Update In early September, 2015 Google stopped supporting NPAPI technology on Chrome. There are no workarounds. This breaks software packages like Microsoft’s Silverlight, which in turns breaks applications like Fidelity’s web based version of Active Trader Pro. Many other browsers still support NPAPI, but they (except for Microsoft) will probably follow Google’s lead and drop NPAPI support eventually. Fidelity recommends switching to their client …
Exchange Trade Fund UVXY is a 1.5X leveraged fund that tracks short-term volatility. To have a good understanding of UVXY (full name: Ultra VIX Short-Term Futures ETF) you need to know how it trades, how its value is established, what it tracks, and how ProShares makes money running it. For the last year, UVXY has been the only leveraged long volatility Exchange Traded Fund (ETF) …
All volatility Exchange Traded Products (ETPs) use indexes that track a mix of two or more months of the CBOE’s VIX Futures. Calculating this mix is not trivial and has resulted in a lot of bleary eyes—including my own. My intent with this post is to help you understand, and if you desire to accurately compute the key indexes used in VXX and other short …
Anyone that follows volatility closely knows that short term views on volatility are much more dynamic than longer term. For example, if the market is moving from a dip into a “V” style recovery the CBOE’s 9 day expectation of volatility VXST, will drop much more than the 30 day VIX. A chart showing volatility expectations vs time is called a volatility term structure. The …
The CBOE changed the way the VIX® was calculated on October 6th, 2014—asserting the change would provide a more accurate assessment of expected volatility. The new process does look better to me, but I’ve been surprised that the new VIX and the old VIX (listed as VIXMO) sometimes differ by as much as plus/minus 10 percent. Disagreements between the two indexes are not due to …
