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https://www.sixfigureinvesting.com/2014/02/2014-ex-dividend-and-pay-date-information-for-amlp/

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Apparently  Alerian likes to keep their future ETF ex-dividend and distribution dates a secret. As a result, the dates below are just guesses, based on this and previous year’s ex-dividend and distribution dates.   For historic ex-dividend, pay dates, and dividend amounts see this Alerian link for getting the confirmed dates and amounts. 2014 Estimated Alerian AMLP  ETF Quarterly Ex-dividend & Distributions Dates:  2014 Ex-Dividend Dates …

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The Volatility Landscape—May 2013

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News CBOE The CBOE plans to extend VIX® Futures trading by over 5 hours—aligning with the London Stock Exchange open, and adding a 45 minute post settlement trading period 4:30 ET to 5:15 ET Monday through Thursday. Two new volatility indexes, DLVIX and DSVIX are documented on the CBOE website.   These indexes were developed in cooperation with the French bank Société Générale and are now …

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The Cost of Contango—It’s not the Daily Roll

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A while back I developed a consolidated spreadsheet to organize historic VIX futures data from the CBOE into a single spreadsheet.  Using this spreadsheet I calculate the short (SPVXSTR) and medium term (SPVXMTR) rolling indexes that underlie the various volatility Exchange Traded Products (ETP) like VXX, UVXY, XIV, and ZIV  The image below shows a small sample comparing my calculations (M1-M2 Short Term Rolling Index) with the official …

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Volatility Landscape: And Then There Were 20

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News Recently UBS announced that they shutting down 12 of their 13 volatility based funds.  They never gathered the assets needed to make them going concerns. After a long drought we have a new USA based Volatility ETP.   First Trust’s CBOE S&P 500 Tail Hedge ETF—ticker VIXH started trading last week, bringing us to a total of 20 US volatility funds (see Volatility Tickers for the full list).   This …

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Volatility White Papers: Power Laws & VIX Options Explained

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Recommended Papers  Tales of the Unexpected by Andrew Haldane This accessible paper (only one equation) is the best that I’ve ever read on the differences between processes accurately modeled by Gaussian/normal distributions and those better matched by power law distributions.   I have seen this distinction made many times, but this paper provided examples and reasoning that really helped me internalize the differences.   Most of our stock …

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