While it’s certain that short-term volatility exchange traded products (ETPs) like VXX, TVIX, and UVXY are doomed to a contango driven march towards zero, their decay rates are not consistent. Things like bear markets and big corrections can cause big upward swings.
It’s been said that we learn more from failures than success. Hopefully the chart below will be an illustration of that. It displays the near real-time prices of VIX futures vs. the predictions of a “simple” model I’ve created. My intent with the model is not to achieve high accuracy (it won’t) but rather to distinguish between when VIX futures prices are truly unusual, and …
Update 20-Oct-2023 Credit Suisse announced yesterday that it will be closing a set of Exchange Traded Notes that include volatility ETNs TVIX, VIIX, and ZIV. These funds had been closed to share issuance since July-2020, signaling that Credit Suisse (CS) was exiting this business. However, rather than closing down the funds at that point by accelerating their maturity date (2030), Credit Suisse choose to let …
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 …
