Eli Mintz, the publisher of vixcentral.com, has published an analysis that shows the arbitrage relationship between Accushares’ VXUP shares and VIX Futures. It shows that investors can use VXUP shares to lock in a low risk position for any VIX Future expiration month. What struck me about this analysis was the incentive to sell VIX futures that had a higher daily roll yield, regardless of …
I’ve taken 20 minute delayed information to calculate tracking information and other items of interest using Google Sheets and Yahoo Finance’s on-line resources. The day-end NAV values for these funds can be found here and here. The last two lines in the table above show an experiment in progress. It’s likely that the VXUP shares will track fairly close to the VIX futures that …
Update — Redirected to “How do VXUP & VXDN work” AccuShares’ new VX UP and VX Down funds started trading on May 19th. There is a lot of interest in these Exchange Traded Products (ETPs) because they are the first funds to attempt a direct linkage to the CBOE’s VIX index. An investable VIX has been the Holy Grail of volatility investment. …
White Papers “Volatility: A New Return Driver?” A good non-mathematical overview of volatility, volatility products including futures and a couple example trading strategies using volatility Exchange Traded Products “The VIX-VIX Futures Puzzle?” A technical paper testing the forecast accuracy of VIX futures that includes a comprehensive technical overview of the VIX, VIX Futures, and volatility term structures. It skips the calculus but provides a …
The market stumble the end of last week dropped the Russell 2000 enough for Frank Roellinger’s Modified Davis Method to signal a 50% sell. That portion of the portfolio gained 17.6% since being opened 30-November-2012. This exit was foreshadowed in the Modified David Method-March 2014 Update. The other half of the portfolio, initiated in July 2009, is still long with a 57% open gain—market breadth has …
