2008/2009 crash. This lack of historical data over full market cycles makes it hard to assess the risks associated with new products—such as VelocityShares’ ZIV (medium-term inverse volatility) which started in November 2010. test I have backtested ZIV starting from …
Evidently the folks at VelocityShares decided that the shares of their inverse volatility offerings were way too pricey, because they are splitting their short term fund, XIV ten to one, and their medium term fund, ZIV by eight to one. Based on today’s closing prices of 167 for XIV and 132 for ZIV, they will both end up priced at around $16.50 after end of …
