On November 4th I will be participating in a panel discussion at IndexUniverse’s Inside ETF Trading conference in New York. Christopher Cole (Artemis Capital Management) and Chris Meek (State Street Global Advisors) will be joining me in a discussion that will include VIX futures, volatility ETF/ETNs and various ways to hedge volatility investments. The overall conference agenda looks very good, and I think our session …
I’m seeing a lot of articles (e.g., here) warning about a possible short squeeze in volatility. At the risk of being a curmudgeon, it appears to me that people don’t know what a short squeeze is. Sure, if you’re short something that starts going up rapidly (e.g., Achman with Herbalife), life is not good. There’s a positive feedback loop when people closing out their short positions have …
The Sharpe Ratio The Sharpe Ratio is one of the more popular ways to evaluate an investment for risk as well as for returns. Assessing the risk of an investment is not easy. The Sharpe Ratio won’t protect you if the provider is dishonest (e.g., Bernie Madoff) or if historical patterns change (e.g., default rates on AAA-rated mortgage-backed securities). However the ratio does factor-in historic …
A week after the Nasdaq’s 3-hour shutdown in August 2013 the exchange published Preliminary Findings on the outage. I’ve extracted some sentences: On August 22, the Securities Information Processor (SIP) received more than 20 connect and disconnect sequences from NYSE Arca, each of which consumed significant resources. Available capacity was further eroded as the SIP received a stream of quotes for inaccurate symbols from NYSE …
I have generated the end of day trading day values for the most popular long and short volatility Exchange Traded Products (ETPs) for March 26th, 2004 through the end of the most recent quarter. See this table for specifics. +1.5X UVXY ProShares Ultra VIX Short-Term Futures ETF (includes old 2X simulation) VXX Barclays S&P 500 VIX Short-Term Futures ETN VXZ Barclays S&P …
