Generated by All in One SEO v4.9.9, this is an llms.txt file, used by LLMs to index the site. # Six Figure Investing Alternatives to buy and hold ## Sitemaps - [XML Sitemap](https://www.sixfigureinvesting.com/sitemap.xml): Contains all public & indexable URLs for this website. ## Posts - [Black & Scholes for Puts/Calls in a Single Excel Cell](https://www.sixfigureinvesting.com/2019/11/black-scholes-for-puts-calls-in-a-single-excel-cell/) - Sometimes an online option calculator isn’t enough and you’d like to implement the Black & Scholes (B&S) option pricing equations in Excel. If you’re just playing around it doesn’t matter how you structure the calculation. In fact, for clarity’s sake, it’s probably a good idea to spread out the calculation across multiple cells. However, if - [Next 2026 SPY, VOO, IVV Ex-Dividend Dates and Estimated Dividends](https://www.sixfigureinvesting.com/2010/01/next-spy-ex-dividend-date-19-march-2010/) - SPY will go ex-dividend Friday, June 19th, 2026, with a second-quarter dividend I am estimating, based on historical patterns of $1.62 per share. SPY's next distribution payout will be on July 30th, 2026—yes the SPDR folks take their time delivering the dividend. iShares' IVV, one of the other two big S&P 500 ETFs, went ex-dividend - [Guest Post: A Method to Exploit High Beta, by Frank Roellinger](https://www.sixfigureinvesting.com/2025/07/a-method-to-exploit-high-beta-roellinger/) - Current Status and Recent Moves Current Status: Frank's method moved to 100% long SPHB 11-April-2025 50% short from 28-Feb-2025 to 11-April-2025 100% long from 13-Sept-2024 to 28-Feb-2025 Introduction In 2013, I wrote The Modified Ned Davis Method, an article posted on Six Figure Investing, which described a greater than 50-year out-of-sample test using primarily the - [A Simple Solution to the Two Envelope Paradox](https://www.sixfigureinvesting.com/2025/08/a-simple-solution-to-the-two-envelope-paradox/) - In the classical formulation of the two-envelope paradox, you are presented with two envelopes containing money and allowed to choose one to keep. After you pick one of the envelopes, but before you open it, you're told that one of the envelopes contains twice as much money as the other, and if you wish, you - [Date Ranges on Simulation Spreadsheets](https://www.sixfigureinvesting.com/2011/04/date-ranges-on-sim-spreadsheets/) - This table gives the date ranges covered by the spreadsheets that I have for sale. For a complete list of products see this page. For active securities, I am very willing to update spreadsheets up to the end of the most recently completed calendar quarter upon request at vh2solutions@gmail.com - [The Modified Davis Method, by Frank Roellinger](https://www.sixfigureinvesting.com/2013/09/modified-davis-method/) - First posted September 11, 2013 INTRODUCTION Always interested in alternatives to buy and hold, Vance has generously allowed me to describe my stock market trading method here, and to post its buy and sell signals as they occur in the future. This information is for educational and entertainment purposes only, it will never be a - [Estimated Next VXX Reverse Split (No. 9) —August 12th, 2026](https://www.sixfigureinvesting.com/2013/08/next-vxx-reverse-split/) - I'm predicting, based on historic decay patterns that VXX's next reverse split will be 12-August-2026, at a four to one ratio. For a security doomed to decrease in value over time Barclays’ VXX does amazingly well. Its volume averages over 5 million shares per day and its assets under management run around $250 million, not - [UVIX Reverse Split History--Split #3, 15-Jan-2025](https://www.sixfigureinvesting.com/2023/01/uvix-reverse-split/) - UVIX's reverse split history, likely next split date, and the impact of reverse splits on UVIX options and the associated adjusted options - [Predicting Stock Market Returns—Lose the Normal and Switch to Laplace](https://www.sixfigureinvesting.com/2016/03/modeling-stock-market-returns-with-laplace-distribution-instead-of-normal/) - Everyone agrees the normal distribution isn’t a great statistical model for stock market returns, but no generally accepted alternative has emerged. A bottom-up simulation points to the Laplace distribution as a much better choice. A well-known problem in financial risk assessment is the failure of the normal distribution (also known as the Gaussian distribution) to - [What Caused the Volatility "Volmageddon" on 5-Feb-2018?](https://www.sixfigureinvesting.com/2019/02/what-caused-the-february-5th-2018-volatility-spike-xiv-termination/) - In the afternoon of February 5th, 2018, what looked like a bad day for a group of high flying volatility-based products turned into a devastating decline. - [Accurately Forecasting Multi-period Stock Market Returns](https://www.sixfigureinvesting.com/2024/10/accurately-forecasting-multi-period-stock-market-returns/) - I recently posted a paper, "Transforming Stock Market Forecasts with Variable Expected Returns," on the SSRN online repository. This paper resolves an issue that has been bugging me for years. The link is: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=495384 This paper is not about making money, but rather about a fundamental theoretical error regarding stock market forecasts that has been - [Volatility Related Indexes: Historical Data, Methodology](https://www.sixfigureinvesting.com/2014/12/volatility-related-indexes-and-tickers/) - Unless you have access to a Bloomberg terminal or something similar finding quotes and historical data for volatility indexes can be an adventure. Below I’ve assembled links to the online resources that I’ve been able to find. Links marked with a “$SFI” are historical data sets that I offer for sale—they don’t match the official - [How does Volatility Shares' ETHU Work?](https://www.sixfigureinvesting.com/2024/05/how-does-ethu-work/) - On June 4th, 2024, Volatility Shares introduced ETHU, an Exchange Traded Fund (ETF) offering 2X leverage on the daily percentage moves of the ether cryptocurrency. This post will review ETHU’s architecture, operational characteristics, likely risks, possible rewards, and potential trading strategies. A simulation of ETHU back to 2017 provides some insight on how this Exchange - [How Does Volatility Shares' -1X Medium Term ZIVB Work?](https://www.sixfigureinvesting.com/2023/03/how-does-volatility-shares-1x-medium-term-zivb-work/) - This post will discuss how ZIVB works, including how it trades, how its value is established, what it tracks, tax treatment, termination risk, likely liquidity, and performance simulations. Volatility Shares’ new -1x Short Mid-Term VIX Futures ETF (ticker: ZIVB) started trading Wednesday, April 19th. After a gap of over two years, volatility traders have access - [How Does BITX, Volatility Shares’ 2X Leveraged Bitcoin Strategy Fund Work?](https://www.sixfigureinvesting.com/2023/07/bitx-volatility-shares-2x-leveraged-bitcoin-strategy-fund-work/) - On June 27th,2023 Volatility Shares introduced BITX, the first 2X leveraged Bitcoin Exchange Traded Fund. This post will review BITX’s architecture, operational characteristics, likely risks, possible rewards, and potential trading strategies. A simulation of BITX back to 2014 provides some data on how this Exchange Traded Fund (ETF) might perform in the future. Before we - [How Does Volatility Shares' 2X UVIX Work?](https://www.sixfigureinvesting.com/2022/02/how-does-volatility-shares-2x-uvix-work/) - This post will discuss how UVIX works, including how it trades, how its value is established, what it tracks, backtest simulations, tax treatment, termination risk, and how it is likely to perform. VolatiltyShares’ 2X Long VIX Futures ETF (ticker: UVIX) started trading on March 30th, 2022. After a gap of three and a half years, - [How Does Volatility Shares -1X SVIX Work](https://www.sixfigureinvesting.com/2022/02/how-does-volatility-shares-svix-work/) - This post will discuss how SVIX works, including how it trades, how its value is established, what it tracks, tax treatment, termination risk, likely liquidity, and performance simulations. Volatility Shares’ -1x Short VIX Futures ETF (ticker: SVIX) started trading Wednesday, March 30th, 2022 After a gap of four years, volatility traders regained access to a - [Volatility White Papers and Presentations](https://www.sixfigureinvesting.com/2018/09/best-volatility-white-papers-and-vix-white-papers/) - Below I’ve collected links to some of my favorite white papers and presentations on volatility. I’ve organized them in the following categories: Volatility Concepts & Volatility Trading Probability Distributions—Normal and Otherwise The VIX and VIX Futures Volatility Contagion—Will Short Volatility Destroy the World? Variance Swaps—the Technology That Underlies VIX & VIX Futures For an index - [Precisely Forecasting Price Ranges with Volatility](https://www.sixfigureinvesting.com/2018/11/predicting-price-ranges-with-historic-volatility/) - Using a tool like Bollinger Bands® to forecast future price ranges is a time-honored technique but its calculations are simplified and in some situations flawed. Incorporating the log-normal nature of stock prices into the calculations gives better answers. One greed-inducing aspect of volatility is that it enables us to make theoretically sound forecasts about the - [Getting the correct greeks for VIX options](https://www.sixfigureinvesting.com/2010/01/getting-the-correct-greeks-for-vix-options/) - Many software packages that report option Greeks (e.g., delta, gamma, theta, implied volatility) report incorrect values for VIX options (Fidelity, Schwab, Ameritrade , LIVEVOL and Barchart (free subscription) are notable exceptions). Depending on the date and state of the market they can vary from almost correct to widely wrong--giving truly nonsense numbers. These packages assume that - [How Does VXX Work?](https://www.sixfigureinvesting.com/2013/04/how-does-vxx-work/) - How does VXX trade? For the most part, VXX trades like a stock. It can be bought, sold, or sold short anytime the market is open, including pre-market and after-market time periods. With an average daily volume of 30 million shares, its liquidity is excellent and the bid/ask spreads are a penny. It has a - [How Does Barclays' XVZ ETN Work?](https://www.sixfigureinvesting.com/2011/09/under-the-hood-of-xvz/) - Note: XVZ was an exchange traded note, which an expiration date of Aug, 11, 2021. Barclays chose to not create a new instance of XVZ, it was never highly successful. Investco's PHDG is still available, and uses the same index as XVZ did. It did well in the COVID crash, but generally significantly lags the - [Volatility Tickers](https://www.sixfigureinvesting.com/2010/12/volatility-tickers/) - My count of volatility US-based ETPs trading on national exchanges is at 8 as of August 9th, 2024. New Additions: Volatility Shares added ZIVB on April 18th, 2023. It is a -1X medium term VIX based ETF. For more on ZIVB see https://www.sixfigureinvesting.com/2023/03/how-does-volatility-shares-1x-medium-term-zivb-work/ - [Why We Need the LONGVOL & SHORTVOL Indexes](https://www.sixfigureinvesting.com/2022/01/how-do-the-shortvol-and-longvol-indexes-work/) - This post discusses how the LONGVOL and SHORTVOL indexes work, but starts with some historical background that illuminates why these new indexes were needed. Two new leveraged volatility Exchange Traded Funds from Volatility Shares, -1X SVIX and 2X UVIX started trading on the 30th of March, 2022. SVIX and UVIX utilize two new Cboe - [The Cost of Contango—It's Not the Daily Roll](https://www.sixfigureinvesting.com/2016/09/the-cost-of-contango-its-not-the-daily-roll/) - Volatility funds like VXX & UVXY experience huge losses during market quiet spells—even when the VIX is quiet. This post details the real cause of these losses. - [2024 Option Expiration Calendars](https://www.sixfigureinvesting.com/2010/01/2010-option-expiration-calendar/) - Market Watch (includes all years out to at least the year 4000!) No VIX data. Easy to get to other years Calendar The CBOE and the Options Clearing Corporation both publish nice options expiration calendars. Calendars from both sources show the VIX expiration date, which is when monthly VIX options and futures expire. The - [How Do Bitcoin Futures Work?](https://www.sixfigureinvesting.com/2018/01/how-do-bitcoin-futures-work/) - The CME, a well-respected, USA-regulated futures exchange, has been trading BitCoin futures since December 2017. These futures make it possible to trade on Bitcoin’s value without being exposed to the uncertainties of the mostly unregulated Bitcoin exchanges. To understand Bitcoin futures you need to recognize, among some other things, that these futures are not in the - [UVXY's Next Reverse Split? April 11th, 2024](https://www.sixfigureinvesting.com/2014/01/uvxy-reverse-split/) - Proshares has announced a 1:5 reverse split, effective the morning 11-April-2024. Some people seem to anticipate that there will be significant price moves in UVXY, motivated by a reverse split. I'm not in that camp. UVXY's price is tied to VIX futures' price, which couldn't care less about UVXY's share price. A long time ago - [How Does PHDG Work?](https://www.sixfigureinvesting.com/2012/07/under-the-hood-of-vqt-looking-forward-to-a-crash/) - An ideal volatility investment would hold its value during quiet times and then ride volatility up as the market panics. Barclays’ VQT and Invesco's PHDG are two Exchange Traded Products (ETPs) that are designed to fill this need. These two products use the same methodology but differ in that VQT does not distribute dividends, effectively - [How Does TVIX Work?](https://www.sixfigureinvesting.com/2015/10/how-does-tvix-work/) - 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 - [How Volatility ETPs Really Work TL;DR](https://www.sixfigureinvesting.com/2023/06/how-volatility-etps-really-work-tldr/) - The short-term Volatility ETPs hold a mix of the two nearest-to-expiration VIX futures. The ETPs are either long both of those (e.g., VXX, UVXY, UVIX, VIXY) or short both of those (SVIX, SVXY). If the VIX futures term structure is in contango, with prices increasing with time, then the tendency will be for both futures to - [How Does the Cboe’s VIX® Index Work?](https://www.sixfigureinvesting.com/2014/07/how-does-the-vix-index-work/) - The Cboe did not create the VIX® as an academic exercise, or as a service to stock market prognosticators everywhere. They created it because they wanted to make money on volatility. It took them two tries, but the Cboe succeeded in developing a volatility index that forms the backbone of a host of volatility products. The - [Inverse Volatility—the Winner is SVIX](https://www.sixfigureinvesting.com/2011/05/inverse-volatility-the-winner-is-xiv/) - I used to share stock tips with my brothers-in-law. Before the tech crash I could offer up a few stocks I liked, and they would often make some money. The crash painfully ended the easy money and I moved on to index funds. They didn't think indexes were near as much fun. One Easter one - [High Sigma Events—They’re Not All Black Swans](https://www.sixfigureinvesting.com/2016/07/understanding-interpreting-high-sigma-events-black-swans/) - Sigma indicates how far an event deviates from normal. A sigma level is distribution agnostic, so an event's probability depends on the underlying distribution. - [Estimated Next VIXY Reverse Split: June 23, 2023](https://www.sixfigureinvesting.com/2023/03/next-proshares-vixy-reverse-split/) - For a security doomed to decrease in value over time, ProShares’ VIXY does amazingly well. Its volume averages over 8 million shares per day and its assets under management are currently around $270 million, not bad for a product that has averaged a 52% annual loss since its inception in October 2011. This works out - [A 3D View of the S&P 500: Price, Time, and Markets](https://www.sixfigureinvesting.com/2013/02/a-3d-view-of-the-sp-500-price-time-and-markets/) - There are lots of valid ways to look at the market. Obviously, price is important, but a number alone (e.g., 1487.85—the Feb 25, 2013, S&P 500 close) doesn't mean much. Price related metrics like percentage changes and support/resistance levels add value, but adding time as a factor enables some really interesting measures like moving averages and - [Mutual Funds -- what's not to like?](https://www.sixfigureinvesting.com/2009/11/mutual-funds-whats-not-to-like/) - Well: High fees Lack of transparency (what are they holding) Trading rules (how long you have to hold them before they don't extract a penalty) Only bought or sold at the end of the day A track record no better, and usually worse than indexes over time Sometimes ugly tax consequences (e.g., having the value - [Vance's rules for covered call investing](https://www.sixfigureinvesting.com/2009/11/vances-rules-for-covered-call-investing/) - The word "rules" is a bit harsh, but "guidelines" is too soft. Maximum premium is around ATM Buy-writes held to expiration have delta of 0 above the strike, -1 below the strike Don't mess around too much with bid/ask spreads Don't use credit / debit orders for covered call transactions unless it is a very - [Vance's rules for six figure investing](https://www.sixfigureinvesting.com/2009/11/vances-rules-for-six-figure-investing/) - Big moves usually don't happen in a day, be patient Don't fight the market Consider not jumping in or out all at once—no matter which way the market goes there will be something good to be said about it (e.g., at least I got half out...) Regardless of the market trend the chances of an - [Covered Calls -- improving the odds of a modest profit](https://www.sixfigureinvesting.com/2009/12/covered-calls-improving-the-odds-of-a-small-profit/) - Mainstream investors buy assets they think will go up. If the asset price stays the same or goes down the investor gets no profit or a loss. Covered calls are a way for investors to show a modest profit if: The asset goes up in price The asset price stays the same The asset - [VIX quotes, options chains, and correct greeks for VIX options](https://www.sixfigureinvesting.com/2010/01/vix-quotes-options-chains-and-correct-greeks-for-vix-options/) - You can get free delayed VIX option quotes at freerealtime.com or Yahoo Finance using the ^VIX symbol. Go to here for options calenders giving the correct expiration dates (always last trading on a Tuesday, expiration on a Wednesday morning) Schwab uses $VIX as the ticker symbol, Fidelity uses VIX, Yahoo uses ^VIX. VIX Settlement values (the - [FAQ on VIX, the "Fear Index"](https://www.sixfigureinvesting.com/2010/01/faq-on-vix-the-fear-index/) - Why do they call the VIX Index the "Fear Index" or "Fear Gauge" Because the VIX almost always goes up when the market goes down. The scarier the decline the higher the VIX tends to go. In the worst part of the 2008/2009 bear market it went as high as 80. In strong bull markets - [Thirteen Things You Should Know About Trading VIX options](https://www.sixfigureinvesting.com/2010/01/trading-vix-options/) - If you want to trade options on fear I've listed some things below that you should know. If you are interested in other volatility investments besides options see "10 Top Questions About Volatility". Regarding VIX options: Your brokerage account needs to be a margin account, and you need to sign up for options trading. - [DIA dividend capture](https://www.sixfigureinvesting.com/2010/02/dia-dividend-capture/) - The SPDR Dow Diamond ETF is an interesting candidate for a dividend capture strategy--if you can do it in a tax sheltered account such as a traditional or ROTH IRA. On an annual basis is it yielding around 2% and it distributes dividends monthly. Its dividend payouts are not consistent month to month, they - [Dividend capture strategies—three approaches to skip](https://www.sixfigureinvesting.com/2010/03/dividend-capture-strategies-three-approaches-to-skip/) - The dividend capture approaches that I describe below do work some of the time. My experience is that they expose the investor to excessive risk relative to the payoff--or they don't pay off often enough. Buy and hold dividend paying stocks If you love the stock, this is a fine strategy, but then it really - [Options Symbols, Including Mini: Generic, Schwab, Fidelity](https://www.sixfigureinvesting.com/2010/03/new-options-symbols-generic-schwab-fidelity/) - In 2010 options symbols transitioned to a new terminology. Unfortunately Fidelity and Schwab decided they didn't want to use the standard, generic format, so they invented their own "better" version of the new symbols. Here are the new formats: Generic, industry standard format: "SPY 10417C00114000" ( - [Dividend Capture Strategies](https://www.sixfigureinvesting.com/2010/04/dividend-capture-strategies/) - In trying to capture dividends there is no free lunch. In fact, since Wall street is involved, the best you can hope for is an affordable lunch. I have looked at, and tried quite a few approaches—most of which don't work, but I have found one approach that does work with some ETFs. Ironically you - [Capturing dividends with covered calls—are you ready?](https://www.sixfigureinvesting.com/2010/04/capturing-dividends-with-covered-calls-are-you-ready/) - In a recent post I gave an overview of dividend capture strategies. In some situations, an effective way to hedge risk with a dividend capture strategy is to use covered call options. If you are not familiar with options this might sound exotic, but it's truly the training wheels of option trading. With covered calls, - [Understanding covered calls—an analogy](https://www.sixfigureinvesting.com/2010/04/understanding-covered-calls-an-analogy/) - I know that analogies usually confuse more than they help—but that’s not going to stop me from trying… Imagine that you are the season ticket holder of 4 good seats for a major league football team at the beginning of the season. A lot of people think the team is headed for the Superbowl, but - [Comparing ETF index funds to mutual funds](https://www.sixfigureinvesting.com/2010/04/comparing-etf-index-funds-to-mutual-funds/) - Advantages of ETF index funds over mutual funds index funds: Management fees are usually lower. For example for inflation protected bonds the Schwab mutual fund SWRSX has a .5% expense ratio and the iShares Barclay equivalent TIP has an expense ratio of .2%. Instead of trades executing at the end of the day they can - [Dividend capture with covered calls—too hot, too cold, or just right!](https://www.sixfigureinvesting.com/2010/04/dividend-capture-with-covered-calls-too-hot-too-cold-or-just-right/) - If you have general questions about dividends see Top 10 questions about dividends. One strategy for capturing dividends is to buy the stock/ETF and then sell calls against that security as a hedge—a covered call. The value of the short calls moves in the opposite direction of the stock/ETF, providing a hedge. There are three - [VXX Options—Similarities and Differences with VIX Options](https://www.sixfigureinvesting.com/2010/05/vxx-options-now-available-some-predictions/) - VXX options offer ways to take either long or short volatility positions. Unlike most securities VXX tends to go up when the market is down—which leads to some signficantly different options characteristics. Comparing VXX options to VIX options: Similarities: Both are ultimately based on the Cboe's VIX futures Will show a strong reversion to baseline - [SPY covered call with protective puts](https://www.sixfigureinvesting.com/2010/08/spy-covered-call-with-protective-puts/) - The biggest downside of covered calls is their lack of downside protection on the underlying. A big, but not unusually big correction can wipe out many months worth of profits. One strategy for reducing this exposure is to buy puts, but when I have looked into this strategy in the past the puts - [Trading puts in an IRA account](https://www.sixfigureinvesting.com/2010/08/trading-puts-in-an-ira-account/) - Most IRAs will allow buying puts (assuming you get the appropriate approvals), even if you don't own the underlying in the account. This opens up the field for speculative uses of options, in addition to the buttoned-down protective put strategies. Recently I had deep in the money puts and OTM covered calls on - [Dividend capture by buying SPY and shorting IVV?](https://www.sixfigureinvesting.com/2010/09/spys-ex-dividend-is-this-friday-september-17th/) - If your devious dividend capture plan involves you hedging against SPY's price movements by selling IVV short until after SPY goes ex-dividend you can forget about it. The IVV (Barclays Global) price doesn't drop by SPY's dividend amount on SPY's ex-dividend date. It continues to track the S&P 500 until it goes ex-dividend a few - [Eleven Things You Should Know About AccuShares' VIX Up and VIX Down Funds](https://www.sixfigureinvesting.com/2010/09/how-do-vxup-and-vxdn-work/) - Update VXUP and VXDN were terminated on September 8th, 2016. They never accumulated enough assets to be financially viable. The naysayers on these funds were right—there was no way these funds could perform the way their prospectus or marketing materials suggested. They didn't understand (and didn't bother to learn once it was pointed out) how - [Dealing with the dividend when you have a short position](https://www.sixfigureinvesting.com/2010/09/dealing-with-the-dividend-when-you-have-a-short-position/) - What if I’m short a security when it goes ex-dividend? You are on the hook for the dividend if you are short the stock/ETF when it goes ex-dividend. It will be subtracted from your brokerage account on the distribution date. You borrowed the stock, you are responsible for paying the owner of the security the dividend. - [Can a Short Squeeze Collapse an ETF?](https://www.sixfigureinvesting.com/2010/09/short-squeeze-on-etf/) - Some people have been hyperventilating about the high short interest many ETFs are showing. XRT for example recently had 95 million shares in short interest with only 17 million shares in shares outstanding. If you want a detailed response to these fearmongers I found this article to be very helpful. If all of - [The “Sell Algorithm”, the Flash Crash, and Limit Orders](https://www.sixfigureinvesting.com/2010/10/the-sell-algorithm-the-flash-crash-and-limit-orders/) - The recent report from the SEC and the Commodity Futures Trading Commission on the Flash Crash fingers an automatic sell program executed by a “Mutual Fund Complex” as the trigger of the crash. Starting at 2:32 p.m. EDT on the 6th of May this program, referred to as the “Sell Algorithm” automatically sold short 75,000 - [Saving money with combination orders](https://www.sixfigureinvesting.com/2010/10/saving-money-with-combination-orders/) - If you ever plan to trade more than straight long options you should learn to use combination orders, specifically debit and credit orders. . A combo order allows you to execute multiple trades simultaneously at a single integrated not-to-exceed price. Some examples: Creating a simple covered call position, buying the underlying equity and selling-to-open calls - [Overview of dividend capture strategies](https://www.sixfigureinvesting.com/2010/12/overview-of-dividend-capture-strategies/) - I have written several posts on dividend capture strategies. My favored, although far from perfect strategy: Dividend capture with covered calls Some approaches I don't recommend: SPY dividend capture ideas that don't work Dividend capture—three approaches to skip Additional background and tools, and an example: Dividend capture overview Covered calls--are you ready? Combo orders--maximizing profits - [Short VXX - short XIV backtest](https://www.sixfigureinvesting.com/2010/12/short-vxx-short-xiv-pair/) - This spreadsheet allows you to enter in any trading date between 30-Jan-2009 and 11-Nov-2011 to backtest the profit/loss performance of a short VIX / short XIV strategy. See this post for more information and example charts. See ordering information at the very bottom of this post. - [Option spreads, early exercise and other wrinkles](https://www.sixfigureinvesting.com/2011/01/option-spreads-early-exercise/) - A week ago Monday I created an IEF (iShares Lehman 7-10 Yr Treas Bond) bear spread in my Schwab margin account—with the short calls deep in the money at S90. Several of the calls were assigned that night when IEF went ex-dividend ($0.248/share). Since I wasn’t long IEF, this assignment resulted in a short position being created in my - [Review of Fidelity's Active Trader Pro](https://www.sixfigureinvesting.com/2011/02/review-of-fidelitys-active-trader-pro/) - My observations on Fidelity's Active Trader Pro® (10.7) The comments below related to the downloaded version of Active Trader Pro. Highlighted Functionality Active Trader Pro's ability to export charts (including intraday data) for both regular securities and options is very helpful for doing analysis Quotes/Tracking for various volatility indexes (e.g., .VIX9D, .VIX3M, .VVIX, .VIF, etc.) - [XIV termination](https://www.sixfigureinvesting.com/2011/06/ivo-and-xiv-termination-events/) - UPDATE Credit Suisse terminated XIV due to a greater than 80% drop in its indicative value on 5-Feb-2018. The final payout was $5.99 per share. The last day of trading was the 15th of February 2018. In the prospectuses for XIV, there are some disconcerting discussions about termination events. For XIV the termination event is - [A Brief History of Fear—VIX Over the Last 30 Years](https://www.sixfigureinvesting.com/2011/07/a-brief-history-of-fear/) - One of the scariest things about market panics is their unpredictability. All of us remember the dark days of 2008 and 2009, not so many the October 1987 crash. For me, both of those crashes carried the same sense of disruption—the feeling that things would never be quite the same again. I've been looking - [Stock splits—will the confusion ever end?](https://www.sixfigureinvesting.com/2011/08/stock-splits-will-the-confusion-ever-end/) - I understand how stock splits, forward and reverse can confuse novice investors, but I was shocked to see Reuters Money publishing a guest post titled: "An inside look at a bad stock trade." This investor's analysis of VXX's 4:1 reverse split was: "Such a split means that investors would have one-fourth of the shares - [Barclays' XVZ—A Long Volatility Fund That Won't Fade to Zero](https://www.sixfigureinvesting.com/2011/08/xvx-etn/) - Almost everyone that invests would love to have a cost-effective way to insure against market declines. Securities that allow you to go long on volatility are attractive because they tend to go up when the market goes down, but none of them, when sized to really protect an investment are affordable in a "set - [Six Figure Investing ETF / Volatility Tool Box](https://www.sixfigureinvesting.com/2011/08/volatility-tool-box/) - ETF Tools (e.g., AUM, flows VIX Futures Term Structure VIX Futures Short Interest VIX Index Term Structure (SPX option based) Graphical VIX Calculation Volatility Futures 2004—2017 Volatility Tickers Ex-Dividend and Pay Dates for Lots of ETFs Option / VIX futures expiration calendars Free Option Charts Tradingview: charts with computations on symbols Volatility Indexes and Tickers - [Tracking the VIX Index—TVIX and UVXY Are Close](https://www.sixfigureinvesting.com/2011/09/investing-directly-in-the-vix-index-cvol-and-tvix/) - For a long time investors have been frustrated in their desire to directly invest in the VIX index. Now three ETNs, one by design, and the two other perhaps by accident are tracking (or out-performing) the VIX index on both a daily percentage move basis and for multi-day holding times. Historically the daily percentage moves - [Selling puts on high dividend stocks](https://www.sixfigureinvesting.com/2011/10/selling-puts-on-high-dividend-stocks/) - It's tough right now to get returns above 1% a year right now without taking significant risks. For example ten year treasuries are running around 2% without much upside and a lot of downside. Stocks paying dividends of 2% or more are common, but they will track a general downturn. Typically quality high dividend stocks won't - [SPY 2005 vs 2011—big volatility differences, but similar prices](https://www.sixfigureinvesting.com/2011/11/spy-2005-vs-2011-big-volatility-differences-but-similar-prices/) - The prices of SPY from this year and the same date 6 years ago continue their intertwining. For the last two years, just using the old SPY chart has been a better predictor than any number of CNBC commentators—too bad I haven't been able to convince myself to use this as my market strategy. Today's - [Volatility contango—from the beginning](https://www.sixfigureinvesting.com/2011/11/volatility-contango-from-the-beginning/) - Bill Luby, of VIX and more, recently pointed out that the 1st / 2nd month volatility futures had recently set a record (now 70 days) for continuous time spent in backwardation—where the value of the 1st month is higher than the 2nd month. Not just a trivia question, this condition has been feathering the - [Pairs trading: short VXX and short XIV](https://www.sixfigureinvesting.com/2011/11/pairs-trading-short-vxx-and-short-xiv/) - I have had several requests to do an analysis of a pair trade with the position being short VXX and short XIV. The idea behind the trade is to take advantage of the compounding effects caused by XIV’s daily reset feature that cause it to diverge from a true short. For example if VXX goes - [Historical Volatility Rolling Indexes: 2004 -- 2014](https://www.sixfigureinvesting.com/2011/12/historical-volatility-rolling-indexes-2004-2011/) - If your interests are related to the simulation / backtest of volatility exchange-traded products like VXX and XIV, then you should review the products I have listed here. While the indexes discussed in this post can be used to compute the prices of the volatility ETPs it is not an entirely straightforward process. I - [Top 11 questions about dividends](https://www.sixfigureinvesting.com/2011/12/top-10-questions-about-dividends/) - Based on searches that lead people to Six Figure Investing, these are the top 11 questions people ask about dividends: When is XYZ's ex-dividend date? This information can be hard to find. Some companies provide the entire year's dates on their webside (e.g., iShares), others like Vanguard only reveal the information a few days before - [The VIXs of Christmas Past](https://www.sixfigureinvesting.com/2011/12/the-vixs-of-christmas-past/) - One of the persistent characteristics of the CBOE's VIX® index is the Christmas Effect—the tendency for VIX to drop down to relatively low levels during the Christmas holidays. The CBOE's VIX volatility December futures predict this drop for months in advance, and it has come to pass again this year. I am aware of at - [Trading options near expiration](https://www.sixfigureinvesting.com/2011/12/trading-options-near-expiration/) - Since the CBOE's introduction of Weekly options, our opportunities to take advantage of expiration day dynamics have quadrupled for many stocks/indexes. Depending on your position, it is fascinating/horrifying to watch the premium collapse on options in their last couple hours of trading. Jeff Augen in SFO weekly has written an interesting article (New Approach to - [Prediction: Dec 31,2012 S&P 500 close at 1418, up 12.78%](https://www.sixfigureinvesting.com/2012/01/sp500-2012-finish/) - Originally posted 10-Jan-2012 One forecaster has correctly predicted the S&P 500 year-end close within an average of 2% for the last 4 years: Year End Estimated Actual % Difference 31-Dec-08 879.82 903.25 +2.66% 31-Dec-09 1111.92 1115.1 +0.286% 30-Dec-10 1211.92 1257.88 +3.79% 30-Dec-11 1248.29 1257.60 +0.75% 31-Dec-12 1418.30 ?? This forecast is not from - [The Beginning of the End for Mutual Funds](https://www.sixfigureinvesting.com/2012/01/the-beginning-of-the-end-for-mutual-funds/) - The vibe of the IndexUniverse’s InsideETFs Conference in Hollywood Florida I attended in 2012 was one that I have felt before—a group that knows they're changing the very structure of their industry. It's not just about being new, creative, or disruptive—it's the sense of knowing you have won. The mutual fund industry is still almost 10 times - [Trading Restrictions in an IRA](https://www.sixfigureinvesting.com/2012/02/trading-restrictions-in-an-ira/) - IRAs are attractive to investors because they enable taxes on dividends and profits to be deferred (traditional IRA) or avoided (Roth). To a large degree, you can do the same trades in an IRA that you can do in your regular accounts. However there are significant differences, and the differences change over time as - [Credit Suisse Pushes the Pause Button on TVIX](https://www.sixfigureinvesting.com/2012/02/credit-suisse-pushes-the-pause-button-on-tvix/) - In February 2012 VelocityShares' TVIX ETN was on a tear. Its volume surged from an average of 6.67 million shares a day in January to 22 million shares a day in February. The assets under management (AUM) also grew dramatically. At the end of January TVIX had $413 million in assets—fourteen days later it has $279 - [Thoughts on Gold and Volatility](https://www.sixfigureinvesting.com/2012/02/gold-and-volatility/) - Gold, loved by many and disdained by at least a few (including Warren Buffett) is an unusual investment. It won't grow, doesn't offer a dividend, and other than jewelry and some industrial uses it gets stuck in guarded vaults for safe keeping. With no positive cash flow associated with it, the value of gold - [Under the hood of TVIX and XIV—Cause for Concern](https://www.sixfigureinvesting.com/2012/02/under-the-hood-of-tvix-and-xiv-cause-for-concern/) - Since Credit Suisse's recent pause on TVIX share creations I have been trying to figure out some of the hedging / rebalancing dynamics underlying the current crop of volatility ETNs and ETFs. Traditional equity ETFs like SPY, the S&P 500 index tracking fund don't require much behind-the-scenes action. Shares are created or redeemed in conjuction - [So What if Volatility ETN/ETFs are Growing—Where are the Problems?](https://www.sixfigureinvesting.com/2012/03/so-what-if-volatility-etnetfs-are-growing-where-are-the-problems/) - It's clear that the volatility ETN/ETFs have begun to dominate the VIX Futures market. What isn't clear is whether it matters. Volatility isn't a commodity like gold or corn that is physically limited, so future position limits don't seem applicable. When the price of VIX futures is attractive, more can be created—and appropriate hedges put - [Options on 1.5X and 0.5X Inverse Volatility](https://www.sixfigureinvesting.com/2012/03/the-latest-options-on-2x-and-inverse-volatility/) - If things weren't derivative enough for you before, you can add one more level of indirection to your volatility investments. Options are available on ProShares' 1.5X VIX short-term UVXY and their -0.5X inverse short-term SVXY. These options are similar to VXX's options; they are American exercise style and expire on the same day as equity options. - [The Double Dip is Dead, but What About Volatility](https://www.sixfigureinvesting.com/2012/03/volatility-and-correlation/) - March 9th marked the 3 year anniversary of the current bull market. The S&P 500 has scored an impressive 110% run-up, and I think we can officially declare that the dreaded double dip recession didn’t happen. However for the buy and hold investor there isn’t a lot to celebrate. We are still 16% below the - [Six Million Shares Pulls TVIX Back Into Sync](https://www.sixfigureinvesting.com/2012/03/six-million-shares-pulls-tvix-back-into-sync/) - Currently TVIX is running about 5% high compared to its indicative value. The combination of Credit Suisse making shares available to borrow, plus the knowledge that limited share creation might start on March 28th was enough to restore relative sanity to TVIX's price. As you can see below it didn't take a lot of new - [Historical Backtest on VQT](https://www.sixfigureinvesting.com/2012/03/backtest-on-vqt/) - I have backtested Barclays' VQT ETN back to when VIX volatility futures first started to trade in March 2004. I have made two versions of the spreadsheet available for purchase below. One with results data only and the other version with formulas and required indexes included. I have included the simulated daily closing values including - [Can Volatility ETFs & VIX Futures Blow-up the Stock Market?](https://www.sixfigureinvesting.com/2012/04/can-volatility-etfs-vix-futures-blow-up-the-stock-market/) - The VIX Futures market has been on a bit of a tear—driven by inflows into volatility ETFs like Barclays’ VXX, VelocityShares’ XIV and TVIX, and ProShares’ UVXY. The chart below shows the resultant growth in the short term futures open interest and volume. The data doesn’t look as dramatic if we change the vertical axis - [Protecting Junk Bond Principal With a Volatility Hedge](https://www.sixfigureinvesting.com/2012/04/boosting-returns-and-reducing-drawdowns-on-a-high-yield-investment/) - At the moment investment grade bonds with their low yields and risky exposure to interest rates are unattractive places to put your money. Broad equity indexes like the S&P 500 have higher potential gains and dividend yields in the 2% range, but the dramatic drawdowns of 2008/2009 are still fresh in our minds. - [Why 18.5 is the right PE ratio for the S&P 500](https://www.sixfigureinvesting.com/2012/05/why-18-5-is-the-right-pe-ratio-for-the-sp-500/) - Originally posted May 28, 2012 Consistent long term growth rates are one of the tenets of buy and hold investing. In the case of the S&P 500 this annual growth rate has averaged 5.9% since 1950 (dividends excluded, compounded monthly). All you need to do is invest early, be patient, and wait for the inevitable - [Two Markets on Similar Paths— Except for Volatility](https://www.sixfigureinvesting.com/2012/06/two-markets-on-similar-paths-except-for-volatility/) - The market recoveries from the Tech Crash and the Financial Crash were remarkably similar. As I blogged in February 2012, the S&P 500 index closed out the 2009 to 2012 period within 4 percent of the index 6 years before. The 2012 year market, just like 2011, started out fast but the spring - [Barclays’ VXXB—Not as Short Term as You Think](https://www.sixfigureinvesting.com/2012/06/barclays-vxx-not-as-short-term-as-you-think/) - In terms of assets Barclays’ “S&P 500 VIX Short-Term Futures" ETN is among the leaders in volatility ETFs with around 500 million dollars under management. I suspect it’s also one of the leaders in investor confusion. Although VIX is in its formal name VXXB doesn’t actually track the CBOE’s VIX index with any degree of precision. - [TVIX’s Fate—Fade to Black?](https://www.sixfigureinvesting.com/2012/07/tvixs-fate-fade-to-zero/) - Update TVIX is alive, and well. For information about TVIX's reverse stock splits see this post -------------------------------------. Things have not been well with TVIX since Feb 21st, 2012 when Credit Suisse stopped the share creation process. In late March 2012, a modified creation process was put in place, but that has only been partially successful—the - [Volatility White Papers: Power Laws & VIX Options Explained](https://www.sixfigureinvesting.com/2012/07/volatility-landscape-reverse-splits-for-sure-probably-and-maybe-not/) - 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 - [Credit Risk and Exchange Traded Notes](https://www.sixfigureinvesting.com/2012/08/credit-risk-and-exchange-traded-notes/) - In their fifteen year history, which includes the 2008/2009 financial meltdown, a grand total of three Exchange Traded Notes (ETNs) have gone bust due to credit default—all 3 were issued by Lehmann Brothers. The total loss to investors was less than $15 million. This article on ETF.com gives the detailed story. How many public companies - [Trading Options As a Business](https://www.sixfigureinvesting.com/2012/08/trading-options-as-a-business/) - Recently I finished reading a book on options that doesn't explain the basics of calls and puts. The Greeks are on almost every page, but never defined, and it's assumed that the reader already knows options strategies and acronyms (e.g., butterflies, condors, ratio spreads, ATM, OTM). Clearly the "The Option Trader's Hedge Fund" is not for - [Barclays' VZZB Bites the Dust](https://www.sixfigureinvesting.com/2012/10/barclays-vzzb-bites-the-dust/) - VZZB's intraday indicative (Yahoo) value dropped below $10 Friday October 5th, triggering its automatic termination event. According to the prospectus the holders of record will receive a cash payout value set by the closing intraday indicative value (IV) for the day—provided it is between 0 and 10. Since the final IV was 10.45, - [Barclays' VZZB Bites the Dust](https://www.sixfigureinvesting.com/2012/09/volatility-landscape-deathwatch-for-barclays-vzzb/) - Update Friday, October 5th, 2012 | Vance Harwood VZZB‘s intraday indicative (Yahoo) value dropped below $10 Friday October 5th, triggering its automatic termination event. According to the prospectusthe holders of record will receive a cash payout value set by the closing intraday indicative value (IV) for the day—provided it is between 0 and 10. - [Schwab Puts StreetSmart Edge® in the Cloud](https://www.sixfigureinvesting.com/2012/10/schwab-puts-streetsmart-edge-in-the-cloud/) - Faced with the explosion of different computing devices, Schwab has provided a relatively platform insensitive way for Schwab customers to use its flagship StreetSmart Edge® (SSE) package (review). It uses session virtualization to shift the heavy memory and CPU requirements of SSE from your machine to theirs. The only thing left for your computer to do - [Needed—A Way to Flash Proof Your Stop Limit Orders](https://www.sixfigureinvesting.com/2012/10/needed-a-way-to-flash-proof-your-stop-limit-orders/) - I've never liked stop loss orders. I've seen too many people get blown out of their positions by short term price fluctuations. A glitch October 24th, at ATT’s opening shows the typical pattern. I think we need improved stop lost orders to help retail investors avoid being stopped out during events like these—often at the worst - [Protecting High Yield Bond Investments with VIX/VIX3M Based Timing](https://www.sixfigureinvesting.com/2012/11/protecting-high-yield-bond-investments-with-vixvxv-based-timing/) - The holy grail of investing is a market timing method that gets you out of the market on bad days and gets you in for the good days. There are innumerable methods for doing this, ranging from slogans, “Sell in May and Go Away” to closely guarded multi-factor proprietary algorithms. The worst methods have no - [How Much Should We Expect the VIX to Move?](https://www.sixfigureinvesting.com/2012/11/how-much-should-we-expect-the-vix-to-move/) - Every couple of months it seems like there's an uptick in articles about the CBOE’s VIX Index being broken or manipulated. Generally I expect the percentage moves in the VIX to be around a factor of 4 in the opposite direction of SPX (S&P 500). But there are significant eccentricities in the VIX that I - [Top 15 Questions about Trading in an IRA](https://www.sixfigureinvesting.com/2012/11/top-15-questions-about-trading-in-an-ira/) - Based on searches that lead people to Six Figure Investing, these are the top investment questions people ask about IRAs. For definitive answers to tax questions in your specific circumstances please consult a tax professional. General Why trade in an IRA? Because it allows you to defer or avoid taxes on dividends and capital gains—all - [Profiting from Special Dividends: What Won’t Work, What Might](https://www.sixfigureinvesting.com/2012/11/profiting-from-special-dividends-what-wont-work-what-might/) - With the expectation of tax changes next year some companies have been declaring eye popping special dividends, for example AOL is giving out $5.15 and Costco $7. Intuitively it seems there should be some way to profit from these events, but as is always the case with Wall Street, there is never anything that approaches - [TVIX Gets a New Lease on Life](https://www.sixfigureinvesting.com/2012/12/tvix-gets-a-new-lease-on-life/) - On Friday, December 14th, Credit Suisse announced a 10:1 reverse split of TVIX, effective the 21st. I had pretty much given up on TVIX because its price had slid way past the logical reverse split point and has traded below $1 for the last 16 trading days. However instead of fading to black TVIX is now back - [Weekly Options Take Charge](https://www.sixfigureinvesting.com/2012/12/weekly-options-take-charge/) - The volume of CBOE's Weeklyssm options has grown rapidly since they expanded their listings into equities and Exchange Traded Products in June 2010. Now weekly options comprise almost 30% of the CBOE's average daily option volume. The list of available weekly options is available on the CBOE website. Among other things, option traders take advantage of - [The Volatility Watcher’s Toolkit](https://www.sixfigureinvesting.com/2012/12/volatility-measures-to-watch/) - The CBOE’s VIX index gets mainstream exposure as the “fear index”, but there’s a lot more to volatility watching than the VIX. The VIX does a good job of measuring the current level of anxiety in the market, but it has some problems. Among other things it’s: Not a good predictor of the future Often - [Prediction: Dec 31,2013 S&P 500 close at 1468.38 up 2.96%](https://www.sixfigureinvesting.com/2013/01/prediction-dec-31-2013-sp-500/) - For my 2015 year end prediction for the S&P 500 see this page. Update: In the post below I wonder how long the close correlation between the S&P 500 and its prices six years previous will continue. December 31, 2014 provided the answer: 5 years—the correlation failed in 2014 with an ending difference of - [Riding the IV Ramp Before Earnings](https://www.sixfigureinvesting.com/2013/01/riding-the-iv-ramp-before-amazon-earnings/) - One of the options strategies Jeffery Augen discusses in his excellent book, “The Volatility Edge in Options Trading” takes advantage of the typical ramp up in option’s implied volatility (IV) before an earnings announcements. Upcoming announcements create uncertainty, and the option market prices that in by increasing the premiums—which is reflected in the IV of - [The Cost of Contango—It’s not the Daily Roll](https://www.sixfigureinvesting.com/2013/02/contango-losses-roll-yield/) - 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 - [Six Things to Consider with Exchange Traded Funds](https://www.sixfigureinvesting.com/2013/02/etf-cost-assets-trading-term-structure/) - Exchange Traded Funds (ETFs) look a lot like stocks because they trade during the day, can be sold short, and have options and they look a lot like mutual funds because they aren't tied to a single company. The items are important things to know. There’s more to ETF cost than the annual fee If you - [When a Hurricane Messes with a Volatility Index](https://www.sixfigureinvesting.com/2013/03/when-a-hurricane-messes-with-a-volatility-index/) - In 2010 I set out to prove that I understood the indexes that underlie the volatility Exchange Traded Products (ETPs). I developed a spreadsheet that uses the CBOE’s historical VIX Futures data to produce the short term (1 to 2 month) and medium term (4th through 7th month) rolling volatility indexes. The heart of these - [When You Think Your Exchange Traded Fund is Broken…](https://www.sixfigureinvesting.com/2013/03/is-etf-etn-broken/) - Frequently I see people complaining that their Exchange Traded Fund (ETF) or Exchange Traded Note (ETN) is broken. Occasionally they’re right, but most of the time they’re not. Before complaining, here are some things to look at: Are you looking at the right index? All Exchange Traded Products (ETPs) track an index, which is identified - [How Meaningful are VIX’s Big Percentage Moves?](https://www.sixfigureinvesting.com/2013/03/big-vix-percentage-moves/) - Occasionally there are eye-popping percentage moves in the CBOE’s VIX® index—these moves generate a lot of headlines . As an antidote to the hype a few savvy VIX followers noted: “Remember that $VIX is already a percentage.” Jared Woodward from Condor Options “The $VIX was up 2.08% today, NOT 18.5%” Mark Sebastian from Option Pit . I have to admit that my - [VIX Futures—Crystal Ball or Insurance Policy?](https://www.sixfigureinvesting.com/2013/04/vix-futures-predictions-or-insurance/) - Many people seem to believe that the CBOE's VIX Futures market is attempting to predict upcoming CBOE VIX® values. I think they are mistaken. Most futures prices have very little to do with predicting the future. Futures contracts were invented to allow producers/consumer of commodities to limit their business risk by locking in future prices. In exchange for - [A Tale of Two Bulls](https://www.sixfigureinvesting.com/2013/05/a-tale-of-two-bulls/) - The prices of SPY (S&P 500) starting in March of 2003 and of 2009 have tracked each other surprisingly well over a 6 year period. The current market has managed higher highs each year, but then that advantage has evaporated by the Christmas holidays. This year the market has already achieved the higher highs - [SPXH—Hedging the S&P 500 For Free?](https://www.sixfigureinvesting.com/2013/07/review-trsk-spxh/) - Update TRSK & SPXH were shutdown in March 2018, probably because they never gained enough assets to be profitable for the issuer. In general, these fund performed as expected. They likely would have really done well in a major correction or bear market but that didn't happen during their lifetimes. Their main weakness is that - [When an Index Becomes a Security](https://www.sixfigureinvesting.com/2013/07/sp500-market-correlation/) - Update A comment on this post from "~", writer of the Volatility Futures and Options blog, revealed that in this post I made the mistake of assuming that correlation meant causation in analysing the data—a danger I warn against in Patterns, Predictions, and the Correlation Fairy. It's too bad, it was a fun story. I'm - [Top 11 Questions About the CBOE's VIX](https://www.sixfigureinvesting.com/2013/08/trading-the-vix-index/) - Based on searches that lead people to Six Figure Investing, these are the top 10 questions people ask about volatility investing: How can I buy/trade/invest in the CBOE's VIX® index? The short answer is that you can't. No one has figured out how to do this economically. However, there are quite a few investment approaches that - [Google and Yahoo Finance Symbols](https://www.sixfigureinvesting.com/2013/08/google-and-yahoo-finance-symbols/) - Some indexes can be hard to find on Google and Yahoo Finance. The chart below gives some ticker symbols for popular indexes. Index Google Finance Ticker Yahoo Finance Ticker S&P 500 INDEXSP:.INX or .INX ^GSPC Dow Jones Industrial INDEXDJX:.DJI or .DJI ^DJI VIX INDEXCBOE:VIX ^VIX 13 Week Treasury Bills INDEXCBOE:IRX ^IRX - [The Volatility Term Structure is Driven by OTM Puts](https://www.sixfigureinvesting.com/2013/09/vix-volatility-term-structure-spx-prices/) - The CBOE’s VIX® methodology calculates a single theoretically grounded number that quantifies virtually the entire volatility landscape for a specific point in time—pretty cool. Prices for hundreds of different options with different expiration dates can be involved in the calculation. This single number is very useful, but obviously, lots of information is discarded in the distillation. - [Software & Stock Exchanges—Not Skynet Yet](https://www.sixfigureinvesting.com/2013/09/software-and-stock-exchanges/) - 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 - [Consecutive Up Days on the Stock Market and the Gambler's Fallacy](https://www.sixfigureinvesting.com/2013/11/market-with-consecutive-up-days/) - Years ago I was watching the action around an Atlantic City roulette table when I noticed a man taking careful notes. When I asked what he was doing he said he was looking for long consecutive strings of red or black. If the run got long enough he was going to bet that the ball - [Assignment Risk, Short Calls, And Ex-Dividend Dates](https://www.sixfigureinvesting.com/2013/12/short-calls-options-assigned-ex-dividend-dates/) - If you are short call options in a stock or an Exchange Traded Product (ETP) like SPY or IWM you need to be aware of ex-dividend dates. If your calls are in the money, even barely, your options may be assigned right before the security goes ex-dividend—and then you may have a problem. For example, - [What is the Arbitrage Driven Range for VIX Futures?](https://www.sixfigureinvesting.com/2014/01/what-is-the-arbitrage-driven-range-for-vix-futures/) - The VIX style calculation for the March 22nd SPX options closed today at 17.06. The data is from the CBOE's VIX Term Structure website. The CBOE will use the March SPX options to compute the settlement value for the February VIX Futures when they expire on February 19th. February VIX futures, on the other hand - [https://www.sixfigureinvesting.com/2014/02/2014-ex-dividend-and-pay-date-information-for-amlp/](https://www.sixfigureinvesting.com/2014/02/2014-ex-dividend-and-pay-date-information-for-amlp/) - 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 - [Dynamic Volatility Funds During a Correction](https://www.sixfigureinvesting.com/2014/02/dynamic-volatility-funds-during-a-correction/) - During a significant market correction everyone knows that the long volatility funds like VXX, TVIX, and UVXY soar, while inverse funds like XIV and SVXY get crushed—no subtlety there. However, there are a class of volatility funds that attempt to finesse their way through market downturns. They change their allocations based on market conditions or - [VIX9D Index, Futures Quotes and Expiration Dates](https://www.sixfigureinvesting.com/2014/02/vxst-index-futures-options-quotes-and-expiration-dates/) - Update Due to low demand, the CBOE discontinued VXST options and futures. The VXST index, renamed the VIX9D, continues to be active. The CBOE went on to introduce weekly versions of its popular 30-day VIX futures which have been marginally successful. _______________________________________________________________________________________ VIX9D Indexes On October 1st, 2013 the CBOE introduced the VXST index. VXST, - [Guest Post: Modified Davis Method—March 2014 Update, by Frank Roellinger](https://www.sixfigureinvesting.com/2014/03/modified-davis-method-2/) - It's been about 7 months since my article on The Modified Davis Method first appeared, so it's time for an update. Here is the original chart updated through 3/28/14. As before, the top (white) line is the method's results; the yellow line is the Value Line/Russell 2000 series; the green line is the S&P 500 for - [Sell in May and Go Away—Not Good for Taxable Accounts](https://www.sixfigureinvesting.com/2014/05/sell-in-may-and-go-away-taxable-accounts/) - When I first saw a chart similar to the one below in Business Insider I was immediately suspicious. For example I knew that May through September of 2009 was a period of rapid growth (21%) yet that surge did not seem to show up on the bottom curve (green)—which shows the performance of staying in - [How Did XIV Work?](https://www.sixfigureinvesting.com/2014/05/how-does-xiv-work/) - UPDATE Credit Suisse has terminated XIV due to a greater than 80% drop in its indicative value on 5-Feb-2018. The final payout was $5.99 per share. The last day of trading was the 15th of February. For more on what caused XIV's crash see this post, for more info on the XIV termination process see - [Volatility and the Square Root of Time](https://www.sixfigureinvesting.com/2014/06/volatility-and-the-square-root-of-time/) - It was not obvious (at least to me) that volatility theoretically scales with the square root of time (sqrt[t]). For example, if the market’s daily volatility is 0.5%, then theoretically the correct value of volatility for two days is the square root of 2 times the daily volatility (0.5% * 1.414 = 0.707%), or for - [Hedging the S&P 500 with Volatility](https://www.sixfigureinvesting.com/2014/08/hedging-market-with-vix-vxx-uvxy-vix-futures/) - It’s expensive to buy securities that track volatility. Their holding costs are so high that your timing has to be exquisite in order to end up with a profit. However, if you’re hedging a short volatility position, or poised to jump into the general market at a possible transition point a long volatility position might - [The Myth of Option Weekend Decay](https://www.sixfigureinvesting.com/2014/10/option-weekend-decay-and-volatility-annualizing/) - While doing simulations on volatility and the square root of time, I started thinking about how options experience time—is it calendar time, market time, or something in-between? The CBOE’s VIX® calculations use calendar time, a 365 day year, but most option gurus recommend using a 252 day year for volatility calculations—the typical number of trading days - [The Volatility Landscape—White Papers](https://www.sixfigureinvesting.com/2014/10/the-volatility-landscape-october-2014/) - 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 - [Prediction: Dec 31, 2015 S&P 500 close at 2346 up 13.9%](https://www.sixfigureinvesting.com/2015/01/prediction-dec-31-2015-sp-500/) - My 2015 year end prediction is based on the trend channel shown below, which has been in place since around May 2012. There’s nothing magical about this channel. The market will transition from it at some point, and I think it's important to plan for that, but for the moment the channel is the trend. - [One Reason Why the New VIX Calculation is Better](https://www.sixfigureinvesting.com/2015/01/new-vix-better-than-old-vix-vixmo/) - 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 - [Near Real Time Graphical VIX Term Structure](https://www.sixfigureinvesting.com/2015/01/graphical-vix-term-structure-with-calendar-and-market-annualization/) - 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 - [How Does VXX's Daily Roll Work?](https://www.sixfigureinvesting.com/2015/01/how-does-vxx-daily-roll-work/) - 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 - [Why Silverlight Won't Work on Chrome](https://www.sixfigureinvesting.com/2015/04/silverlight-fix-workaround-chrome/) - 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 - [Eleven Things You Should Know About AccuShares’ VIX UP and VIX Down](https://www.sixfigureinvesting.com/2015/05/how-does-vxdn-and-vxup-work/) - 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 - [Tracking Information and Status Update on Accushares' VXUP and VXDN](https://www.sixfigureinvesting.com/2015/05/vxup-vxdn-iv-tracking-futures-tracking/) - 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 - [Did Accushares Create a Product That is Linearizing the VIX Futures Term Structure?](https://www.sixfigureinvesting.com/2015/05/vxup-vxdn-impacting-vix-future-term-structure/) - 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 - [VQTS: A Large Cap Investment That Protects Itself](https://www.sixfigureinvesting.com/2015/07/how-does-vqts-work/) - Update In August 2016 UBS terminated VQTS. UBS wasn't particularly patient with the fund, it had only been operational since December 4th, 2014, but it never gained much in the way of assets. As you can see below VQTS was a complex fund driven by factors that historically seemed to be good predictors of future - [Trading Low Volume Exchange Traded Products   ](https://www.sixfigureinvesting.com/2015/08/trading-low-volume-exchange-traded-products/) - Many of the 1600+ Exchange Traded Products (ETPs) on the market are low volume, low asset offerings that either implement failed strategies or have bigger, higher volume competitors. However, some low volume ETPs offer unique opportunities you won’t want to wait for. I’ve organized the special handling required for low volume funds into these categories: - [ETF Flash Crashes Happen With Big Funds Too](https://www.sixfigureinvesting.com/2015/08/secs-circuit-breakers-for-etf-etn-flash-crash/) - In the aftermath of the 2010 Flash Crash, the SEC investigated ways to prevent the widespread disruption of prices that led to trades at absurd levels. One of the outcomes was the creation of single-stock circuit breakers across the entire market (SEC document). These breakers are designed to halt trading at specific points to allow - [Frank Calls the Corrections with His Modified Ned Davis Method](https://www.sixfigureinvesting.com/2016/02/frank-calls-the-corrections-with-his-modified-ned-davis-method/) - In September 2013, I published a post written by Frank Roellinger on his stock market trading system—a modification of the Ned Davis system first published in the 80s. Since Frank's work was first published here he has shifted his Russell 2000 positions 11 times, each move reported here and on my twitter account. His hypothetical - [How Do VelocityShares’ BSWN, LSVX, & XIVH Work?](https://www.sixfigureinvesting.com/2016/08/how-do-velocityshares-bswn-lsvx-xivh-work/) - Update: In June 0f 2018 UBS delisted these funds. The funds performed pretty much as expected but never gained enough assets to be profitable for UBS. The indexes that power VelocityShares new BSWN, LSVX, and XIVH funds have been live since 2011, but they haven’t been directly accessible via exchange traded products until July 2016. The - [Backtests for VelocityShares' BSWN, LSVX, and XIVH Exchange Traded Notes](https://www.sixfigureinvesting.com/2016/08/backtest-simulated-bswn-lsvx-xivh-etn-from-2004/) - I have generated simulated end-of-day close indicative share values (4:15 PM ET) for VelocityShares’ BSWN, LSVX, and XIVH Exchange Traded Notes (ETNs) from March 31st, 2004 through July 14th, 2016. BSWN VelocityShares VIX Tail Risk ETN LSVX VelocityShares VIX Variable Long/Short ETN XIVH VelocityShares VIX Short Volatility Hedged ETN These simulated ETN histories are useful if - [How Does VMIN Work?](https://www.sixfigureinvesting.com/2017/04/how-does-vmin-work/) - Update On September 26, 2018 REX ETF shutdown VMIN. See this link for the newsrelease. The 2018 market was not friendly to short volatility products and VMIN never recovered its asset base after the 5-Feb-18 Volatility Tsunami. March 2018 Update As of March 7th, 2018 VMIN will shift its trading strategy to use longer-term VIX futures - [How do VelocityShares' EVIX and EXIV Work?](https://www.sixfigureinvesting.com/2017/08/how-do-velocityshares-evix-and-exiv-work/) - Update UBS decided to shutdown their EVIX & EXIV long / inverse volatility funds that are based on the European VSTOXX volatility futures effective April 9, 2020 I suspect this occurred because they never gathered enough assets to be profitable. In May 2017 VelocityShares introduced two volatility funds, EXIV and EVIX, which track European volatility - [How Did the Old -1X SVXY Work](https://www.sixfigureinvesting.com/2018/03/how-did-the-old-1x-svxy-work/) - Update As of February 28th, 2018 SVXY will target -0.5 leverage instead of -1X. This change was in response to the events of February 5th, 2018 when a massive VIX futures spike occurred in the last 30 minutes of trading, probably in part due to the rebalancing required by the 2X UVXY and -1X SVXY - [Simulation of the Longer Duration VMIN & VMAX](https://www.sixfigureinvesting.com/2018/06/simulation-backtest-longer-duration-rex-etf-vmin-vmax/) - When they were introduced by REX ETF in May 2016 VMIN and VMAX were the first actively managed volatility Exchange Traded Funds (ETFs). REX’s strategy was to offer higher effective leverage than the popular unleveraged long VXX and the daily resetting inverse volatility funds (XIV & SVXY). In 2017 REX ETF’s strategy paid off with - [Using the VIX Futures Term Structure to Predict Volatility ETP Prices](https://www.sixfigureinvesting.com/2018/08/projecting-svxy-vxx-uvxy-tvix-prices-with-vix-term-structure/) - Status quo forecasting is sometimes very easy to do. For example, if you predict that tomorrow’s high temperature will be the same as today’s high, your estimate will be close to the actual high much of the time. Predicting volatility Exchange Traded Products (ETP) prices is not so straightforward. The VIX futures that volatility ETPs - [Goodbye VXXB, We Hardly Knew Ye](https://www.sixfigureinvesting.com/2019/05/vxxb-renamed-to-vxx/) - Effective May 2nd, VXXB and VXZB, Barclays’ short- and medium-term volatility funds will be renamed to VXX and VXZ. This is a market maneuver by Barclays to recapture the brand value of the original, very successful, VXX and moderately successful VXZ products introduced in 2009. The original products matured in January 2019 so Barclays had - [Deciding What to do Next](https://www.sixfigureinvesting.com/2019/06/decision-making/) - Years ago I had a meeting with my manager regarding three projects that I was responsible for. Each of the projects had considerable technical problems, tight deadlines, and were short on resources. In the course of the conversation, I asked my boss what his priorities were on the projects. He said all three projects had - [Volatility Landscape: Storms over Europe—Again](https://www.sixfigureinvesting.com/2012/05/volatility-landscape-storms-over-europe-again/) - With no government in place its hard to see how the Greeks can do anything, much less exit the Euro, but at least the Eurozone leaders appear to be moving past denial, shifting into anger. A few links: Head of European Central Bank says: "...unsustainable unless further steps are undertaken" Goldman Prepares for Worst-Case Outcome - [10 Questions about Mid-Term Volatility](https://www.sixfigureinvesting.com/2013/01/10-questions-about-mid-term-volatility/) - Why is mid or medium-term volatility defined as being 4 to 7 months out? In January 2009 Barclays introduced VXZ, the first medium-term volatility Exchange Traded Product (ETP). Its tracking index (SPVXMP) relies on 4 to 7-month VIX futures. I suspect that range was selected because historically (2004 through 2008) the term structure on the - [Calculating a VIX3M Style Index Back to 1990 Reveals Surprising Trends](https://www.sixfigureinvesting.com/2020/01/historic-vix3m-data-back-to-1990/) - The Cboe’s VIX® (30-day) and VIX3M (93-day) indexes enable us to quantify volatility term structures but until now, historical analyses between VIX style indexes have been limited to dates after December 2001. This post introduces the results of VIX3M style calculations back to 1990, and reviews issues and trends that were revealed. In November 2007, - [VIX Futures Prices vs. Predictions from a "Simple" Model](https://www.sixfigureinvesting.com/2015/11/vix-futures-pricing-model-values/) - 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 - [A Better Way to Model the VIX](https://www.sixfigureinvesting.com/2017/11/a-better-way-to-model-the-vix/) - Models are useful. They help us understand the world around us and aid us in predicting what will happen next. But it’s important to remember that models don’t necessarily reflect the underlying reality of the thing we’re modeling. The Ptolemaic model of the solar system assumed the Earth was the center of everything but in spite - [A Very Simple Model for Pricing VIX Futures](https://www.sixfigureinvesting.com/2015/11/a-very-simple-model-for-pricing-vix-futures/) - Serious volatility watchers are always observing a three-ring circus. The left ring holds the general market. Center ring has options on the S&P 500 and the various CBOE VIX® style indexes and to the right are VIX futures, Volatility Exchange Traded Products like VXX, UVXY, TVIX, and XIV plus associated options. Activities in the three - [How Does the Cboe's VIX1D Work?](https://www.sixfigureinvesting.com/2023/04/how-does-the-cboes-vix1d-work/) - The Cboe is just dribbling out information so far (30-April-2023), on the new one Day VIX (VIX1D), but so far the evidence supports the following guesses: VIX1D quotes, download data for the previous 3 months, chart data back to May 2022 are available on Cboe's Global Index site. Beware, the open/high/low data is the same - [Calculating the VIX—The Easy Part](https://www.sixfigureinvesting.com/2014/10/calculating-the-new-vix-easy-part/) - The movements of the CBOE’s VIX® are often confusing. It usually moves the opposite direction of the S&P 500 but not always. On Fridays the VIX tends to sag and on Mondays it often climbs because S&P 500 (SPX) option traders are adjusting prices to mitigate value distortions caused by the weekend. In addition to these - [Evaluating Liquidity of Low Volume Exchange Traded Funds ](https://www.sixfigureinvesting.com/2015/08/determining-liquidity-of-low-volume-etf-etn/) - It’s disconcerting when the Exchange Traded Fund (ETF) you’re interested in has low trading volumes. Days can go by with no volume at all. If it was a small cap stock you wouldn’t consider buying it. But low volume in itself shouldn’t prevent you from considering an ETF—some have the liquidity of a large-cap stock. - [How Does VelocityShares' ZIV Work?](https://www.sixfigureinvesting.com/2018/07/how-does-velocityshares-ziv-work/) - Update Effective July 2, 2020 ZIV stopped trading on national exchanges (press release). The issuer, Credit Suisse (CS) halted share creations effective July 3rd but is not terminating the fund. They reserve the right to do so but don't have to until 2030. ZIV is currently trading on OTC exchanges, e.g., OTCMarkets.com and is currently - [Sometimes Inverse / Leveraged Volatility Funds Outperform Their Leverage Factors](https://www.sixfigureinvesting.com/2012/10/a-hat-trick-for-inverse-leveraged-volatility-funds/) - From August 2nd to October 3rd, 2011 Barclays’ S&P 500 VIX Short Term Futures ETN (VXX) had a great 137% runup. In that same period ProShares' UVXY, 2X leveraged Exchange Traded Fund (ETF) went up an astonishing 348%, 73 percent more than its 2X leverage factor would project. How is that possible? Don’t inverse and - [Patterns, Predictions, and the Correlation Fairy](https://www.sixfigureinvesting.com/2014/01/patterns-predictions-correlation/) - In November 2009 I noticed a pattern—the S&P 500 index was tracing out a pattern uncannily similar to the S&P chart exactly six years previous. In the four years from April 2009 through April 2013, the average difference between the S&P 500’s closing value for the same day 6 years previous was 3% and the - [Benn Eifert's Twitter Threads On Finance](https://www.sixfigureinvesting.com/2022/11/benn-eiferts-posts-threads-on-finance/) - Benn Eifert's contributions to the field of finance are impressive but can be hard to find. I've compiled links to some of his Twitter tweets below. I have also collected links to his blog posts and podcasts. Tweets Derivative Notional and Counterparty Risk Fallacy of Income from Options Sticky Delta or Sticky Strike Skew, Covariance - [No, the VIX is Not Broken](https://www.sixfigureinvesting.com/2019/09/is-the-vix-broken/) - Hardly a month goes by without some pundit trumpeting that the VIX is broken. But before you worry too much, consider some of the non-obvious characteristics of the Cboe’s Fear Gauge. I often hear people in the finance industry saying that “The VIX® is broken”. The specifics of what they say varies a lot, but - [2023 Vanguard Ex-Div & Paydates: VCIT, VCLT, VGSH, VMBS](https://www.sixfigureinvesting.com/2014/02/vanguard-ex-dividend-and-distribution-dates-vcit-vclt-vgsh-vmbs/) - Apparently, Vanguard likes to keep its ETF ex-dividend and distribution dates a secret until just a couple of days before the event. It has that old mutual fund feel to it—"we'll give you a quote after-market and allow you to buy or sell our stuff at the end of the day, otherwise go away..." As a - [2023 Ex-div & Paydate: XLB XLE XLF XLI XLK XLP XLU XLV XLY and others](https://www.sixfigureinvesting.com/2010/02/2010-ex-dividend-and-pay-date-information-fordsg-dsv-elg-elv-mtk-rwr-xlb-xle-xlf-xli-xlk-xlp-xlu-xlv-xly/) - 2023 Ex-Dividend and Pay Date information from SPDR 2023 Ex-Dividend Dates Q1 Q2 Q3 Q4 20-March 20-June 18-September 18-December 28-December (potential cap gains) Pay / Distribution Dates 23-March 23-June 21-September 18-December 03-January-2024 (potential cap gains distribution) In alphabetical order: DGT SPDR Global Dow ETF (DGT) KBE SPDR S&P Bank ETF (KBE) KCE SPDR S&P Capital - [DIA 2023 Ex-dividend and Pay date information](https://www.sixfigureinvesting.com/2010/03/2010-ex-dividend-and-pay-date-information-for-dia/) - The 2019 Ex-Dividend and Pay Date information below is based on SPDR's distribution schedule. - [2023 Ex-div & Paydates Schwab: SCHA, SCHB, SCHC, SCHD, SCHE, SCHF, SCHG, SCHH, SCHM, SCHV, SCHX, FNDF, FNDC, FNDE, SCHK, FINDB, FNDX, FDNA](https://www.sixfigureinvesting.com/2010/01/ex-dividend-dates-for-schwabs-new-commision-free-etfs-schf-scha-schv-schg-schx-schb/) - 2023 Schwab ETF Ex-Dividend and Pay date information Schwab has now published their ex-dividend / pay dates for all of their no-fee ETFs. The published dates are: Quarterly Distributions: SCHA, SCHB, SCHD, SCHG, SCHH, SCHM, SCHV, SCHX, FINDB, FNDX, FDNA 2023 Ex-Dividend Dates Q1 Q2 Q3 Q4 22-March 21-June 20-September 6-December 28-December (potential cap gains div) - [2023 PIMCO Ex-Div & Pay Dates: BOND, MINT, MUNI, HYS, TIPZ, etc.](https://www.sixfigureinvesting.com/2012/09/2012-pimco-ex-dividend-and-pay-distribution-dates-bond-mint-muni-hys-tipz/) - The 2023 Ex-Dividend and Pay Date information below is based on my estimates. I was not able to find official information from PIMCO for 2023. Monthly Paying Funds 2023 Ex-Dividend Dates (estimates) 1-Feb 1-Mar 3-Apr 1-May 1-June 3-Jul 1-Aug 1-Sept 2-Oct 1-Nov 1-Dec 12-Dec (cap gains) 29-Dec Pay / Distribution Dates (estimates) 6-Feb 6-Mar 6-Apr - [2023 Ex-Dividend Dates for iShares' IFEU, IFAS, DVYE, IFGL, IFNA, DVYA, IDV, WPS](https://www.sixfigureinvesting.com/2014/02/ex-dividend-dates-ifeu-ifas-dvye-ifgl-ifna-dvya-idv-wps/) - 2023 Ex-Dividend Dates for IFEU, IFAS, DVYE, IFGL, IFNA, DVYA, IDV, WPS International FTSE EPRA/NAREIT Funds, Dow Jones International Select Dividend, S&P Developed ex-U.S. Property Funds Based on Ishares' distribution schedule, I expect the next ex-Dividend, pay dates for these ETFs to be: 2023 Ex-Dividend Dates Q1 Q2 Q3 Q4 23-March 7-June 26-Sept 20-Dec - [2023 Ex-Dividend Dates for Russell ETFs: IWM, IWP, IWB, IWZ, IWR, IWD, IWV, IWS, IWO, IWW, IWC, IWL, IWX, IWY, IWF](https://www.sixfigureinvesting.com/2010/01/ex-dividend-dates-for-russell-etfs-iwm-iwp-iwbiwziwriwdiwviwsiwoiww-iwc/) - 2023 Ex-Dividend Dates for Russell ETFs: IWB, IWC, IWD, IWM, IWO, IWP, IWR, IWS, IWV, IWZ, IWV, IWS, IWO, IWW, IWC, IWL, IWX, IWY, IWFBased on Ishares' distribution schedule I expect the next ex-Dividend, pay dates for these ETFs to be: 2023 Ex-Dividend Dates 2022 Pay/Distribution Dates QUARTERLY DISTRIBUTION — Russell Funds IWB iShares Russell - [2023 Ex-dividend and Pay Date Information For: EEM, EFA, EPP, EWC, EWH, EWY, EWZ and others](https://www.sixfigureinvesting.com/2012/06/2013-ex-dividend-and-pay-date-information-for-eem-efa-epp-ewc-ewh-ewy-ewz-and-others/) - The 2023 Non US Ex-Dividend and Pay Date information below is based on iShares distribution schedule SEMI-ANNUAL DISTRIBUTION — Non-US/Global MSCI Funds 2022 Ex-Dividend Dates June December Potential Income Dist 7-June 20-December 28-December Pay / Distribution Dates 13-June 27-December 4-January-2024 AAIT iShares MSCI All Country Asia Information Technology Index Fund(AAIT) AAXJ iShares MSCI All Country - [2023 Ex-div. & Pay Dates: QQQ, EWEM, EWMC, EWRE, EWSC, OEW, RCD, RFG, RFV, RGI, RHS, RPG, RPV, RZG, RZV, RSP, RTM, RYE, RYF, RYH, RYT, RYU, XLG](https://www.sixfigureinvesting.com/2014/01/ex-dividend-and-distribution-dates-ewem-ewri-ewrm-ewrs-rsp-rcd-rgi-rhs-rtm-rye-ryf-ryh-ryt-ryu-rfg/) - I was unable to find any distribution schedules of the Invesco products, so these dates are just estimates. Invesco Quarterly Equity ETFs for Invesco's QQQ and ADRE 2023 Ex-Dividend Dates (estimates) Q1 Q2 Q3 Q4 22-March 21-June 20-Sept 20-Dec Pay / Distribution Dates (estimates) 31-March 3-July 2-Oct 29-Dec Ex-Dividend Dates for Invesco's: EWEM, EWMC, EWRE, - [AMLP: 2023 Ex-dividend & Pay Date Info](https://www.sixfigureinvesting.com/2014/01/ex-dividend-and-pay-date-information-for-amlp/) - 2019 Alerian AMLP ETF Quarterly Ex-dividend & Distributions Dates - [2023 Ex-Div & Paydates Schwab: FNDB, FNDX, FNDA](https://www.sixfigureinvesting.com/2014/01/schwab-monthly-etf-ex-dividend-and-distribution-dates-fndb-bnda-fndx/) - 2023 Schwab ETF Ex-Dividend and Pay date information Schwab has now published their ex-dividend / pay dates for all of their no-fee ETFs. The published dates are: Quarterly Distributions: FINDB, FNDX, FNDA 2023 Ex-Dividend Dates Q1 Q2 Q3 Q4 22-March 21-June 20-September 6-December 28-December (potential cap gains div) Pay / Distribution Dates 27-March 26-June 25-September 11-December 3-January-2024 - [2023 Ex-Div & Dist: VAW, VDE, VGT, VCR, VDC, VHT, VIS, VOX, VTIP](https://www.sixfigureinvesting.com/2012/01/ex-dividend-pay-dates-vaw-vde-vot-vbk-vgt/) - Apparently, Vanguard likes to keep their ETF ex-dividend and distribution dates a secret until just a couple of days before the event. It has that old mutual fund feel to it—"we'll give you a quote after-market and allow you to buy or sell our stuff at the end of the day, otherwise go away..." As - [2023 Ex-dividend and Pay Dates: VO, VOT, VB, VBR, VBK, VOE, VXF](https://www.sixfigureinvesting.com/2012/05/2012-ex-dividend-and-pay-dates-vo-vot-vb-vbr-vbk/) - Apparently, Vanguard likes to keep their ETF ex-dividend and distribution dates a secret until just a couple days before the event. It has that old mutual fund feel to it—"we'll give you a quote after-market and allow you to buy or sell our stuff at the end of the day, otherwise go away..." As a result, - [2023 Ex-div & Paydates: VT, VWO, VGK, VEU, VSS, VNQI, VEA, VPL, VXUS, EDV, MGV, MGC, VPU](https://www.sixfigureinvesting.com/2010/10/ex-dividend-pay-dates-vwo-vgk-veu-vss-vnqi-vea-vgk-vpl-vxus-vt/) - Apparently, Vanguard likes to keep their ETF ex-dividend and distribution dates a secret until just a couple days before the event. It has that old mutual fund feel to it—"we'll give you a quote after-market and allow you to buy or sell our stuff at the end of the day, otherwise go away..." As a result, - [2023 Ex-dividend and Distribution Dates: VIG, VTI, VTV, VV, VYM](https://www.sixfigureinvesting.com/2010/02/ex-dividend-pay-dates-vig-vti-vtv-vv-vym/) - Vanguard Ex-dividend and Pay Dates VIG, VTI, VTV, VV, VYM - [2023 Ex-dividend and Distribution Dates:  VFH, VNQ, VUG, VOO](https://www.sixfigureinvesting.com/2011/01/ex-dividend-pay-dates-vfh-vnq-vug-voo/) - Apparently Vanguard likes to keep their ETF ex-dividend and distribution dates a secret until just a couple days before the event. It has that old mutual fund feel to it—"we'll give you a quote after-market and allow you to buy or sell our stuff at the end of the day, otherwise go away..." As a result, - [2023 Vanguard Ex-Dividend and Distribution Dates: BND, BSV, VGLT, BIV, VCSH](https://www.sixfigureinvesting.com/2011/05/ex-dividend-pay-bnd-bsv-vglt-biv-vcsh/) - Apparently, Vanguard likes to keep their ETF ex-dividend and distribution dates a secret until just a couple of days before the event. It has that old mutual fund feel to it—"we'll give you a quote after-market and allow you to buy or sell our stuff at the end of the day, otherwise go away..." As - [2023 Ex-Div & Paydates Schwab: SCHP, SCHO, SCHR, SCHZ, SCHJ, SCHI, SCHQ](https://www.sixfigureinvesting.com/2012/10/2013-schwab-monthly-etf-ex-dividend-and-distribution-dates-schp-scho-schr-schz/) - The 2019 Ex-Dividend and Pay Date information below is based on Schwab's distribution schedule. - [2023 Ex-div& Paydate: IJH IJJ IJK IJR IJS IJT ISI IVE IVV IVW OEF HDV](https://www.sixfigureinvesting.com/2010/02/2010-ex-dividend-and-pay-date-information-for-dvy-ijh-ijj-ijk-ijr-ijs-ijt-isi-ive-ivv-ivw-oef/) - 2023 Ex-Dividend Dates for: IGE, IGV, IGM, IGN, IJH, IJJ, IJK, IJR, IJS, IJT, ITOT, IVE, IVV, IVW, OEF, SOXX The Ex-Dividend and Pay Date information below is based on Ishares distribution schedule. iShares® Exchange Traded Funds - S&P Domestic, S&P North American and PHLX Funds 2023 Ex-Dividend Dates Q1 Q2 Q3 Q4 23-Mar 7-Jun - [2023 Ex-div & Paydate: DVY, IDU, IHE, IHF, IHI, IYC, IYE, IYF, IYG, IYH, IYK, IYM, IYR, IYT, IYZ, IEZ and Others](https://www.sixfigureinvesting.com/2010/03/2010-ex-dividend-and-pay-date-information-for-dvy/) - 2023 Ex-Dividend Dates for: DSI, DVY, IAI, IAK, IAT, IDU, IEO, IEX, IHE, IHF, IHI, ITA, ITB, IYC, IYE, IYF, IYG, IYH, IYK, IYM, IYR, IYT, IYW, IYJ, IYY, IYZ, KLD The 2023 Ex-Dividend and Pay Date information below is based on iShares distribution schedule. Dow Jones Domestic and MSCI Funds 2023 Ex-Dividend Dates Q1 - [2023 Ex-Dividend & Paydate / Distribution information for ETFs](https://www.sixfigureinvesting.com/2010/02/dividend-ex-dividend-and-paydate-distribution-information-for-etfs/) - I have collected dividend, ex-dividend, paydate/ distribution information for 2023 on the following ETFs. Alerian AMLP Invesco Quarterly Group I: EWEM EWMC EWRE EWSC OEW RCD RFG RFV RGI RHS RPG RPV RZG RZV RSP RTM RYE RYF RYH RYT RYU XLG iShares iShares: AGG CMF CSJ HYG IEF IEI IGOV ISHG LQD PFF SHV - [2023 Ex-dividend and Pay date information for AGZ, CFT, CIU, EMB, GBF, GVI, MBB, MUB, NYF, SUB, MUAE, MUAG](https://www.sixfigureinvesting.com/2010/03/2010-ex-dividend-and-pay-date-information-for-agz-cft-ciu-emb-gbf-gvi-mbb-mub-nyf-sum-muaa-muab-muac-muad-muae-muag/) - The 2023 Ex-Dividend and Pay Date information below is based on Ishares distribution schedule. MONTHLY DISTRIBUTION — BlackRock, Bloomberg Barclays, iBoxx, JPMorgan 2023 Ex-Dividend Dates 1-Feb 1-Mar 3-Apr 1-May 1-Jun 3-Jul 1-Aug 1-Sep 2-Oct 1-Nov 1-Dec 14-Dec Pay / Distribution Dates 7-Feb 7-Mar 7-Apr 5-May 7-Jun 10-Jul 7-Aug 8-Sep 6-Oct 7-Nov 7-Dec 20-Dec AGZ - [2023 Ex-Div & Paydates: AGG AGZ CFT CIU CMF CSJ EMB GBF GVI HYG IEF IEI IGOV ISHG LQD MBB MUB NYF PFF SHV SHY SUB TIP TLH TLT](https://www.sixfigureinvesting.com/2010/01/next-ex-dividend-date-agg-agz-cft-ciu-cmf-csj-emb-gbf-gvi-hyg-ief-iei-igov-ishg-lqd-mbb-mub-nyf-pff-shv-shy-sub-tip-tlh-tlt/) - The 2023 Ex-Dividend and Pay Date information below is based on iShares distribution schedule. MONTHLY DISTRIBUTION — BlackRock, Bloomberg Barclays, iBoxx, JPMorgan 2023 Ex-Dividend Dates 1-Feb 1-Mar 3-Apr 1-May 1-Jun 3-Jul 1-Aug 1-Sep 2-Oct 1-Nov 1-Dec 14-Dec 28-Dec (possible cap gain dist) Pay / Distribution Dates 7-Feb 7-Mar 7-Apr 5-May 7-June 10-July 7-Aug 8-Sept 6-Oct - [2023 Ex-div & Paydate: SLYG, SLYV, SPYG, DGT, SLY, SDY, VLU, and others](https://www.sixfigureinvesting.com/2012/10/ex-dividend-and-pay-date-information-for-mtk-slyg-slyv-spyg-dgt-sly-sdy-xrt-dwx/) - The 2023 Ex-Dividend and Pay Date information below is based on data from SPDR referenced in this post. 2023 Ex-Dividend Dates Q1 Q2 Q3 Q4 20-March 20-June 18-September 18-December 28-December (potential capital gains) Pay / Distribution Dates 23-March 23-June 21-September 21-December 3-January-2024 (potential capital gains) In alphabetical order: DGT SPDR Global Dow ETF (DGT) KBE - [2023 Ex-Div: JNK, SJNK, BIL, ITE, TLO, IPE, LAG, TFI, SHM, BMX, WIP, MBG, MWZ, CWB, and Others](https://www.sixfigureinvesting.com/2009/11/ex-dividend-dia-jnk-bil-ite-tlo-ipe-lag-tfi-cxa-iny-shm-bmx-wip-mbg-itr-mwz-lwc-cwb-vrd/) - 2023 Ex-Dividend and Pay Date information from SPDR referenced in this post. 2023 Ex-Dividend Dates 1-Feb 1-Mar 3-Apr 1-May 1-Jun 3-Jul 1-Aug 1-Sep 2-Oct 1-Nov 1-Dec 18-Dec 28-Dec (Potential Excise Distribution) Pay / Distribution Dates 7-Feb 7-Mar 7-Apr 5-May 7-Jun 7-Jul 7-Aug 8-Sep 6-Oct 7-Nov 7-Dec 22-Dec 4-Jan-2024 (Potential Excise Distribution) BABS SPDR Nuveen Barclays - [Benn Eifert's Podcasts on Finance](https://www.sixfigureinvesting.com/2023/01/benn-eiferts-podcasts-on-finance/) - Benn Eifert's contributions to the field of finance are impressive but can be hard to find. I've compiled links to some of his podcasts below. I've collected links to some of his tweets and blog posts also. Podcasts Keeping it Simple on the Road on (Simplify Asset Management) Trading Volatility in Volatile Markets on (nextSignals) - [Benn Eifert's Blog Posts on Finance](https://www.sixfigureinvesting.com/2023/01/benn-eiferts-blog-posts-on-finance/) - Benn Eifert's contributions to the field of finance are impressive but can be hard to find. I've compiled links to some of his blog posts below. I've collected links to some of his tweets and podcasts also. Posts to Noahpinion Blog The Uphill Battle Women Still Face In High Finance On Bullshit in Investing CAIA - [How to short VXX—the hard way and the easy way](https://www.sixfigureinvesting.com/2010/11/how-to-short-vxx/) - Easy way: If you want to short VXX the simplest way is to buy Volatility Share's SVIX. This Exchange Traded Funds tracks -1X the daily percentage moves of VXX so it isn't a true short, but it has the same goal—going up when VXX goes down. They carry annual investment fees (SVXY's is 1.35%), which - [Going short on VIX?](https://www.sixfigureinvesting.com/2010/04/going-short-on-vix/) - Unlike the S&P 500 or Dow Jones Index, there is no way to directly invest in the VIX index. I’m sure some really smart people have tried to figure out how to go long or short on this computed volatility index, but there's just no way to do it directly. Instead, you have to invest - [Trading the CBOE's SPX AM and PM settled Options](https://www.sixfigureinvesting.com/2012/04/trading-spxpm-options/) - If you need options on the S&P 500 the CBOE's SPX series is one of the most popular solutions in the marketplace. The CBOE continues to enhance this product with additional expirations—the latest being the addition of options expiring on Tuesday and Thursday afternoons in the spring of 2022. These products were immediately successful. With - [Modified Ned Davis Method—Breadth Divergence April 2016, by Frank Roellinger](https://www.sixfigureinvesting.com/2016/04/guest-post-modified-ned-davis-method-april-2016-by-frank-roellinger/) - Over the years I have developed a lot of respect for the condition of breadth divergence, when an index such as the S&P 500 is rising and the NYSE daily cumulative advance-decline line is not. In January 2016 I listed the performance of my method on the short side as a function of the number - [Guest Post: Short "Sweet Spot" Approaching, Jan 2016? —by Frank Roellinger](https://www.sixfigureinvesting.com/2016/01/guest-post-short-sweet-spot-approaching-by-frank-roellinger/) - Probably the most difficult thing to do in stock market investing is to identify a good time to sell. Many technical indicators have been devised to identify lows around the time they occur or soon thereafter with a moderate degree of success, but to my knowledge that has not happened for tops with comparable success. - [Guest Post: Breath Divergence Nov 2016—Signaling the End of a Bull Market? By Frank Roellinger](https://www.sixfigureinvesting.com/2016/11/breath-divergence-signals-end-bull-market/) - Much has been written since the election about the stock market's future. I have long been convinced that certain hard, cold measures of the market are of far more value in estimating the market's future than qualitative speculation based on political or economic developments. The most important consideration for a long-term investor arguably is the - [Monthly and Yearly Decay Rates for Long Volatility Funds](https://www.sixfigureinvesting.com/2016/06/monthly-yearly-decay-rates-contago-losses-vxx-uvxy-vxx-vixy/) - 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. - [Why Arbitrage is Essential For Exchange Traded Products](https://www.sixfigureinvesting.com/2022/07/arbitrage-in-etf-etn-share-closed-creation-redemptions/) - Arbitrage processes associated with Exchange Traded Products are normally invisible to investors but are essential for ETPs to trade as they are intended. This post describes these arbitrage processes in detail and explains how they can (and have) gone wrong. Exchange Traded Products (ETPs) enable stock-like trading of collections of securities that would be more - [How Does VXUP / VXDN’s Corrective Distribution Work?](https://www.sixfigureinvesting.com/2015/06/how-does-vxup-vxdn-corrective-distribution-work/) - It’s now clear that the VXUP/VXDN naysayers were right—the actual behavior of these funds is nowhere close to Accushares’ claim that “VXUP and VXDN are the first securities to offer direct “spot” exposure to the CBOE Volatility Index® (VIX).” Accushares has said nothing publicly about the poor behavior of the funds. Their only response has been - [Trading ETFs Without Getting Fleeced](https://www.sixfigureinvesting.com/2012/01/trading-etfs-without-getting-fleeced/) - There are over 2800 ETFs right now, with more in registration. This explosion of alternatives is great for driving down fees and giving investors choices. However once we figure out what we want to buy, we often discover the fund we chose is lightly traded—perhaps only hundreds of shares are traded on any given day. - [Is Shorting UVIX, UVXY, or VXX the Perfect Trade?](https://www.sixfigureinvesting.com/2016/10/is-shorting-uvxy-tvix-vxx-the-perfect-trade/) - Long term charts of 2X UVIX, 1.5X UVXY, or VXX suggest they are perfect candidates for shorting, but there are risks you should be aware of and alternatives to consider. The charts for long volatility Exchange Traded Products (ETP) like Volatility Shares' UVIX, Barclays’s VXX, and ProShares’ 1.5X levered UVXY are astonishing. I’m not aware - [Backtests for Popular Long & Short Volatility Exchange Traded Products](https://www.sixfigureinvesting.com/2013/09/backtests-for-volatility-etn-etf/) - 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 - [How to Vaporize $277 Million in Market Capitalization](https://www.sixfigureinvesting.com/2012/03/how-to-vaporize-277-million-in-market-capitalization/) - Wednesday night, March 21, 2012, I was wondering if there was a graceful way for Credit Suisse to restore TVIX to working order and get its share creation process working again. The Wednesday close was $14.43, roughly 2X the $7.62 indicative value (IV) giving a market capitalization of $587 Million. The correct market cap, - [How Does UVXY Work?](https://www.sixfigureinvesting.com/2015/03/how-does-uvxy-work/) - UVXY tracks a mix of VIX futures, not the VIX directly. While VIX futures settle to the VIX at expiration they aren't constrained by the VIX's value before that - [How Does ProShares' SVXY Work?](https://www.sixfigureinvesting.com/2016/08/how-does-svxy-work/) - Just about anyone who’s looked at a multi-year chart for a long volatility fund like Barclays' VXX has thought about taking the other side of the trade. ProShares’ SVXY is an Exchange Traded Fund (ETF) that allows you to bet against funds like VXX while avoiding some of the issues associated with a direct short. - [Calculating VIXMO—the Easy Part](https://www.sixfigureinvesting.com/2013/05/calculating-vix-the-easy-part/) - Update: On October 6th, 2014 the CBOE changed the calculation method for the VIX to include SPX weekly options, the old VIX calculation is still being reported using the VIXMO (VIX Month Only) ticker. The new calculation uses the VIX ticker. For more on the new calculation see "Calculating the New VIX". The movements of - [Graphical VIX calculation & Term Structure](https://www.sixfigureinvesting.com/2014/11/graphical-vix-vixmo-calculation/) - The chart below graphically represents the calculation for the Cboe's VIX® with near-real-time (20-minute delayed) data, The actual VIX is located on the black dotted line in the left-center of the graph. Click here for a larger snapshot for 12-Nov-2014. The VIX now uses interpolation between two VIX style calculations (VIN and VIF) on SPX options - [How to go long on the VIX index](https://www.sixfigureinvesting.com/2010/01/how-to-go-long-on-the-vix-index-2/) - Unlike the S&P 500 or Dow Jones Industrial Index, there's no way to directly invest in the CBOE's VIX® index. Some really smart people have tried to figure out a way, but there’s just no way to do it directly with something like a VIX index fund. Instead, you have to invest in a security that - [Quarterly Update Service](https://www.sixfigureinvesting.com/2011/02/quarterly-update-service/) - This service provides quarterly email updates of selected spreadsheets that you have purchased from Six Figure Investing. The updates will be sent out around the second week of January, April, July, and October. The spreadsheets will be updated to at least the last trading day of the previous quarter, any splits / reverse splits will - [Ex-Dividend Info: Alerian, iShares, PIMCO, Schwab, & SPDR ETFs](https://www.sixfigureinvesting.com/2010/02/ex-dividend-archive-information-spdr-ishares/) - Below I have provided links to the 2021 website links for dividend distribution schedules for various Exchange Traded Product (ETP) providers. For historical dividend information, I recommend the Dividend Investor site. Alerian website link for dividend declaration, ex-dividend, record, and distribution dates (Fund Distributions, Current Year) Invesco website link with ex-dividend and pay information. iShares website - [Ten Questions About Short Selling](https://www.sixfigureinvesting.com/2014/03/short-selling-securities-selling-short/) - We don’t have good metaphors to help us understand the short-selling of equities. It’s easy to understand a straight “long” investment. For example, planting a garden is a reasonable analogy—it involves buying seeds, planting them, and in due time there is a payoff—or not. But in real life people rarely borrow something, immediately sell it, - [How do Leveraged ETFs Work?](https://www.sixfigureinvesting.com/2012/03/under-the-hood-of-a-leveraged-etf/) - At one point I was hazy about the internal workings of leveraged and inverse ETFs, so I constructed models of hypothetical 2X and -1X Apple ETFs to clarify my understanding. I ignored a whole host of issues (e.g., regulatory, cost-effective leverage), but even a simple model of a leveraged ETF can hurt your brain. The - [TVIX's Last Reverse Split, Number 7—December 2nd, 2019](https://www.sixfigureinvesting.com/2013/08/tvix-reverse-split/) - Update Effective July 2nd, 2020 TVIX stopped trading on national exchanges (press release). The issuer, Credit Suisse (CS) halted share creations effective July 3rd, 2020 but is not terminating the fund. They reserve the right to do so but don’t have to until 2030. TVIX is currently trading on OTC exchanges, e.g., OTCMarkets.com and is currently trading - [Short Term VIX Futures Growing 43% per Year—At Least](https://www.sixfigureinvesting.com/2012/06/short-term-vix-futures-growing-at-43-per-year-at-least/) - Last week the CBOE's VIX futures set some new volume records. While volume is interesting, I think the real story is the open interest of VIX futures contracts. Is the volume just churn, or are VIX futures contracts being created or eliminated? Since raw volatility is tough to buy, VIX futures market makers - [Computing Volatility Indexes With VIX Futures](https://www.sixfigureinvesting.com/2013/01/computing-volatility-indexes/) - Using the Cboe's VIX futures historic data and interpolations/extrapolations for contracts that were not traded I developed a continuous time series for 7 months of VIX futures settlement values. I then used that data, plus treasury bill data to compute the indexes that underly the popular long and short volatility Exchange Traded Products (ETPs) - [Free Bitcoin/Bitcoin ETF/Bitcoin Futures/GBTC Quotes, Charts, & Historical Data](https://www.sixfigureinvesting.com/2017/12/free-bitcoin-futures-quote-charts-btc-xbt/) - BITCOIN ETF, BITO, - [Volatility ETP Price Projection Service](https://www.sixfigureinvesting.com/2018/08/volatility-etp-projection-from-stable-vix-future-term-structure/) - I am offering a Volatility ETP Projection Service that calculates future volatility Exchange Traded Product (ETP) prices assuming the current VIX futures term structure is stable. In my post Using the VIX Futures Term Structure to Predict Volatility ETP Prices, I show how this approach can be used to produce statistically valid ETP price projections and ranges. - [1.5X UVXY & -0.5X SVXY Open/High/Low/Close values starting March 2004](https://www.sixfigureinvesting.com/2018/05/1-5x-uvxy-0-5x-svxy-open-high-low-close-values-march-2004-march-2018/) - Some volatility trading systems use intra-day open, high, low (OHL) prices as part of their algorithms for determining when to trade. UVXY and SVXY didn’t start trading until late 2011—just after the 2011 correction and well past the 2008/2009 bear market so there's no actual trade data from those important downturns. To fill that deficiency - [CBOE Volatility Index (VIX) Futures data 2004 - Recent](https://www.sixfigureinvesting.com/2010/12/volatility-futures-worksheet/) - The CBOE posts historical volatility futures quotes, but not in a particularly helpful organization. Each expiration month has a separate spreadsheet, which currently adds up to > 100 different spreadsheets from May 2004 to now. Adding to the difficulties, there are four expiration months in the early years that didn't exist at all that led - [SPY Ex Dividend Dates](https://www.sixfigureinvesting.com/2010/03/spy-march-2010-dividend-0-48038/) - For the next SPY ex-dividend date and estimated dividend go here. SPDR's 19-Mar-2010 dividend update reportsSPY's March 2010 dividend as $0.48 (I had estimated $0.52). The pay date will be 30-April-2010. The ex-dividend date is today, 19-March-2010. - [Backtest of VXX Volatility ETN From 2004 Including Yearly Fees](https://www.sixfigureinvesting.com/2013/11/backtest-on-vxx/) - Volatility based Exchange Traded Funds and Notes (ETF / ETN) have only been on the market for a few years (see volatility tickers for the full list of USA based funds). The oldest one, Barclays' VXX only started trading in late January 2009. Because of their relative youth, we don't have actual trade data - [Simulating Volatility ETP Open and Intraday High / Low Values](https://www.sixfigureinvesting.com/2014/09/simulating-open-high-low-vxx-vixy-tvix-uvxy-xiv-svxy/) - Previously I’ve done simulations, based on VIX futures, of volatility Exchange Traded Products (ETPs) back to 2004. In these simulations, I only generated the closing values, but since then I’ve had requests for open/high/low (OHL) values. I've extended my backtests to generate ETP opening and intraday highs and lows for many of the short and - [Calculating a VIX6M Style Index back to 1990 Reveals Some Volatility Trends](https://www.sixfigureinvesting.com/2020/02/historic-vix6m-data-back-to-1990/) - The Cboe’s VIX®, VIX3Msm (93-day), and VIX6Msm (184-day) indexes enable us to quantify volatility term structures but until now, historical analyses between VIX style indexes have been limited to dates after December 2001 in the case of VIX3M and January 2008 for VIX6M. This post introduces the results of VIX6M style calculations back to 1990 - [SPY dividend capture strategies that don't work...](https://www.sixfigureinvesting.com/2010/03/spy-dividend-capture-strategies-that-dont-work/) - Some SPY dividend capture strategies I don't recommend: 1. Sell SPY short right before closing the day before ex-dividend Rationale: Securities tend to drop by about the dividend amount when trading begins (pre-open trading) Problem: The buyer that bought the stock from you deserves the dividend and the loaner that loaned you the stock you - [Twists and turns in converting a traditional IRA to a Roth](https://www.sixfigureinvesting.com/2010/02/twists-and-turns-in-converting-a-traditional-ira-to-a-roth/) - The change of the tax laws to allow everyone to convert their traditional IRAs into ROTH IRAs in 2010 was a nice present to the tax advisor community. The issues with this one were nearly enough to make even me, a die hard do-it-yourselfer, seek professional advice. Instead of paying for advice, I called - [Goodbye VXX, Hello VXXB](https://www.sixfigureinvesting.com/2018/12/vxx-maturity-vxxb-replacement/) - Update 2-May-2019 As Eli Mintz of VIX Central predicted, Barclays changed the tickers for VXXB and VXZB back to VXX and VXZ. This change is effective 2-May-2019. As I note below in the post, Barclays has done this sort of thing before to preserve the branding of a popular product. I doubt the ticker changes - [ProShares' SVXY and UVXY](https://www.sixfigureinvesting.com/2011/10/proshares-introduces-competitors-to-velocityshares-xiv-and-tvix/) - ProShares was the first Exchange Traded Fund (ETF) provider for volatility based funds. The previous volatility entries from Barclays (e.g., VXX & VXZ) were all Exchange Traded Notes (ETN). Click on the underlined ETF / ETN for discussions on how these types of securities work. Proshares has done well and currently has the most assets - [Review of StreetSmart Edge](https://www.sixfigureinvesting.com/2011/04/review-of-streetsmart-edge/) - Review Streetsmart Edge (SSE) can be launched/downloaded from the Schwab website. Schwab has made StreetSmart Edge available to all account holders. A call to their helpline (800-435-9050) is required to set it up. If you want to run SSE on an underpowered computer, are having performance problems, or want to run on a Mac check - [If There's Liquidity It's Not A Short Squeeze](https://www.sixfigureinvesting.com/2013/10/volatility-short-squeeze/) - 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 - [Earn 2%-3% Per Week Trading Options? The Catch…](https://www.sixfigureinvesting.com/2013/06/earn-2-3-per-week-trading-options-the-catch/) - Update Trade Options Weekly no longer appears to be around, but there are people still providing the same basic strategy (e.g, 5Percent{PerWeek.com). Be aware these are high risk strategies Original Post If you do any amount of browsing on stocks and options you’ve seen ads for services that tout weekly percentage gains of several - [Scaling the Sharpe & Sortino Ratios For Daily Returns](https://www.sixfigureinvesting.com/2013/09/daily-scaling-sharpe-sortino-excel/) - 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 - [Trading in IRA accounts, and avoiding "free riding"](https://www.sixfigureinvesting.com/2010/01/trading-in-ira-accounts-and-avoiding-free-riding/) - As much as possible I try to trade in my IRA accounts—in order to defer taxes of course. It is a bit counter-intuitive to be doing more speculative activities in a retirement account, but this approach supports my goals: Achieving good returns With reasonable risks While compounding growth If your money is in Roth accounts, - [Free option charts](https://www.sixfigureinvesting.com/2010/03/free-option-charts/) - I have only found one site that offers completely free option charts for stocks, Exchange Traded Products, and indexes: BigCharts. I provide more information about it below. Recently Schwab (StreetSmart Pro) and Fidelity (Active Trader Pro and standard web site) have started offering option charts to customers, but they require you to at least setup - [Six Figure Investing—an Overview](https://www.sixfigureinvesting.com/2009/11/six-figure-investing-overview/) - The live action is over on the blog tab, but you might be interested in some of the most popular posts I’ve written over the last four years. Trading in an IRA and Avoiding "Free Riding" Taming Inverse Volatility WIth a Simple Ratio Top 15 Questions about Trading in an IRA Top 10 Questions about Dividends Ex-Dividend - [Free VIX option quotes, understanding European exercise on VIX options](https://www.sixfigureinvesting.com/2010/05/free-vix-option-quotes-understanding-european-exercise-on-vix-options/) - Free delayed VIX option quotes are available from: CBOE (Symbol VIX, enter symbol in quote field on left side of the page), check "list all options" radio button and submit Yahoo provides VIX index quotes (symbol ^VIX) and options quotes. The VIX option symbols listed in the CBOE option chains have an "-e" at the end. - [Taming Inverse Volatility with a Simple Ratio](https://www.sixfigureinvesting.com/2012/09/taming-inverse-volatility-with-a-simple-ratio/) - Update This article was first posted in September 2012. The strategy outlined below worked well until August 2013 and then basically went sideways for over 3 years before perking up again in 2017—when virtually any short volatility strategy worked. I've updated the chart and the verbiage to reflect those changes. In September 2017 the Cboe - [A Covered Call That's Long Volatility](https://www.sixfigureinvesting.com/2012/01/a-covered-call-position-thats-long-volatility/) - Covered calls are an example of positions that are short volatility. I hadn't thought of it that way until Sheldon Natenburg, the author of Option Volatility & Pricing pointed that out in a fascinating interview in Expiring Monthly. A covered call position is profitable if the underlying equity stays the same or goes up, but in - [How ETFs work](https://www.sixfigureinvesting.com/2010/02/how-etfs-work/) - This article in etf.com does a very nice job of explaining how ETFs manage to track their net asset value (NAV). It is a two-tiered market. Ordinary investors buy and sell on the exchanges. If the value of an ETF (for example SPY), wanders too far off from the price of the underlying stocks (the - [VIX Option and Futures Expiration Dates](https://www.sixfigureinvesting.com/2010/01/vix-option-expiration-dates-2010/) - Upcoming expiration dates for monthly VIX options and futures—they expire at market open on the same days can be found in this free spreadsheet. The settlement price is not the same as the VIX open price. The settlement price is listed under the VRO ticker and reflects the result of a process (HOSS) managed by - [Investing ideas for March: Oil, SPY, Dividend capture, VIX](https://www.sixfigureinvesting.com/2010/02/investing-ideas-for-march-oil-dividend-capture-vix/) - Looking forward to some possibilities in March: Oil (EFT USO) -- I'm bearish right now at 38. I will probably jump back in with covered calls if it drops to the 36 range. . SPY -- I'm bearish now. Will probably jump back in with covered calls if SPY drops to around 106. . Monday March - [Greed takes a holiday](https://www.sixfigureinvesting.com/2010/01/greed-takes-a-holiday/) - I believe the best way to understand the ebb and flow of the market is to view it as the interplay of fear and greed. Of course, economics are important, but I view human psychology as even more fundamental to the movements of the market. Tonight fear has the upper hand. US markets have - [DIA dividend history](https://www.sixfigureinvesting.com/2010/04/dia-dividend-history/) - Ex-dividend and pay / distribution information for DIA is here. If you would like the dividend history for another security, see this post. - [Don't look for V shaped recovery here](https://www.sixfigureinvesting.com/2011/08/dont-look-for-v-shaped-recovery-here/) - It's tempting to look for a fast recovery for a market blow-off like this that doesn't have any obvious big economic drivers. But it's rare to see "V" shaped recoveries when fear gets this high. I'm expecting the market will need to form a bottom here before there can be a sustained rally. - [February VIX options expire -- fear takes a bite](https://www.sixfigureinvesting.com/2010/02/february-vix-options-expire-fear-takes-a-chunk/) - February VIX options expired today. The settlement price (ticker VRO/$VRO/^VRO) was 22.50. The VIX index opened at 22.25. With this settlement price I ended up losing .35 per call on my VIX spread. Things could have been much worse--I could have lost up to 2.85 with the spread. I certainly didn't - [SPY -- still on the trend line, just quieter](https://www.sixfigureinvesting.com/2010/01/spy-still-on-the-trend-line-just-quieter/) - Early last December I thought the S&P 500 had shifted from an upward trend line to a sideways trading --I was wrong. Things are clearly still on the long term trend line, the only difference being that the volatility has really dropped. Volume has been low--clearly a lot of people are on the - [XIV looks like a winner—if you have the stomach for it...](https://www.sixfigureinvesting.com/2011/01/xiv-performance/) - VelocityShares' daily inverse volatility fund XIV has only been around since November 30th, 2010, but it has already delivered in a head turning 44% gain. This performance is not totally surprising given the collapse of VXX in the last two months, but how would it have behaved in less favorable times—let's say the Flash Crash? - [Taking XVIX back 5 years](https://www.sixfigureinvesting.com/2011/01/taking-xvix-back-5-years/) - There is an interesting post in Volatility Futures and Options that projects XVIX performance back 5 years. It addresses a couple of things more analytically than I did in my recent post. Specifically how did UBS pick the 0.5 short factor it uses with short term volatility, and how stable has that factor been over - [Computing the leverage of CVOL compared to the VIX index](https://www.sixfigureinvesting.com/2010/12/computing-the-leverage-of-cvol-compared-to-the-vix-index/) - Any strategy that hopes to offset down days in the market with volatility products that go up on those same days needs to figure out how much leverage the volatility product provides. A little calculation produced the equation below for computing the expected price of Citigroup's CVOL from the VIX index quote: (VIX - - [Graphical Representation of CBOE's VIXMO Calculation (Redirected)](https://www.sixfigureinvesting.com/2013/07/vix-term-structure-graph/) - The dynamically updated chart above uses delayed quotes from Google Finance. It details the interpolation / extrapolation process that computes the 30 day VIXMO from two close-in months of SPX options (VINMO and VIFMO). This calculation is the legacy version of the VIX that was used from 23-Sept-2003 through 5-Oct-2014. On October 6th, 2014 the - [USA Volatility Funds Categorized and Ranked](https://www.sixfigureinvesting.com/2012/12/usa-volatility-funds-categorized-and-ranked/) - It’s been over 10 years since VXX, the first volatility exchange-traded product arrived on the market. Since then 36 additional funds, using both Exchange Traded Notes (ETNs) and Exchange Traded Funds (ETFs) structures have been introduced. Terminations and closures have whittled that list down to 17 (as of 23-May-2019). The remaining funds can be segmented - [DIA Dividend Capture Using XVZ as a Hedge](https://www.sixfigureinvesting.com/2012/02/dia-dividend-capture-using-xvz-as-a-hedge/) - DIA goes ex-dividend next Friday the 17th. The dividend history on this ETF (see below) suggests that the dividend will be around $0.30 per share. I put a dividend capture position in place buying DIA at 128.68 and selling-to-open the 18-Feb S127 calls for 2.09 for a net debit of 126.59. The calls - [A Volatility Spike Barclays' XVZ Would Have Missed](https://www.sixfigureinvesting.com/2012/02/a-volatility-spike-barclays-xvz-would-have-missed/) - February 27, 2007, currently holds the biggest daily percentage jump record in the VIX index's history (the VIX didn't come out until after the 1987 crash). The VIX jumped from a 11.15 close the previous day to 18.31 —a 59% jump. Normally I would expect a volatility strategy fund like XVZ or, VQTto perform very well - [Whopper splits coming up for VelocityShares' XIV and ZIV](https://www.sixfigureinvesting.com/2011/06/whopper-splits-coming-up-for-velocityshares-xiv-and-ziv/) - Evidently the folks at VelocityShares decided that the shares of their inverse volatility offerings were way too pricey, because they are splitting their short term fund, XIV ten to one, and their medium term fund, ZIV by eight to one. Based on today's closing prices of 167 for XIV and 132 for ZIV, they will - [Hedging 7-10 year Treasure bonds with Barclays' DTYS](https://www.sixfigureinvesting.com/2011/03/hedging-7-10-year-treasure-bonds-with-barclays-dtys/) - This morning I took the plunge, buying equal amounts of IEF (93.10) and DTYS (52.95) this morning, with the goal of getting a low risk return of 1.7% annualized return or better. Before I bought I was surprised / dismayed to see that DTYS had fallen more per share than IEF had risen—casting doubt - [IEF + DTYS: A low risk hedge with dividends?](https://www.sixfigureinvesting.com/2011/03/low-risk-hedge-with-dividends/) - I continue to evaluate (and invest in) a hedge position created by going long both IEF, Barclays 7 to 10 year treasury ETF and DTYS, Barclays' iPath® US Treasury 10-year Bear ETN. The net position, holding equal shares of both securities should yield around 1.7% annually, and since I'm willing to bet that interest rates - [Schwab joins the CBOE Weeklys crowd](https://www.sixfigureinvesting.com/2011/01/schwab-weeklys-options/) - With no fanfare whatsoever Schwab has added support for weekly and quarterly options on all of their current trading platforms: Schwab.com, StreetSmart Pro, and StreetSmart.com. I thought we would have to wait for the new StreetSmart Edge. See this link for CBOE's currently offered weekly options. At least on StreetSmart Pro the option greeks - [Barclays' inverse volatility ETN: IVOP](https://www.sixfigureinvesting.com/2011/09/barclays-introduces-ivop/) - The termination of IVO left a hole in Barclays' inverse volatility ETN lineup. It still has XXV, but its leverage is only around 0.25 right now, so they needed a higher leverage solution that can compete with the likes of UBS' AAVX, or VelocityShares' XIV—which always give 1X daily leverage. IVOP had an inception - [Barclays' IVO bites the dust](https://www.sixfigureinvesting.com/2011/09/barclays-ivo-bites-the-dust/) - IVO, one of Barlays' inverse volatility ETNs terminated today when it briefly dipped below its $10 termination value. The automatic redemption value will be $11.8024 next Monday, the 19th. IVO was designed to behave as a true short of the short term volatility index SPXVSP ( fundamentally the same index that VXX tracks). This approach - [iShare and SPDR dividend history](https://www.sixfigureinvesting.com/2011/12/ishare-and-spdr-dividend-history/) - Redirected to dividend overview page If the stock / ETF you are looking for is not an iShare or SPDR ETF then I recommend Dividend Investors website for dividend history information. Tickers supported AAXJ,ACWI,ACWX,AGG,AGZ,AIA,AOA,AOK,AOM,AOR,AXDI,AXEN,AXFN,AXHE,AXID,AXIT, AXMT,AXSL,AXTE,AXUT,BKF,CFT,CIU,CLY,CMF,CSJ,DSI,DVY,ECH,ECNS,EEM,EEMS,EFA,EFG, EFV, EIDO,EIRL,EIS,EMB,EMFN,EMIF,EMMT,ENZL,EPHE,EPOL,EPP,EPU,ERUS,ESR,EUFN, EUSA, EWA,EWC,EWD,EWG,EWH,EWI,EWJ,EWK,EWL,EWM,EWN,EWO,EWP,EWQ,EWS,EWT,EWU,EWW, EWY, EWZ,EWZS,EXI,EZA,EZU,FCHI,FEFN,FLOT,FNIO,FTY,FXI,GBF,GLJ,GTIP,GVI,HDV,HYG, IAI,IAK,IAT,IBB,ICF,ICLN,IDU,IDV,IEF,IEI,IEO,IEV,IEZ,IFAS,IFEU,IFGL,IFNA,IFSM, IGE,IGF,IGM,IGN,IGOV,IGV,IHE,IHF,IHI,IJH,IJJ,IJK,IJR,IJS,IJT,ILF,INDY,IOO, ISHG,ISI,ITA,ITB,ITF,ITIP,IVE,IVV,IVW,IWB,IWC,IWD,IWF,IWL,IWM,IWN,IWO,IWP,IWR, IWS,IWV,IWW,IWX,IWY,IWZ,IXC,IXG,IXJ,IXN,IXP,IYC,IYE,IYF,IYG,IYH,IYJ,IYK,IYM,IYR, IYT,IYW, IYY,IYZ,JKD,JKE,JKF,JKG,JKH,JKI,JKJ,JKK,JKL,JXI,KLD,KXI,LQD,MBB, MCHI,MUAA,MUAB,MUAC,MUAD,MUAE,MUAF,MUB,MXI,NUCL,NY,NYC,NYF,OEF,PFF,REM,REZ,RTL, RXI,SCJ,SCZ, SHV,SHY,SOXX,STIP,SUB,TGR,THD,TIP,TLH,TLT,TOK,TUR,TZD,TZE,TZG,TZI, TZL,TZO,TZV, TZW,TZY,WOOD,WPS,BABS,BIK,BIL,BWX,BWZ,CBND,CWB,CWI,CXA,DGT, DIA, DWX,EBND,EDIV, ELR,EMM,EWX,FEU,FEZ,GAF,GII,GMF,GML,GMM,GNR,GUR,GWL,GWX,GXC, - [Backtesting the short term volatility spectrum](https://www.sixfigureinvesting.com/2011/12/backtesting-the-short-term-volatility-spectrum-2/) - Update: UBS terminated all of their ETNs except for XVIX on September 12, 2012. They never gathered enough assets to be viable. Until recently if you wanted to be long or short on volatility Exchange Traded Products (ETP) your only choices were based on short term 1-2 month rolling volatility futures (e.g., VXX, TVIX, - [Avoid XVIX—It's Going Nowhere](https://www.sixfigureinvesting.com/2011/11/whats-wrong-with-xvix/) - In December 2010 UBS came out with XVIX—an ETN that holds a long position in medium term volatility (equivalent to VXZ), and short a 50% position in short term volatility (equivalent to VXX). See Volatilty Tickers for the full set of available ETNs. XVIX's strategy was to take advantage of the historical situation (2004 to 2009) where short - [UBS introduces 12 new volatility ETNs](https://www.sixfigureinvesting.com/2011/09/ubs-volatility-etns/) - Redirected to volatility tickers Update: UBS terminated all of these ETNs on September 12, 2012. They never gathered enough assets to be viable. UBS has single-handedly increased the number of volatility focused ETNs/ETFs from 16 to 28. My initial analysis is that there is nothing revolutionary with these new products. Four of the twelve are - [OILZ and GASZ—snacking on oil and natural gas contango](https://www.sixfigureinvesting.com/2011/06/oilz-gasz-snacking-on-contango/) - In the past, I have been an active investor in oil via the USO ETF, but I stepped aside because of USO's poor performance in tracking the spot price of oil. The reason for the poor performance was not a mystery—oil futures have been in steep contango, with the front-month price lower than subsequent - [XVIX: raise, hold, or fold?](https://www.sixfigureinvesting.com/2011/04/xvix-raise-hold-or-fold/) - Update: XVIX was terminated by UBS. It joins the list of market strategies that backtested great but did horribly once if went live. UBS' E-TRACS XVIX ETN was designed to take advantage of the volatility futures contango that torments Barclays' popular VXX ETN. VXXB provides a way to go long on volatility—which in theory - [XXV Prospectus](https://www.sixfigureinvesting.com/2010/08/xxv-prospectus/) - Update: Barclays terminated XXV in April 2018. There is no replacement product. ********************************************************** XXV Prospectus: XXV: Barclays Inverse VolatilityETNs Usually getting the prospectus for a new ETF or ETN takes a Google search and a couple minutes of browsing. The prospectus for Barclays' new XXV inverse volatility ETN proved to be a much more - [2004 vs 2010 —what about the yield curve?](https://www.sixfigureinvesting.com/2010/06/2004-vs-2010-what-about-the-yield-curve/) - Redirected to SPY dividend. I continue to monitor the correlation between the 2004 values of SPY v.s. the 2010 version. The summer of 2004 was a sideways, slightly declining market and the summer of 2010 seems to be following suit. I was curious how the US treasury interest rates between the two periods - [The Schwab StreetSmart Edge ramp up continues](https://www.sixfigureinvesting.com/2011/02/the-schwab-streetsmart-edge-rampup-continues/) - Schwab continues to roll out more information about its new trading platform. This website adds some demos, system requirements, some FAQs, and an invitation to join a live webcast on March 8th. In the FAQs, Schwab says there are no plans to retire StreetSmart Pro, but there are no such assurances about StreetSmart.com. Hopefully - [TVIX Tracking Error to Its IV Price](https://www.sixfigureinvesting.com/2012/04/tvix-still-not-tracking-well/) - In March 2012 Credit Suisse announced that they would resume limited share creation, but TVIX is still not accurately tracking its indicative value (IV). An April 11, 2012 intra-day quote gave TVIX's bid at 9.39 while its IV on Yahoo Finance (symbol ^TVIX-IV) was 8.21—a 6.4% difference. By comparison ProShares' UVXY, which has the same performance - [Technical Trading -- what about the elves?](https://www.sixfigureinvesting.com/2009/11/technical-trading-what-about-the-elves/) - Exchange Trade Note TVIX and its Exchange Traded Fund cousin UVXY are 2X leveraged funds that track short term volatility. To have a good understanding of TVIX (full name: VelocityShares Daily 2x VIX Short-Term ETN you need to know how it trades, how its value is established, what it tracks, and how VelocityShares makes money on - [IWM and other quarterly iShare Russell ETFs go ex-dividend](https://www.sixfigureinvesting.com/2011/03/iwm-and-other-quarterly-ishare-russell-etfs-go-ex-dividend/) - Redirected iShares' Russell 2000 Value Index Fund, IWM went ex-dividend Friday, September 23rd with a payout of $0.2498 per share. The distribution date is September 29th. See this post for IWM's dividend history over the last five years. For the remaining ex-dividend and distribution dates for 2011 see this post. . - [Schwab Websites Taken Down April 23, 2013—Denial of Service Attack](https://www.sixfigureinvesting.com/2013/04/schwab-websites-taken-down-april-23-denial-of-service-attack/) - Originally posted April 23, 2013 Around 3:40 ET I noticed that Schwab's web presence was completely gone. StreetSmart Edge servers were not available, and www.Schwab.com was nowhere to be found. Signing onto Schwab later there was the following message: ............................................................................................................... A Message From Schwab APRIL 23, 2013 — Shortly before the stock market closed today, - [XVZ Backtest from March 2004](https://www.sixfigureinvesting.com/2010/11/xzv-backtest-spreadsheet/) - I have now backtested Barclays' XVZ ETN back to when VIX volatility futures first started to trade in March 2004. I have made two versions of the spreadsheet available for purchase below. One with results data only and the other version with formulas and required indexes included. I have included the simulated daily closing values - [Volatility Funds as a Business—How’s it Going?](https://www.sixfigureinvesting.com/2012/10/volatility-funds-as-a-business-hows-it-going/) - Nearly four years ago Barclays introduced VXX, the first volatility Exchange Traded Product (ETP). Since that time 5 other companies in addition to Barclays have entered the volatility business. All together they have introduced 35 volatility funds. It hasn't been pretty. Of those 35 funds, 15 have been discontinued/terminated and almost half of the remaining 19 are - [VIX options expiration](https://www.sixfigureinvesting.com/2010/12/vix-options-expiration/) - For updated information see this post. - [Dealing with risk](https://www.sixfigureinvesting.com/2010/07/dealing-with-risk/) - UPDATE -- Redirected to Black Swans I've been thinking about various strategies for dealing with limiting losses. Many investment strategies exhibit moderate upside potential, with large exposure to downside risk. For example, on average the broad equity markets have shown annualized gains in the range of 10% over the long term, but these - [The Volatility Landscape](https://www.sixfigureinvesting.com/2011/10/the-volatility-landscape-2/) - 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 - [The evils of suppressing volatility](https://www.sixfigureinvesting.com/2011/10/the-evils-of-suppressing-volatility/) - Nassim Taleb crosses over into foreign affairs with The Black Swan of Cairo. He takes the position that in political, as well as financial matters that attempting to eliminate volatility increases the likelihood that nasty Black Swan events will occur. - [Getting index quotes on Bloomberg—not always obvious](https://www.sixfigureinvesting.com/2011/09/getting-index-quotes-on-bloomberg/) - It used to be that quotes / charts for all of the underlying indexes for volatility ETNs could be found on Bloomberg, however some of them are no behind their paywall. For example VXX uses SPVXSTR which is no longer free, however XIV uses SPVXSP which is still available for free. These indexes show the indicated value of - [Latest version of Schwab's StreetSmart Edge](https://www.sixfigureinvesting.com/2011/06/latest-version-of-schwabs-streetsmart-edge/) - Schwab has released version 1.8.7.0 of StreetSmart Edge for download on their website. You can tell your current version by looking for the "current build" note in the upper right hand corner of the display. Be sure to save your layouts before you update, because when you update you lose your current customization and - [A death in the family—VZZ](https://www.sixfigureinvesting.com/2011/07/a-death-in-the-family-vzz/) - As of next Monday, July 11th VZZ, Barclays' iPath® Long Enhanced S&P 500 VIX Mid-Term Futures will stop trading. It is already a zombie because its termination price has already been set at $10 even. XXV, the other volatility zombie continues to trade on average 100,000 shares a day—maybe people are content to just beat T-bills and - [Backtesting of VZZB—Barclays' replacement for VZZ](https://www.sixfigureinvesting.com/2011/07/backtesting-of-vzzb—barclays-replacement-for-vzz/) - Originally posted July 18, 2011 Update: VZZB terminated in October 2012, consistent with the 1.5 years or less of life that I predicted below. Barclays didn't waste any time replacing its recently terminated VZZ ETN. The new fund, targeted at leveraged long performance relative to medium term volatility appears essentially identical to VZZ except for its new - [Schwab's StreetSmart Edge™](https://www.sixfigureinvesting.com/2011/01/schwabs-new-streetsmart-edge™-coming-in-march/) - Update: Please see here for more recent information. A few observations: The package is designed for multiple monitors. Each layout can be on a different screen The colored "link" symbol in the upper right synchronizes tools to the same ticker. If you want multiple charts on the same layout for different tickers you should select different link - [Beta test of Schwab's new StreetSmart Edge?](https://www.sixfigureinvesting.com/2011/02/beta-test-of-schwabs-new-streetsmart-edge/) - Sign up here to be a "SmartStreet Edge insider". It might only amount to email updates of when it will be released, but it could provide some early access. - [Redirect to VIG Vanguard ETF ex-dividend and distribution dates](https://www.sixfigureinvesting.com/2011/02/vanguard-etf-ex-dividend-and-distribution-dates-ex-dividend-distributions-dates-bnd-bsv-vglt-biv-vcsh-vfh-vnq-vug-voo-vig-vti-vtv-vv-vym-vea-vb-vgk-vo-vbr-vwo-veu-vaw-vde-vot-vbk-vgt/) - Apparently Vanguard likes to keep their ETF ex-dividend and distribution dates a secret until just a couple days before the event. It has that old mutual fund feel to it—"we'll give you a quote after-market and allow you to buy or sell our stuff at the end of the day, otherwise go away..." As a result, - [Monthly ETF Dividend Amounts](https://www.sixfigureinvesting.com/2010/11/monthly-etf-dividend-amounts/) - Tickers covered: AGG, BIL, SCJ, HYG, IEF, INY, JNK, LAG, LQD, MUB, PFF, TIP, TLT For dividend history data and charts from 2005 on click here. You can use the search window within the post (upper right) to search for a specific ticker, or increase the number of entries to show in the upper right - [Get weekly updates on the Weeklys](https://www.sixfigureinvesting.com/2010/11/get-weekly-updates-on-the-weeklys/) - The CBOE has announced a nice new email service for people wanted to know what weekly options are going to be offered each week. While the list has been relatively stable the CBOE recently extended the list to 35 offerings and they usually make a few tweaks each week. For example, they recently dropped - [My Schwab Christmas 2011 wish list](https://www.sixfigureinvesting.com/2010/12/my-schwab-christmas-2011-wish-list/) - Update: Schwab has added weekly and quarterly option support to all of their trading platforms. See here for more information. Schwab has provided a peek under the tree for the account holders they think have been good: Stocking stuffers (not available until January): A 35% discount for TurboTax. In your Schwab account online look for - [XXV behavior—it's a pretty good VXX short](https://www.sixfigureinvesting.com/2010/09/xxv-behavior—its-a-pretty-good-vxx-short/) - Update: I do not believe XXV is a good way to short VXX, or volatility in general. It has very little upside remaining (maximum value will be $40/share), see this post for more details. ********************************************************** With the recent action in the VIX and VXX I thought it would be good time to go back and check - [XXV: Dancing the contango—without getting mugged](https://www.sixfigureinvesting.com/2010/10/xxv-dancing-the-contango-without-getting-mugged/) - Update redirected to https://www.sixfigureinvesting.com/2010/04/going-short-on-vix/ I do not recommend XXV. At its current price of around $30/share it does not deliver the sort of performance you would expect an inverse volatility security to deliver. This security can go no higher than $40 per share and can only get there slowly. See this post for more information. - [CBOE adds more weekly options—and drops a few](https://www.sixfigureinvesting.com/2010/07/cboe-adds-more-weekly-options—and-drops-a-few/) - Looking at the 30-July version of AVAILABLE WEEKLIES spreadsheet on CBOE's weekly page shows that next week adds some interesting options (USO, CSCO, DNDN, GE) , and drops some that were offered the week before (ABX, POT, XOM). Evidently the clever folks at CBOE are adding options for some stocks just for the week - [Betting that fear will fade](https://www.sixfigureinvesting.com/2010/08/betting-that-fear-will-fade-2/) - Made my first trade in XXV yesterday, buying at 23.07. During corrections, like the one we are in right now, the VIX index tends to spike up pretty early, a day or two in. Later, even when the market drops are larger, the VIX does not seem to match the earlier highs--unless of - [Where is the 2010 top trendline?](https://www.sixfigureinvesting.com/2010/06/where-is-the-2010-top-trendline/) - UPDATE -- redirected to blog On the chart below you can see that using the slope of the 2004 SPY trendlines anchored on the February 2010 market bottom gave a 2010 bottom trendline that nicely predicted the bottom (or at least a pause) in the recent correction. The big question now is the top trendline. - [XLU Dividend History](https://www.sixfigureinvesting.com/2010/04/xlu-dividend-history/) - If you don't see the ETF symbol you want there are a lot more here: Dividend, Ex-Dividend, and Paydate / Distribution Date information for ETFs - [SPY Dividend History](https://www.sixfigureinvesting.com/2010/03/spy-dividend-history/) - SPY, said by some to be the most liquid single security in the world, goes ex-dividend four times a year. See this post for the next ex-dividend date and an estimate of the dividend amount. You must buy SPY at least by the end of market on Thursday, the day before ex-dividend, to be eligible for - [The Volatility Landscape](https://www.sixfigureinvesting.com/2012/05/the-volatility-landscape/) - I'm starting a new feature on my blog that will show up in my side bar—The Volatility Landscape. In this space I will post alerts, news, predictions, volatility ETN/ETFs that I think should be avoided, links to white papers/ newsletters, my wish list of volatility items, and a link to my Volatility Tickers master list - [Volatility Landscape: And Then There Were 20](https://www.sixfigureinvesting.com/2012/09/volatility-landscape-and-then-there-were-32/) - 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 - [The Volatility Landscape—May 2013](https://www.sixfigureinvesting.com/2013/05/the-volatility-landscape-may-2013/) - 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 - [Modified Davis Method Moves to 50% Cash](https://www.sixfigureinvesting.com/2014/04/modified-davis-method-3/) - 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, - [Backtesting VelocityShares' ZIV inverse volatility ETN back to 2004](https://www.sixfigureinvesting.com/2011/06/backtesting-velocityshares-ziv-medium-term-inverse-volatility-etn/) - All of the volatility based ETN/ETF products are relatively new. Barclays' VXX and VXZ oldsters started in January 2009—just a few months before the end of the 2008/2009 crash. This lack of historical data over full market cycles makes it hard to assess the risks associated with new products—such as VelocityShares' ZIV (medium-term inverse volatility) which - [Market going sideways](https://www.sixfigureinvesting.com/2011/10/market-going-sideways/) - I sold a S122/S123 spread today with 14-Oct SPY calls this morning for a credit of 0.20. SPY was trading around $118.65 at the time. $122 is about at the top of the trading range we've been in since August. The put spread that was equidistant from market price, the S115/S114, was offering a significantly lower - [ETF Tools](https://www.sixfigureinvesting.com/2011/06/etf-tool-set/) - Assets Under Management (AUM) ETFdb Backtest ETFreplay Bond allocations ETF Analytics Correlation ETF Screen ETFreplay Dividend history Dividend Investor Graph+data table (SPDR & iShares only) Fund Flows ETF.com General Information ETFdb ETF.com ETF Screen ETFreplay Quandl Financial Data Shares Outstanding ETFdb Short Interest ShortSqueeze Index Tracking ETF Analytics (tradability tab) Top Funds ETFdb Volatility ETFreplay - [VIX and VXV Show SPX Term Structure at Historic Highs](https://www.sixfigureinvesting.com/2012/08/cboes-vix-and-vxv-show-spx-option-iv-term-structure-at-historic-highs/) - This post was 1st published August, 2012. In addition to the well-known VIX index, the CBOE also publishes the VXV index. It's computed just like VIX, except that it gauges the implied volatility of SPX options 3 months out, rather than just one month. The chart below shows the 10-year history of these two indexes. - [Thirteen Things You Should Know About Trading VXST options](https://www.sixfigureinvesting.com/2014/04/trading-vxst-options/) - Update: On June 18, 2015 the CBOE announced that they would be discontinuing VXST futures and options. These products have not achieved significant volumes so this wasn't a surprising outcome. As an alternative solution to the desire for options better tracking the VIX the CBOE has added weekly expirations of futures and options to the - [VXST Futures—Not a Bad Proxy for the VIX index](https://www.sixfigureinvesting.com/2014/09/trading-vxst-futures-etf-etn-etp-vix/) - Update: On June 18, 2015 the CBOE announced that they would be discontinuing VXST futures and options. These products have not achieved significant volumes so this wasn't a surprising outcome. As an alternative solution to the desire for options better tracking the VIX the CBOE has added weekly expirations of futures and options to the - [Short Volatility on a Roll](https://www.sixfigureinvesting.com/2013/03/ways-to-go-short-volatility-vix/) - Investors betting on the next volatility spike have taken a beating. The last time the CBOE’s VIX® index closed above 30 was December 8th, 2011. In the 16 months since the split adjusted price of Barclays’ VXX has dropped from 174.84 to 20.34—an 88% drop. None of the 14 other USA based volatility funds that are - [Profiting from Volatility Panel Discussion](https://www.sixfigureinvesting.com/2013/10/profiting-from-volatility-panel-discussion/) - 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 - [Hedging the S&P 500 with XVZ](https://www.sixfigureinvesting.com/2011/12/hedging-the-sp-500/) - There are quite a few conservative investment strategies that deliver a good return if the underlying security doesn't move much. Covered calls and dividend collection are two that come to mind. These strategies are conservative in the sense that they don't require the security to go up in order to be profitable—in fact - [When Will This Bull Run Be Over? Using the VIX / VXV Ratio as an Indicator...](https://www.sixfigureinvesting.com/2012/02/when-will-this-bull-run-be-over-using-the-vix-vxv-ratio-as-an-indicator/) - If you can remember market action for more than two months, you're probably not wondering: "Is Market Volatility Gone for Good?" However you probably are wondering when this sustained upswing will be over. I'm keeping a close eye on things because I've had a run-up in my VelocityShares XIV holdings that I'd rather not lose - [Guggenheim—yield with less interest rate risk?](https://www.sixfigureinvesting.com/2011/07/guggenheim-yield-with-less-interest-rate-risk/) - If you are looking for low risk yields above 1.5% per year, there aren't many attractive candidates. Stocks seem risky, and if you believe that interest rates are going to go up in the next couple of years then bonds look risky too. Using IEF, Ishares' 7 to 10 year US treasury bond fund - [A glitchy week for the VIX](https://www.sixfigureinvesting.com/2011/02/a-glitchy-week-for-the-vix/) - Last week didn't inspire a lot of confidence in the CBOE's Volatility index: VIX A 0.6% SPX dip, gone two hours later triggers a 3.75% step up in the VIX that didn't go away At the Thursday morning opening VIX glitches down 0.6 points and then jumps 1.3 points VIX glitches down a point Friday - [Backtesting data for volatility ETN and ETF products](https://www.sixfigureinvesting.com/2011/02/backtestesting-volatility/) - If you want to backtest various volatility products like VXX, VXZ, XIV, CVOL, IVOP (see volatility tickers for my complete list) I offer a set of spreadsheets that give the underlying rolling index values from March 2004. See this post for details. Bloomberg offers charts that go back 5 years for the related indexes. - [CVOL—the Other Volatility Kid on the Block](https://www.sixfigureinvesting.com/2010/11/cvol—the-new-volatility-kid-on-the-block/) - UPDATE CVOL was shutdown by UBS in May of 2016. It never achieved enough assets for it to be a viable competitor CVOL's stated goal is to "produce returns that are correlated to the CBOE Volatility Index (the “VIX Index”). " So far no one has figured out a way to offer a - [When the Term Structure Chart Lies to You...](https://www.sixfigureinvesting.com/2013/04/vix-future-term-structure-tips/) - Update: VIXCentral has enhanced their historical term structure graphs to use days to expiration rather than months for the time axis of the charts. This change eliminates the distortions that I wrote about in the post. VIXCentral's historical charts now look a lot like the Excel charts that I generated for this post. Term structure - [VXX prospectus](https://www.sixfigureinvesting.com/2010/09/when-will-vxx-reverse-split/) - You can find Barclays' VXX prospectus here. The prospectus covers both the short term VXX, and the medium term VXZ. This post discusses going long on VXX. This post discusses some choices if you think VXX is going to go down. For an estimated date for VXX's next reverse split see this post. For an - [XIV during the 2008 Crash](https://www.sixfigureinvesting.com/2011/08/xiv-during-the-2008-crash/) - XIV has only existed since November 2010, so we are dependent on simulations for guesses on its performance before that. The index that XIV is based on goes back into the 2005 time frame, so I have the data I need to backtest XIV for the 2008 crash. My simulations show a close match - [Barclays' XXV —the first ETN with nowhere to go?](https://www.sixfigureinvesting.com/2011/01/xxv-nowhere-to-go/) - Update. Barclays' responded to the problems noted below with their IVOP ETN. It has now has a similar situation that XXV has—near its max price and very low leverage. See this post for more information. ************************************************************* Originally Posted December 11, 2011 Question: What would the value of Barclays' inverse volatility XXV ETN be if Barclays' - [VIX Mid-Term Futures Contango at Historic Highs](https://www.sixfigureinvesting.com/2012/08/vix-mid-term-futures-contango-at-historic-highs/) - In the past you could invest in mid-term volatility, four to seven months out, without worrying too much about the erosive effects of contango. That's not the case anymore. Strategies that hold long/short positions in mid-term and short term VIX futures as well as ETPs that hold mid-termVIX futures such as Barclays’ VXZ and - [Is XIV behaving correctly?](https://www.sixfigureinvesting.com/2011/08/is-xiv-behaving-correctly/) - In spite of its name, XIV is not the inverse of the VIX index—it is the daily percentage inverse of an index called SPVXSP, which you can monitor on Bloomberg here. This index very closely tracks the same index that VXX uses, SPVXSTR. Last week XIV did not track VXX's daily moves particularly well. There - [Weekly options for the masses--SPY, QQQQ, IWM, DIA and others](https://www.sixfigureinvesting.com/2010/07/weekly-options-for-the-mass-spy-qqqq-iwm-dia/) - Anyone that trades options knows that the pace quickens the last few days before expiration. The delta (the change in option price relative to the underlying) for the ATM option is still around .5, but instead of gradual changes for the deltas on the strikes in / out of the money, the curve starts - [Dividend History](https://www.sixfigureinvesting.com/2010/03/dividend-history/) - Links to a few selected pre-generated reports are shown below: DIA dividend history DVY dividend history IWM dividend history JNK dividend history LQD dividend history SPY dividend history TIP dividend history XLP dividend history XLU dividend history If you need dividend history on a non iShare / SPDR fund or stock then I recommend - [Under the hood of Citigroup's CVOL volatility ETN](https://www.sixfigureinvesting.com/2010/12/under-the-hood-of-citigroups-cvol-volatility-etn/) - Update: Citigroup has halted new share creations on CVOL. It should be avoided. This baby is built for speed—not distance. Fortified with several cups of coffee I took on the tough stuff in Citigroup's CVOL pricing supplement. The other volatility ETNs (e.g., VXX, VXZ) limit themselves to various combinations of volatility futures—CVOL adds a variable - [A Recipe for Exiting the Euro](https://www.sixfigureinvesting.com/2012/05/a-recipe-for-exiting-the-euro/) - The Euro drama has entered a new phase. Unless the Germany, the European Central Bank, and the IMF blink it's likely Greece will exit the Euro. Financial austerity piled on top of crushing unemployment has fomented widespread discontent with ongoing demands from the richer countries for the poor to tighten their belts even further. The - [SRO options](https://www.sixfigureinvesting.com/2014/04/sro-options/) - In August CBOE started trading their S&P 500® Range Options (ticker SRO). These options replicate a condor position on the SPX with a single transaction. According the CBOE these are call only condors, not iron condors. You can see the options chain for these if you go to the CBOE quote page and enter in - [VIX Term Structure](https://www.sixfigureinvesting.com/2011/06/vix-term-structure/) - 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 - [The Six Figure Investing 2013 Volatility Awards](https://www.sixfigureinvesting.com/2014/01/the-six-figure-investing-2013-volatility-awards/) - Even though the CBOE’s VIX® only managed an intraday high of 21.91 during all of 2013 there were still plenty of volatility accomplishments to be recognized. Best performance by a Volatility Exchange Traded Product (ETP) VelocityShares’ XIV and ProShares’ SVXY short term inverse volatility funds both had great 2013s, but XIV took the top spot - [Contango Takes A Breather](https://www.sixfigureinvesting.com/2014/03/lower-contango-medium-term-vix-futures/) - VXX hasn’t hit a new low in 6 weeks, and it’s not because the market is crashing. What has changed is the shape of the VIX futures term structure—the underlying futures that the various volatility Exchange Traded Products (ETP) like VXX, XIV, TVIX, and ZIV are based on (see volatility tickers for the entire list). - [JNK dividend history and ex-dividend / pay dates](https://www.sixfigureinvesting.com/2010/12/jnk-ex-dividend-history/) - Pay Date information from SPDR For ex-dividend information about other ETFs see ETF dividend information, including ex-div and pay dates. For dividend history on other ETFs see Dividend history. - [2014 Ex-dividend and Pay date information for: FEU, FEZ, RWX, DWX, RWO, IPD, IPS, IPW, IPF, IRY, IPN, IRV, IPK, IST, IPU, EDIV, WDIV](https://www.sixfigureinvesting.com/2014/01/ex-dividend-and-pay-date-information-for-feu-fez-rwx-dwx-rwo-ipd-ips-ipw-ipf-iry-ipn-irv-ipk/) - The 2014 Ex-Dividend and Pay Date information below is based on data from SPDR's website. 2014 Ex-Dividend Dates Q1 Q2 Q3 Q4 21-Mar-14 20-Jun-14 19-Sept-14 19-Dec-14 29-Dec-14 (potential capital gains) Pay / Distribution Dates 2-Apr-14 2-Jul-14 1-Oct-14 2-Jan-15 9-Jan-15 (potential capital gains distributions) In alphabetical order: DWX SPDR S&P International Dividend ETF (DWX) EDIV SPDR - [Holiday Properties — Is a Fraud!](https://www.sixfigureinvesting.com/2013/08/holiday-properties-is-a-fraud/) - The rental agency http://holidaysproperties.com is a fraud. They will ask you to make an international bank transfer to reserve the property and then you will never hear from them again. Beware! - [Found: VIX Quotes on Google Finance](https://www.sixfigureinvesting.com/2013/02/vix-quotes-on-google-finance/) - For several years I’ve periodically tried—and failed to find quotes for the CBOE’s VIX® index on Google Finance. It seemed absurd, but I expected the king of search would pull up one of the more popular indexes if they had it. It turns out that I needed to go to the 11th entry on the 2nd - [Mimicking the VIX index](https://www.sixfigureinvesting.com/2011/03/mimicking-the-vix-index/) - The Holy Grail of volatility investing would be an ETN or ETF that matched the movements of VIX—CBOE's volatility index on the S&P 500. As a hedging vehicle it would be nearly ideal—negatively correlated to fast moves of the S&P 500 with a stable floor during quiet times. So far no one has figured - [Iron Condor on Herbalife](https://www.sixfigureinvesting.com/2013/04/iron-condor-on-herbalife/) - The price of Herbalife ($HLF) has been relatively stable the last couple of weeks with the Icahn / Ackman tug-o-war in a tense tie. The historical volatility has been running around 26, but the IVs on the weekly options are relatively rich with the average running around 50. Currently a 35.5/37/39/40.5 iron condor - [IVV dividends](https://www.sixfigureinvesting.com/2010/12/ivvs-december-dividend/) - See updated information on IVV's dividends see this post. For updated OEF dividend information see this post. See this excellent ETF Database post if you’re interested in the differences between the main S&P 500 Index ETFs. See this post for ex-dividend information on many ETFs. - [One of these correlations is going to fail](https://www.sixfigureinvesting.com/2010/11/one-of-these-correlations-is-going-to-fail/) - Since November 2009 I have been commenting on the eerie day to day correlation between the market (specifically SPY) of 2003/2004 and 2009/2010. These charts continue to track with November 16th's closing value of SPY (118.16) differing only 0.28 points from SPY's closing (117.88) on November 16th, 2004—six years ago. Recently I - [A brief condor](https://www.sixfigureinvesting.com/2010/12/a-brief-condor/) - I don't think much is going to happen with the market this week. Trading on that hunch I put a condor position in place Monday with SPY weekly options expiring this Thursday, the 23rd. The position is composed of short calls (S126 at .11) and short puts (S124 at .38) to create the upside of - [Betting on contango](https://www.sixfigureinvesting.com/2011/08/betting-on-contango/) - This morning I put a credit spread in place, selling August VIX $15S calls and buying $47.5S calls for a net credit of $18.2. The underlying for these calls is the August volatility futures—not the VIX itself. The effective price of the underlying for these options was about $34 at the time. The - [Google Finance Symbol for the CBOE's VIX® ](https://www.sixfigureinvesting.com/2010/12/google-finance-symbol-or-tickerfor-the-vix-index/) - VIX index quote, ticker, or symbol on Google finance. The VIX index is also known as the Fear gauge, and the volatility index - [In and out with the big jump on Wednesday](https://www.sixfigureinvesting.com/2010/09/in-and-out-with-the-big-jump-on-wednesday/) - At 9:51 EDT Wednesday I was setup for a couple days with my purchase at of SPY at 106.73, long S104 3-Sept puts at .23 and short S107 3-Sept calls at 0.80 for a breakeven of 106.16 and a max profit of 0.84. Twenty minutes later I closed out SPY at 108.11, S104 puts at - [After the SPY trendline breaks, then what?](https://www.sixfigureinvesting.com/2009/11/after-the-spy-trendline-breaks-then-what/) - Published 1-November-2009 The current SPY trend line obviously can't continue indefinitely. Although I don't think charts predict the future, they do show previous psychology, so I took a look back at 12 years of data. A couple of interesting things stood out to me. In that time span there have been three fast - [Taking CVOL for a ride](https://www.sixfigureinvesting.com/2010/12/taking-cvol-for-a-ride/) - I've been watching Citigroup's new CVOL volatility ETN (a souped up competitor to Barclays' VXX) since it started trading November 15th. Tracking its actual performance has been difficult because it is very lightly traded. Charts for example are useless. Normally I use Yahoo's Finance historical quotes feature as a very convenient way to get open - [SPY and other SPDR ETFs ex-dividend](https://www.sixfigureinvesting.com/2011/03/spy-and-other-spdr-etfs-go-ex-dividend-this-friday-the-18th/) - For updated information about SPY, IVV, and VOO's dividend see this post. See here for my list / dates for iShare S&P related funds and here for the Russell related funds. Vanguard treats their ex-dividend dates like state secrets. See here for my estimates on Vanguard ETF ex-dividend and pay dates. . - [SPY ex-dividend](https://www.sixfigureinvesting.com/2010/12/spy-goes-ex-dividend-tomorrow-friday-december-16th/) - For updated information about SPY's ex-dividend and payout dates see this post. - [Mostly quiet on the volatility front](https://www.sixfigureinvesting.com/2011/05/mostly-quiet-on-the-volatility-front/) - There haven't been any new volatility ETNs or ETFs introduced for almost 4 months now, so it is about time for another wave. In April options were introduced on VelocityShares VIIX (a VXX wannabe), but it's hard to see how these can compete effectively with VXX's options. The funds that are attracting the most interest - [Back into XXV, USO Weeklys back](https://www.sixfigureinvesting.com/2010/12/back-into-xxv-uso-weeklys-back/) - Bought XXV (inverse VXX) at 32.11, put a 2% trailing stop in place. USO weekly options are back—at least for next week, expiring December 10th. - [XIV sets a new volume record](https://www.sixfigureinvesting.com/2011/04/xiv-sets-a-new-volume-record/) - XIV, VelocityShares’ daily inverse volatility fund traded over 660 thousand shares Monday, surpassing its previous record of almost 550 thousand set on March 16th. It is showing an interesting volume pattern, with most days having under 100 thousand shares trading, and then surging when the market has big drops. Look at the difference between - [Betting on fear to fade](https://www.sixfigureinvesting.com/2010/05/betting-on-fear-to-fade/) - Bought VIX June puts at 4.6, the VIX index was around 31 at the time. Barring another bear market I think we will see the VIX pull back from the recent spikes. For related posts see: How to go long on the VIX index How to go short on the VIX index - [Three weeks of CVOL—a wild ride](https://www.sixfigureinvesting.com/2010/12/three-weeks-of-cvol—a-wild-ride/) - Redirected Citigroup's new volatility ETN, CVOL has only been trading since November 15th, but it is starting to show some intriguing results. Designed as a 2X leveraged volatility offering, in a class of products that are already known for volatility, we can expect a wild ride. So far it has lived up to - [2010 — overachieving compared to 2004](https://www.sixfigureinvesting.com/2010/04/2010-—-overachieving-compared-to-2004/) - The S&P 500 has already reached levels this year that weren't reached until December 2004 in the tech stock crash recovery. The volume levels are underwhelming, but on almost every other front the bulls are celebrating. It doesn't hurt that business continue to report very good numbers. It is hard to get a - [Doubling up on Oil, betting on VIX dropping](https://www.sixfigureinvesting.com/2010/05/doubling-up-on-oil-betting-on-vix-dropping/) - Did covered calls on Oil -- bought USO at 37.19, sold-to-open May 37 calls at 1.02 for a net investment of 36.18. Created a bear spread on VIX options today. Betting on VIX going down is forecasting that the market in general will be flat or positive. I sold-to-open June VIX 16 calls at - [VelocityShares' Short Term Volatility Offerings Overtake Barclays'](https://www.sixfigureinvesting.com/2012/02/velocityshares-short-term-volatility-offerings-overtake-barclays/) - Barclays had the short term volatility ETF space to itself from January 2009 until November 2010 with their VXX long and XXV short ETNs. On November 30th, 2010 VelocityShares came on the scene with three new short term funds: 1X long VIIX , 2X long TVIX, and -1X daily inverse XIV. Fifteen months later, on - [DIA's February 2012 Dividend](https://www.sixfigureinvesting.com/2012/02/dias-february-2012-dividend/) - SPDR's DIA Dow Jones Industrial Average ETF went ex-dividend February 17th with a dividend of $0.3315—about 0.25% of its current price of $129. The dividend will be distributed March 12th. For DIA's 2012 dividend calendar see this post. DIA is currently yielding around 2.3% on an annualized basis. Unlike most funds that distribute monthly dividends, - [Dividend History Report](https://www.sixfigureinvesting.com/2010/02/dividend-history-report/) - For iShare and SPDR ETFs you can use this page to obtain dividend history data and charts. DividendInvestor provides a nice dividend report on their free website. It includes yields and timely updates on dividends. If you click on the "Dividends Paid Since" button you will get multiple years of dividend history. - [Betting on contango with OILZ and GASZ](https://www.sixfigureinvesting.com/2012/01/betting-on-contango-with-oilz-and-gasz/) - One of my primary goals is to invest where I have an objective edge. There are many ways to try to get an edge, the two most common being: Value investing—where you try to find companies that are currently undervalued, or likely to grow their profits faster than expected Technical analysis—where you use patterns - [DVY Dividend History ](https://www.sixfigureinvesting.com/2010/04/dvy-dividend-history/) - The DVY dividend history data below was taken from the iShares web site. Ex-dividend, and pay/distribution dates for DVY are here. If you would like the dividend history for another security, see this post. - [Dividend history for IWM](https://www.sixfigureinvesting.com/2011/03/dividend-history-for-iwm/) - For ex-dividend and pay dates for IWM see this post. If you would like the dividend history for another security, see this post. - [DIA dividend History: 2005 -- 2009 ](https://www.sixfigureinvesting.com/2010/02/dia-dividend-history-2005-2009/) - The data for the chart of DIA's dividend history below is from SPDR's website. If you would like the dividend history for another security, see this post. - [TIP dividend history](https://www.sixfigureinvesting.com/2010/04/tip-dividend-history/) - The data below is from iShares web site. Ex-dividend, and pay/distribution dates for TIP are here. If you would like the dividend history for another security, see this post. - [SPY's December, 2011 Dividend ](https://www.sixfigureinvesting.com/2011/12/spys-december-2011-dividend/) - SPY went ex-dividend Friday the 16th, so it is too late to buy the security and still receive this quarter's dividend. The dividend payout will be $0.7701 per share on January 31st, 2012. Yes, SPDR is in no hurry to distribute the $530,000,000 (!) in dividends that it collected last quarter for SPY. For more - [Treasuries topped out?](https://www.sixfigureinvesting.com/2011/12/treasuries-topped-out/) - IEF, Barclays' 7-10 year treasury ETF has been trading in a 102 to 105 range since October. When the market is down it has been trading near 105. I put a call credit spread in place, betting that IEF would stay below that 105 level for the rest of this week. I sold S105 calls - [Euro troubles](https://www.sixfigureinvesting.com/2011/11/euro-troubles/) - The Euro continues to be a slow motion train wreck. Consider the players. Who is promising to be more disciplined, budget minded, and improve their tax collection efficiency—the Greeks, Italians, and soon the Spanish. And who is being asked to be open their wallets and ultimately debase their country’s currency in order to bail out - [Feb 2010 DIA dividend capture](https://www.sixfigureinvesting.com/2010/02/feb-2010-dia-dividend-capture/) - Bought DIA at 101.17, sold-to-open Feb 99 calls at 2.44 -- both with market orders, for a net debit of 98.73. Pretty frustrating morning-- tried to do buy-writes first thing today with a net debit amount, but I never got a fill, even though I was splitting the ask/bid price or slightly more generous - [All the news in on Linkedin? ](https://www.sixfigureinvesting.com/2011/11/all-the-news-in-on-linkedin/) - Linkedin recently reported their 3rd quarter earnings, or rather losses. The good news however was that their revenue growth surprised analysts on the upside, more than doubling from last year's numbers. LNKD was trading around $80 this morning, and the November 19th $70 puts were at 1.0 bid / 1.2 asked. The - [Equity option expiration dates](https://www.sixfigureinvesting.com/2010/03/equity-option-expiration-dates-2010/) - Next CBOE Weeklys listings and expiration The expiration dates for 2011 / 2012 Equity options are: [table id= 31 /] Source: OCC and CBOE option expiration calendars - [Deathwatch for Barclays' IVOP short volatility ETN](https://www.sixfigureinvesting.com/2011/10/deathwatch-for-barclays-ivop-short-volatility-etn/) - It hasn't been a good ride for Barclay's IVOP. It was introduced September 16th at $20, and now 19 days later it is trading at $11.4— a 43% drop. Since IVOP is a effectively a short on volatility instead of tracking daily percentage moves like its competitors (e.g, VelocityShares' XIV) it has a - [CVOL spreadsheet analysis](https://www.sixfigureinvesting.com/2010/03/cvol-spreadsheet-analysis/) - The spreadsheets (XLS or XLSX format) that can be purchased below backtest CVOL from Jan 2009 to December 2010. Approximately one and half months of real CVOL date was available when this spreadsheet was created, and the match to the backtesting was good. - [A spread before the Fed](https://www.sixfigureinvesting.com/2011/09/a-spread-before-the-fed/) - I opened a S122/S123 spread today with SPY calls this morning for a net credit of 0.44. Right now I think there is more downside risk than up, and if I'm wrong and the market rallies my long XIV position will more than make up for my 0.56 worst case loss. Initially I - [SPY dividend September 2011](https://www.sixfigureinvesting.com/2011/09/spy-dividend-september-2011/) - SPY went ex-dividend Friday September 16th, 2011. Its payout will be $0.6249 per share on October 31st. The table below summarizes third quarter dividend information for SPY, IVV, and VOO—the three biggest S&P 500 index ETFs. SYMBOL Next Ex-dividend Next Pay date Last Dividend Dividend SPY 16-Sept-2011 31-Oct-2011 $0.6276 $0.6249 IVV 26-Sept-2011 30-Sept-2011 $0.605 $0.60 - [SPY dividend for 4th quarter 2010](https://www.sixfigureinvesting.com/2010/12/spy-dividend-for-4th-quarter-2010/) - SPY went ex-dividend December 17th, 2010. The payout will be $0.6528 per share. The paydate will be 31-January-2011. In premarket on the 17th SPY was trading around 124.17, after closing at 124.82 in regular trading Thursday. It looks like some poor soul had a buy order in at 124.74 that filled in the pre-market—ex-dividend day - [Gold—sideways for the week? ](https://www.sixfigureinvesting.com/2011/09/gold-credit-call-spreads/) - I opened a 179/180 spread in GLD for a net credit of 0.20 for calls expiring this week. I'm betting there is enough downward pressure on gold to keep GLD below 179 for the week. . . .. . . . . Chart from Schwab StreetSmart Edge - [Stock Dividends](https://www.sixfigureinvesting.com/2010/12/sp500-etf-ex-dividend/) - For updated information on SPY, IVV, and VOO dividends see this post. Some dividend related info: Excluding market action, Stock/ETF prices will drop by about the dividend amount when opening on their ex-dividend date. The equity no longer carries the value of the dividend, so it drops in value. The 500 stocks comprising the - [iShares dividends: IWM, IVV, OEF and more](https://www.sixfigureinvesting.com/2010/09/ishares-september-2010-dividends-iwm-ivv-oef-and-more/) - For iShares Russell ETFs (e.g., IWM) ex-dividend and paydate information go here. For iShares S&P ETFs (e.g, IVV, OEF) ex-dividend and paydate information go here. More ex-dividend, distribution date, and dividend history information here. - [SPY's June 2011 dividend payout is $0.6276](https://www.sixfigureinvesting.com/2011/06/spys-june-2011-dividend-payout-is-0-6276/) - For updated information, including 5 years of SPY dividend information, see this post. . - [Dividends from IVV and VOO](https://www.sixfigureinvesting.com/2011/06/second-quarter-dividends-from-ivv-and-voo/) - See this post for updated dividend information for IVV and VOO. - [SPY resync between 2005 and 2011](https://www.sixfigureinvesting.com/2011/08/spy-resync-between-2005-and-2011/) - For most of 2011 SPY's has been quite a bit higher than 2005 values for the same day, but this August there were 3 days where SPY closed within a half a point of its equivalent 2005 close. If this coincidence continues to be predictive, we won't be starting a bear market for a - [Looks like a gold bubble](https://www.sixfigureinvesting.com/2011/08/looks-like-a-gold-bubble/) - Monday I pulled up a chart of GLD, and the part of my brain allocated to charting prognostication said, "bubble." That unsustainable, exponential growth cries out for a correction. The tough part is picking when. . . . . . . . . . .. The chart for silver looked similar back in April. - [XIV recovery time in bull markets](https://www.sixfigureinvesting.com/2011/08/xiv-recovery-time-in-bull-markets/) - With its 52% decline since July7th, XIV has shown again this is not an investment for weak stomachs. How long might it be before XIV surpasses its recent (and all time high) of 19.43? I looked at the last three significant corrections in the market—the Flash Crash, the Fukushima Crash, and the recent Cap Flash. - [The reason VelocityShares' XIV works...](https://www.sixfigureinvesting.com/2011/01/the-reason-velocityshares-xiv-works/) - The histogram below shows the daily percentage moves of VXX for 2010. If you plot this distribution for a normal stock or ETF you will get a normal looking distribution, with an average close to zero. This distribution (the red line marks zero), is asymmetrical (fat tail on the positive side), with an overall - [Accumulating XIV](https://www.sixfigureinvesting.com/2011/08/accumulating-xiv/) - As far as crashes go, this one has been pretty orderly. Volume continues to be heavy, which I see as one of the few encouraging sign. Ironically Treasuries are up—but lower than investment grade paper is getting hammered. Obviously the big fear is a recession—but without any real news, similar to the Japanese - [Buy on rumor, sell on news](https://www.sixfigureinvesting.com/2011/08/buy-on-rumor-sell-on-news/) - I was very surprised Monday morning when sentiment turned around and the market went into decline. Perhaps people were nervous that the House wouldn't approve the budget proposal, but it seems more likely mixed economic news prevented any sort of euphoric reaction, or people realized that an agreement to add another trillion or two of - [Has most of the drama played out?](https://www.sixfigureinvesting.com/2011/07/has-most-of-the-drama-played-out/) - Using VXX puts when VIX hits high 2 sigma point on Bollinger bands - [Fear set to fade?](https://www.sixfigureinvesting.com/2011/07/fear-set-to-fade/) - I keep an eye on the 6 month chart of VIX index's relation to its Bollinger bands when I'm thinking of making a volatility trade—even when the trade I'm contemplating is a non-VIX related security (e.g., VXX, or XIV). Of course there is nothing iron-clad about it, but as an objective measure I consider - [Scary Market](https://www.sixfigureinvesting.com/2011/07/scary-market/) - I think the big picture on the overall economic situation is pretty scary right now. The factors I see, in increasing scariness: The debt limit drama in Washington is probably only a side show, but each side might believe that a bit of a crisis might help their cause. The USA economy is cooling - [Recovery from the Tech Crash v.s. the Great Recession](https://www.sixfigureinvesting.com/2011/06/recovery-from-the-tech-crash-v-s-the-great-recession/) - Since November 2009 I have been tracking the sometimes eerie day to day correspondence between the current value of SPY and its value 6 years ago. In 2011 the market moved up strongly in the first half, a performance considerably stronger than its counterpart 6 years ago. No double dip, no "square root." This has - [Asset Correlation](https://www.sixfigureinvesting.com/2011/04/asset-correlation/) - Dan Haugh has written an interesting article in the CBOE's "What's On Our Minds" blog on asset correlation. I think the traditional allocation strategies that attempt to lower volatility in a portfolio and reduce risk are showing serious signs of old age. Technology trends (specifically ETFs / ETNs) are changing the way investors can - [Correlation Between The VIX Index and The U.S. Dollar Index](https://www.sixfigureinvesting.com/2011/04/correlation-between-the-vix-index-and-the-u-s-dollar-index/) - Guest contribution provided by Forex Traders As the global economy continues to emerge from the worldwide economic debacle of the last two years, investors have increasingly turned to risky assets in 2011. One could well argue that 2008, 2009, and 2010 were three of the most volatile years in the history of financial markets. In - [The CBOE introduces options on its gold volatility index: GVZ](https://www.sixfigureinvesting.com/2011/04/gvz-gold-volatility-options/) - The CBOE broadened our choice of volatility investments a little bit today when it introduced options on its gold volatility index GVZ. With GVZ, the CBOE has applied the same methodology that it uses for the VIX index,except it is based on the gold ETF: GLD, rather than SPX, the S&P 500 index. - [Sailing through the IEF ex-dividend](https://www.sixfigureinvesting.com/2011/04/sailing-through-the-ief-ex-dividend/) - IEF, Barclays 7-10 year Treasury note ETF, went ex-dividend April 1st with a declared dividend of $0.248 per share. Somewhat surprisingly my IEF + DTYS hedge didn't dip at all, closing at 146.11, the same close as the 31st. I don't see any reason why DTYS should go up on IEF's ex-dividend date—and it is - [Major bear insurance for a XIV position](https://www.sixfigureinvesting.com/2011/03/major-bear-insurance-for-a-xiv-position/) - I have been loading up heavily in XIV during this correction. I certainly haven't been bored, watching big gains one day go away the next, but the contango associated with VXX is currently structural—so as long as that situation continues XIV, which is short contango, will be a long term winner. If this correction - [How did the volatility ETNs / ETFs perform on Tuesday?](https://www.sixfigureinvesting.com/2011/02/how-did-the-volatility-etns-etfs-perform-on-tuesday/) - Tuesday was a good day to look at the performance of the current crowd of volatility tickers. Below is a snapshot of things at the end of the day: . . . Some basics: SPY down 1.77%, with relatively high volume—233 million shares VIX closes at 20.80, up 4.37 points. - [Tax information from the CBOE](https://www.sixfigureinvesting.com/2011/02/tax-information-from-the-cboe/) - The CBOE publishes a guide titled "Taxes and Investing" targeted the individual investor. It addresses some of the finer points of tax law regarding dividends, options, and other securities. See below for the table of contents. - [Bull run not over yet?](https://www.sixfigureinvesting.com/2011/02/bull-run-not-over-yet/) - I created a bear spread on VXX, selling February S28 calls at .39 and buying February S29 calls at .17. VXX was at 27.90 at the time. . - [Equity Option Expiration Dates Jan, Feb, Mar 2010](https://www.sixfigureinvesting.com/2010/01/equity-option-expiration-dates-jan-feb-mar-2010/) - The next three expiration dates for Equity options are: January 16th, 2010 (week before VIX option expiration) February 20th, 2010 March 20th, 2010 The last day of trading is the day before (Friday) the dates above. Source: 2010 OCC Calendar - [Bullish moves...](https://www.sixfigureinvesting.com/2011/02/bullish-moves/) - On Monday I bought back into XIV at 138.87, it doesn't appear that the market will follow last Friday's plunge. Instead we are getting more of a snap-back like we had on the mini-correction starting January 19th. On Tuesday, bought SPY at 129.71 and sold-to-open S130 weekly calls expiring this Friday (4-Feb) at $0.57 for a - [More SPY weeklies while Schwab plays catch-up ](https://www.sixfigureinvesting.com/2010/07/more-spy-weeklies-while-schwab-plays-catch-up/) - Update 3-Feb-2011: Schwab recently added weekly and quarterly option support to all their trading platforms. See here for more information. Update: In March 2011 Schwab plans to introduce StreetSmart Edge™, their new flagship trading platform. Among other things this platform will include, "Major options trading improvements, including the ability to trade weekly and quarterly - [Volatility and Bond moves](https://www.sixfigureinvesting.com/2011/01/volatility-and-bond-moves/) - VIX was touching / very close to the lower 2 sigma Bollinger band this morning, so I sold my XIV position at 150.13. Bought some IEF (Barclays 7-10 Treasuries) at 93.80 because it was near the low end of its current trading range, will go ex-dividend next week (1-Feb) with a dividend of around $0.24/share, - [Options now available on volatility ETNs VIXY & VIXM](https://www.sixfigureinvesting.com/2011/01/volatility-options-vixy-vixm/) - ProShares' competitors to Barclays' VXX and VXZ now have options available on them. With VIXY's and VIXM's average daily volumes of 50K and 10K respectively it seems premature, but I guess if you are going to compete with the market leader you need all the pieces. It will be interesting to see how wide the - [April Condor](https://www.sixfigureinvesting.com/2011/01/april-condor/) - Put a condor in place on S&P 500 April futures. The call spread was at S1350 (sell-to-0pen) and S1370 (buy), while the put spread was at S1140 (sell-to-open) and S1100(buy). The net credit on each set of four options before commissions was 6.15 points. With S&P 500 futures each point is worth $250, on the - [First foray into XIV ](https://www.sixfigureinvesting.com/2011/01/first-foray-into-xiv/) - I have been investigating VelocityShare's XIV inverse volatility ETN, and I'm very impressed. I've backtested it through the beginning of 2010 and I'm getting some very attractive numbers—150% gain for the year. At the worst of the Flash Crash it would have gone down around 20% YTD, which is better than I would have - [What kind of inverse fund is Barclays' new XXV offering?](https://www.sixfigureinvesting.com/2010/08/what-kind-of-inverse-fund-is-barclays-new-xxv-offering/) - Update: I do not believe XXV is a good way to short VXX, or volatility in general. It has very little upside remaining (maximum value will be $40/share), see this post for more details.**********************************************************We know that Barclays' XXV is intended to be an inverse fund of VXX, but there is some confusion regarding what kind of inverse - [XXV — VXX negative percentage move or VXX short?](https://www.sixfigureinvesting.com/2010/08/xxv-vxx-negative-percentage-move-or-vxx-short/) - Update: I do not believe XXV is a good way to short VXX, or volatility in general. It has very little upside remaining (maximum value will be $40/share), see this post for more details.**********************************************************When the XXV ETN first came out in early July there was some discussion on whether Barclays' intent was to match the inverse of - [And then there were 15](https://www.sixfigureinvesting.com/2011/01/proshares-vixy-vixm/) - January 4th ProShares plans to offer two new volatility products: VIXY ProShares VIX Short-Term Futures ETF— a VXX clone VIXM ProShares VIX Mid-Term Futures ETF—a VXZ clone This Morningstar article provides more information. Right now I don't see much that these new funds have to recommend themselves over the 13 funds that preceded them. - [Will interest rates continue to go up?](https://www.sixfigureinvesting.com/2010/12/will-interest-rates-continue-to-go-up/) - I don't think the recent blow-off in Treasury bonds is over. I created a bear spread on IEF (7 to 10 year Treasuries), selling-to-open January S90 calls at 3.24 and buying S94 calls at 0.41. The net credit was $2.83 and the worst case loss is $1.17. The spread for this combo order was - [Another brief condor](https://www.sixfigureinvesting.com/2010/12/another-brief-condor/) - Similar to last week I don't expect much market action this week. I put a SPY condor in place with the quarterly options expiring this Friday the 31st. The puts were at S123 (buy at .19), S124 (sell-to-open at .33), and the calls at S126 (sell-to-open at .43) and S127 (buy at .16) for a - [Will CVOL become the next VXX? ](https://www.sixfigureinvesting.com/2010/12/will-cvol-become-the-next-vxx/) - When Barclays ' VXX ETN first came out early last year I was pretty excited. Having an direct investment in a volatility product that didn't have the time decay (theta) of VIX options was attractive. However, it turns out that price erosion on VXX is a huge issue—anyone that holds on for the - [What about 2011—will it be a replay of 2005?](https://www.sixfigureinvesting.com/2010/12/what-about-2011—will-it-be-a-replay-of-2005/) - Since November 2009 I have been noting that the S&P500 (represented here by SPY) has been closely retracing the path that it followed in 2003 and 2004. Now that 2010 is drawing to a close, I took a look back at 2005 to get one vision (hallucination?) of what lies ahead for 2011. My updated - [Worried about the risk of muni bonds?](https://www.sixfigureinvesting.com/2010/12/worried-about-the-risk-of-muni-bonds/) - Bond Girl, in her blog Self Evident has been writing an interesting series about the realistic risks associated with the municipal bonds market. Her latest post on the subject is titled Differentiating between policy and debt crises. - [GM stock options are now available](https://www.sixfigureinvesting.com/2010/11/gm-stock-options-are-now-available/) - Options on the "new" GM are now available. Created a bear spread, selling Dec 34's at 0.75 and buying Dec 36s at 0.20 for a net credit of 0.55. GM is currently at 33.60. - [Bearish on treasuries](https://www.sixfigureinvesting.com/2010/11/bearish-on-treasuries/) - I created a bear spread on IEF, using a $0.50 credit combo order to sell Dec 98 calls and buy Dec 101 calls. The order filled at 0.57 and 0.07 respectively. The straight market quote at the time for the spread was $0.40 (0.50 bid on the 98s and 0.1 ask on the 101s). - [And then there were 35](https://www.sixfigureinvesting.com/2010/10/and-then-there-were-35/) - This week CBOE expanded their selection of weekly options from 31 to 35. The symbols added this week (expiring November 5th) are: IBM PCLN RIMM SLV. All these except PCLN (Priceline.com Inc.) have previously been on the list at some point. For more on the CBOE's weekly options see here, or see - [Up a little, or down a lot?](https://www.sixfigureinvesting.com/2010/10/up-a-little-or-down-a-lot/) - I believe that current market rally will continue for a while, however I'm pretty confident that there will be a pretty good correction at the end. Predicting when this will happen in the tough part. Monday I saw the opportunity to play it both ways. I bought SPY at 116.65, sold-to-open S117 calls - [The tale of two rallies](https://www.sixfigureinvesting.com/2010/10/the-story-of-two-rallies/) - SPY's 2010 price path for the 8th of October is about 3 points higher that the 2004 trend top line, but that is consistent with 2010's considerably higher volatility. Recently there have been articles noting relatively low trading volumes, but compared to the normalized volume in 2004 (which at an absolute level was about 3.5x - [Back to the oil well](https://www.sixfigureinvesting.com/2010/09/back-to-the-oil-well/) - I'm back into USO after selling my shares and buying back my 24-September S33 calls last Friday for a net credit of $32.97 per share. Bought USO this morning at 33.01, sold-to-open S33 calls at $0.44. Breakeven is 32.57, maximum profit is $0.43 per share. Best case this is a 1.3% return for - [Popular ETF ex-dividend and distribution dates ](https://www.sixfigureinvesting.com/2010/09/popular-etf-ex-dividend-and-distribution-dates/) - I'm trying out a new Wordpress plugin for displaying ex-dividend and distribution date information. [table id=10 /] If you don't see the symbol you want here, you should try this page. - [Six years and a point apart](https://www.sixfigureinvesting.com/2010/09/spy-six-years-apart/) - The surprising day-to-day correlation between SPY in 2004 and SPY in 2010 continues. The 21-September closing values were 112.96 (2004), and 113.98 (2010)—not exactly a rousing endorsement of buy-and-hold strategies. This year's SPY has traded below the old SPY line since mid August, but it just crossed over, challenging the top 2004 trendline (see below). - [USO—back in at 32.40 ](https://www.sixfigureinvesting.com/2010/09/uso—back-in-at-32-40/) - USO continues to bounce around in its trading range. I bought USO at 32.40, and sold-to-open S33 24-Sept expiration calls at .26. Break even i s 32.14, best case profit is $0.86 / share. - [Betting on a downswing](https://www.sixfigureinvesting.com/2010/09/betting-on-a-downswing/) - I'm betting that the market is due for a downswing. If you are a sixfigure contrarian, now is the time to go long... I sold SPY short at 112.99 and bought Oct S114 calls at 1.64 for insurance. Worst case loss $2.65/share. - [USO in trading range](https://www.sixfigureinvesting.com/2010/09/uso-in-trading-range/) - For a couple of weeks USO has been in a trading range between 32 and 33.5. Bought USO at 32.77 and sold S33 10-Sept calls at 0.30. Break even is 32.47, maximum profit is $0.53 per share. - [Testing the bottom 2010 trendline](https://www.sixfigureinvesting.com/2010/08/testing-the-bottom-2010-trendline/) - The closing value of SPY is within about a dollar of the 2010 bottom trendline in the chart below. There is lots of talk about a double dip recession, but I'm betting on a bounce. - [Are we at the bottom yet?](https://www.sixfigureinvesting.com/2010/08/are-we-at-the-bottom-yet/) - After several sell-off days with low volume, the buyers seem to be coming back. I bought SPY at 105.22, sold 27-Aug 106 calls at 0.58. Breakeven is 104.64. Maximum profit is $1.36 per share. Livevol shows the 27-Aug 106 IV's at 28 and the 18-Sept monthly IV for the 106 calls at 24. Right now, - [Two summers of doing nothing](https://www.sixfigureinvesting.com/2010/08/two-summers-of-doing-nothing/) - Labor day is only a few weeks away, and it is looking like the summers of 2004 and 2010 will both end up flat for SPY. Three observations: Last week's move above 113 was interesting, it was close to bouncing off the 2004 top trendline, perhaps we will finally see some sort of recognizable - [Six hours to go](https://www.sixfigureinvesting.com/2010/08/six-hours-to-go/) - Update Well, I was clearly wrong about people not being in panicky mood. Around 10:30 EST the market decided to take another leg down and the VIX did spike up quite a bit. Later in the day the market rallied back to around the point I created this position. I bailed out of - [Two days to go](https://www.sixfigureinvesting.com/2010/08/two-days-to-go/) - I've been staying out of the market (except for USO), because I think the possibility of a pullback is fairly high. However, with two days to go on the SPY Weekly 6-August options (which are showing IVs in the 30s) things started looking attractive. I created an ITM covered call position, buying SPY - [Crossover](https://www.sixfigureinvesting.com/2010/07/crossover/) - For the first time since late May the 2010 price of SPY has risen above the 2004 price for the same day. Not much else to say except this latest rally does offer a little hope that we aren't riding a bear trend into a double dip. - [Recap on SPY weeklies —and some observations](https://www.sixfigureinvesting.com/2010/07/recap-on-spy-weeklies-—and-some-observations/) - After creating a position with SPY on Wednesday at 111.07 I added to my covered calls on Thursday, buying SPY at 110.12, selling 110 strike calls at 0.71. At one point this morning (Friday) , when SPY was off to about 109.5 my 111 strike calls had dropped from Wednesday's 0.83 to 0.08. - [Predicting the future: 27-July-2010](https://www.sixfigureinvesting.com/2010/07/predicting-the-future-27-july-2010/) - I am an engineer by training. It is in my blood to try to engineer a investment solution that gives good upside performance while structurally limiting risk to reasonable levels (e.g., no greater than the upside opportunity). A few years ago I concluded that I had not figured out a way to do this, and - [Dealing with risk — diversified asset allocation](https://www.sixfigureinvesting.com/2010/07/dealing-with-risk-diversified-asset-allocation/) - Diversified asset allocation, the belief system that most investment advisors preach—has the "right" mix of stocks, bonds, real estate, commodities spread out over the entire world. This investor age dependent mix is rebalanced, typically quarterly, by reducing your investment in areas that have performed well and increasing your stake in areas that are now underweighted—presumably - [Playing the weeklies...](https://www.sixfigureinvesting.com/2010/07/playing-the-weeklies/) - Created a covered call position today with SPY at 106.89 and 107 SPY calls expiring this Friday--the 23rd. The calls sold (to open) at 1.18, giving a 1.2% best case profit for the week if SPY closes Friday above 107. Fidelity supports trading these weekly options, but apparently Schwab does not. - [A near miss on the 15th](https://www.sixfigureinvesting.com/2010/07/a-near-miss-on-the-15th/) - On July 15th the closing price of SPY was only $1.12 away from the July 15th, 2004 closing value of SPY. The last crossover between the two price histories was in late May, but it wouldn't take much of a rally to put 2010 on top again. - [The summer of 2010 grinds on](https://www.sixfigureinvesting.com/2010/07/the-summer-of-2010-grinds-on/) - The last 3 days have provided a respite, but in general the market has not been kind to the bulls this summer. As in 2004, the 2010 bottom trendline has not proved to be a impermeable barrier--with a SPY close of 102.2 last Friday providing a convincing accent. Six years ago the market reversed its negative - [SPY dividend capture--June 2010](https://www.sixfigureinvesting.com/2010/06/spy-dividend-capture-june-2010/) - I bought SPY at 111.64, and sold-to-open SPY 108 June-30 expiration calls at 4.08 for a net investment (debit) of 107.58. I used the quarterly SPY options because I could go considerably deeper in the money with the calls and still get a premium that is close to the likely SPY dividend for - [Fear dying down?](https://www.sixfigureinvesting.com/2010/06/fearing-dying-down/) - Bought SPY 109 July calls (17-July expiration) at 2.90. - [Last leg of the correction? Time to break the 2010 trendline? ](https://www.sixfigureinvesting.com/2010/06/last-leg-of-the-correction-time-to-break-the-2010-trendline/) - Although recent intra-day lows have crossed the 2010 trendline in the graph below I hallucinated in February we haven't had a SPY closing yet that has crossed that line (104.87 for 9-June-2010). My crystal ball has been notably hazy recently, but I'm still thinking this is a correction and not the beginning of a - [Recovering from a correction--six years ago](https://www.sixfigureinvesting.com/2010/06/recovering-from-a-correction-six-years-ago/) - On June 1st 2004 SPY was well on its way recovering from a 5% correction that started in May. The jury is still out on whether this year's 12% correction (based on closing values) is over, or just the beginning of a bear market. Six years ago we didn't have the PIIGS (Portugal, Italy, - [Will things start looking up for BP?](https://www.sixfigureinvesting.com/2010/06/will-things-start-looking-up-for-bp/) - I'm optimistic that this generation of containment device will work--once they manage to trim the pipe. Bought BP July (17-July expiration) calls at 40 for 2.84. BP is currently trading at 38.34. - [Portfolio action](https://www.sixfigureinvesting.com/2010/05/portfolio-action/) - This morning I put portfolio B mostly in place (see Three portfolios). I only put in 50% of the large cap weighting (so it is at 25% of the portfolio, instead of the eventual planned 50%). Psychologically I have found it is better to ease in a little with significant investments like this—if the market - [Three portfolios](https://www.sixfigureinvesting.com/2010/05/three-portfolios/) - Three portfolios. All intended for medium risk, medium appreciation (e.g., 8% CAGR) over a 10+ year time frame. Prices are at market close 26-May-2010. Percentages are of total investment available. .. Portfolio A Cash/Money Market 10% Bonds TIPS 5% ACITX $11.81 Bonds Global 15% TPINX $12.69 Real Estate REIT 10% TVRVX $19.74 Commodities - [Head fake or bottom? ](https://www.sixfigureinvesting.com/2010/05/head-fake-or-bottom/) - I'm guessing we are near the bottom of this correction. Bought USO 32 July (17-Jul-10) calls at 2.16. - [Will the 2004 redux model predict the bottom—SPY at 105? ](https://www.sixfigureinvesting.com/2010/05/will-the-2004-redux-model-predict-the-bottom—spy-at-105/) - In February I created a 2010 trendline based on the behavior of the market in 2004, using the market bottom in early February 2010 as the anchor. Looking at the chart below, the 2010 trendline predicts a bottom of this correction will be SPY at 105. We'll see. Of course people are concerned about a - [Options symbols transition completed](https://www.sixfigureinvesting.com/2010/05/options-symbols-transition-completed/) - This last weekend the option symbol transition coordinated by The Options Clearing Corporation completed, with the last set of symbols, starting with underlying symbols of S through Z, switched over to the new system. In almost all cases the 3 to 5 letter underlying symbol now works as the option identifier. I think - [Fear vs Fear — 2009 / 2010 wins](https://www.sixfigureinvesting.com/2010/05/fear-vs-fear-—-2009-2010-wins/) - When updating the chart below, where the price and normalized volume of SPY from 2003/2004 intertwines with the SPY of 2009/2010, I noticed one area of consistent difference between the two time spans—volatility. Using the VIX index as a proxy for actual volatility, the '09 / '10 values have averaged about 40% higher than - [Lots of premium available on SPY options](https://www.sixfigureinvesting.com/2010/05/lots-of-premium-available-on-spy-options/) - There is a lot of premium available on SPY options that will expire at the end of next week due to the recent market gyrations. I created a covered call, buying SPY at 117.26, selling-to-open May 117 calls at 1.69 for a net investment of 115.57. The Theta (time decay) on these options - [Crash, bounce, or sideways — what's next?](https://www.sixfigureinvesting.com/2010/05/crash-bounce-or-sideways-—-whats-next/) - It's 12:41AM Eastern time, 10-May-2010 and the Asian markets are up—evidently they are liking the central banks moves to shore up the Euro. I think Greece's days in the Euro camp are numbered—maybe 6 to 18 months. The UK has shown that it is perfectly OK to be a member of the EU without - [Playing for a bounce in oil](https://www.sixfigureinvesting.com/2010/05/playing-for-a-bounce-in-oil/) - I closed out the option portion of my covered call on USO, buying back the 41 May call options at .30 (sold them at 1.33). It's tempting to sell 39 calls now, they are at around .8 right now, but I'm pretty bullish on USO bouncing back. - [Back into Oil](https://www.sixfigureinvesting.com/2010/04/back-into-oil/) - I did covered calls on USO, selling-to-open the 41 May calls at 1.33 and buying USO at 41.47 for a net investment of 40.17. The US economic situation continues to look up, and the oil spill in the Gulf will do nothing to help the supply situation. Plus it gives companies an excuse to - [Bull Spread -- SPY at 121.0 ](https://www.sixfigureinvesting.com/2010/04/bull-spread-spy-at-121-0/) - One alternative to a covered call is a bull spread. You give up some premium in exchange for significantly reducing your downside risk. I bought SPY 118 May calls at 3.91 and sold 121 May calls at 1.82 for a net debit of 2.09. SPY was right at 121 at the time, so the the - [VIX option 2010 April expiration -- settlement value 15.94](https://www.sixfigureinvesting.com/2010/04/vix-option-2010-april-expiration-settlement-value-15-94/) - The settlement value for the VIX index options for April was 15.94 This settlement value is quoted under the symbol VRO (^VRO for Yahoo, $VRO for Schwab). Today's 21-April opening value for the VIX index was 15.80, so the difference was a relatively small 0.14 (.9%). The settlement value and the real time VIX index - [Betting that the rally will last the week](https://www.sixfigureinvesting.com/2010/04/betting-that-the-rally-will-last-the-week/) - Did covered calls on SPY, buying SPY at 119.70, selling to open April 119 Calls at 1.11. Net investment/ breakeven is 118.59. Ended up doing sequential market orders because combo order execution was not working well at Schwab. Has the feel that actual humans are involved in the process--not a good thing with - [Will the rally last? ](https://www.sixfigureinvesting.com/2010/04/will-the-rally-last/) - Did a covered call on SPY using a combo order. Bought SPY at 119.83, sold-to-open April 120 calls at $0.70 for a net investment of 119.13. - [Betting on the bear ](https://www.sixfigureinvesting.com/2010/04/betting-on-the-bear/) - I put a bear spread into place on SPY, selling April 100 calls at 8.10 and buying April 108 calls at 1.30 -- net credit of 6.80. Worst case loss is 1.2 per call pair, best case profit is 6.8 per call pair. - [Time for divergence from 2004? ](https://www.sixfigureinvesting.com/2010/03/time-for-divergence-from-2004/) - Looking a the chart below you can imagine this year's stock market getting back on the 2009 trend line, leaving the 2003/2004 correlation behind. But I'm still betting that the market is in a sideways mode, rather than a continuing raging bull. The most notable change in the curves since my last update on the - [Where have all the sellers gone? Is fear in cash? ](https://www.sixfigureinvesting.com/2010/03/where-have-all-the-sellers-gone-is-fear-in-cash/) - This bull run has been going on since the 8th of February. A very long time without a correction in these uncertain times. In watching the market action I have been surprised at the down days. In-spite of the late January scary correction and market shocks that I would expect to send the S&P 500 - [Projections for 2010](https://www.sixfigureinvesting.com/2010/01/projections-for-2010/) - As much as I wish there was a system that we could turn the crank and make lots of money on the markets, I think the market is too good for that to work. We are reduced to educated guesswork. Some guesses: The S&P 500 will move from its astonishing trendline to a slightly down - [Buy and hold v.s. market timing](https://www.sixfigureinvesting.com/2010/03/buy-and-hold-v-s-market-timing/) - The last few weeks have been painful for me--being on the sidelines while the market stages an impressive rally. I don't expect to call things right all the time, and there are worse things that just not making money for a month, but it's not fun missing the call. In the typical buy and - [Synchronicity ](https://www.sixfigureinvesting.com/2010/03/synchronicity/) - The intraday SPY prices for the last two days have overlapped with SPY's March 9th and 10th 2004 values. Since March 9th, 2009 the SPY values exactly 6 years apart have matched each other within 15 points all the time and on average have closed within 4.5 points of each other. While the - [Looking for a correction](https://www.sixfigureinvesting.com/2010/03/looking-for-a-correction/) - I bought SPY 113 April puts this morning at 1.89 when SPY was trading at about 114.65. I think the next major market move will be a downswing. - [Trading range, break-out, or double dip--some patience required](https://www.sixfigureinvesting.com/2010/03/trading-range-break-out-or-double-dip-some-patience-required/) - I have been not so patiently waiting for the market to pick a direction. I have been surprised at the strength of the rebound from the lows a month ago--we are less than a point away from SPY setting 15 month highs. My gut is still telling me we are in a trading - [S&P500--going for another date/price match between 2004 and 2010? ](https://www.sixfigureinvesting.com/2010/03/sp500-going-for-another-dateprice-match-between-2004-and-2010/) - The surprising date / value / normalized volume correlation on the S&P 500 between 2004 and 2010 continues, with the 3rd of March SPY closings only differing by 3%. If 2010 continues to track 2004 then we should see an ongoing ramp in trading volume, with a 30 day moving average of around 300 million shares - [Monitoring the yield curve--a slow motion train wreck](https://www.sixfigureinvesting.com/2010/02/monitoring-the-yield-curve/) - I continue to scan for ways to profit on what I believe will be the inevitable rise of interest rates in the future. I think the classic 30 to 40% weighting in bonds that financial advisers propose for balanced risk, moderate growth portfolios is going to be a big loser in the next couple - [Covered call on SDS](https://www.sixfigureinvesting.com/2010/02/covered-call-on-sds/) - Did covered calls on SDS (double short S&P 500). Bought SDS at 35.86, sold March 34 calls at 2.37 for a net investment of 33.52. Extrinsic value is .48, so the max profit potential is .48/33.52 = 1.4% - [Out of Oil and SPY](https://www.sixfigureinvesting.com/2010/02/out-of-oil-and-spy/) - My USO position and my remaining SPY covered call positions were called this weekend, so I'm back to about 90% cash. Despite the scary stuff in the last couple of weeks, they ended up yielding their maximum profit potential. Oil looks expensive right now, so I wouldn't be surprised to see a pull back there. - [DIA Dividend Capture--close out](https://www.sixfigureinvesting.com/2010/02/dia-dividend-capture-close-out/) - My DIA dividend capture position was assigned last night as expected, for a net profit of $0.27 per share. Since my DIA position was called before the dividend was distributed I won't actually get the dividend (which I am estimating to be $0.25), but my net profit is slightly more with considerably less risk than - [February SPY close-out](https://www.sixfigureinvesting.com/2010/02/february-spy-close-out/) - I closed out my SPY Feb 111 buy-write position a little early today. It would have probably closed in the money, but I didn't like the way the market was behaving for a position that was only a few tenths in the money. Sold SPY at 111.23 and bought back the calls at .36 - [2004 Redux--into a negative trend line? ](https://www.sixfigureinvesting.com/2010/02/2004-redux-into-a-negative-trend-line/) - I'm continuing with the hypothesis that there are a lot of similarities to the 2003/2004 market that might help predict the future action of the market. Clearly volatility is higher now than the 2003/2004 period, and the transition from upward trend line to a sideways market has been scarier--but these are scary times. Looking - [Sideways Market -- with a slightly declining trend...](https://www.sixfigureinvesting.com/2010/02/sideways-market-with-a-slightly-declining-trend/) - In case you haven't noticed, the market has moved off the nice trend line it was on the 2nd half of 2009 into what appears to be a sideways mode. Similar markets like in 2004, have moved off big trendline bull runs and then transitioned into slightly declining sideways markets. I plan to continue a - [Back into oil -- covered calls on USO](https://www.sixfigureinvesting.com/2010/01/back-into-oil-covered-calls-on-uso/) - USO has dropped from recent highs around 41, down to the mid 36s. I did covered calls at a net debit of 35.59. Bought USO at 36.57 and sold to open Feb 37 calls ( or "-UBO100220C37" in Fidelity speak) at .98. - [2004 vs 2010 -- Similar highs & lows, so far... ](https://www.sixfigureinvesting.com/2010/02/2004-vs-2010-similar-highs-lows-so-far/) - Updating the 2003/2004 to 2009/2010 comparison with SPY, we see that 2010's first major correction arrived about a month earlier than 2004's. So far the 2004 absolute high vs absolute low is very close to 2010's at 9.38 vs 9.17 points and the percentage drop-offs are very similar at 8% vs 7.9%. The volume - [Bear or a scare?](https://www.sixfigureinvesting.com/2010/02/bear-or-a-scare/) - It didn't take long for the self-conscious euphoria of early January to turn into panic-tinged nervousness in late January. I don't blame the market, after the brutal beating of early 2009, people have a right to be fearful. I continue to be optimistic. At the base level, I think the markets are driven by the economy, - [Rally or Fall -- this week should tell](https://www.sixfigureinvesting.com/2010/02/rally-or-fall-this-week-should-tell/) - I'm don't pay much attention to the month of the year predictors for the stock market such as "As January goes, so goes the year". As this post points out, the statistics are hardly overwhelming. There are tax and cultural reasons (year end, lots of time off/holidays) that reasonably give December and January some - [Fear and Greed in a Tussle](https://www.sixfigureinvesting.com/2010/01/fear-and-greed-in-a-tussle/) - Neither the bulls or the bears have gotten the upper hand this week. The specter of another debacle, similar to last year's, hangs out in the back of our minds, but the fairly constant stream of good earnings reports provides a counterbalance. I think this correction has pretty much run its course. I'm putting - [Back into SPY -- Covered Call at 111 ](https://www.sixfigureinvesting.com/2010/01/back-into-spy-covered-call-at-111/) - I created a covered call position with SPY for a net investment of 108.43 per share, bought SPY at 110.298 and sold Feb 111 calls ( SPY 02/20/2010 111.00 C in Schwab speak) at 1.87. I sold out of the money calls because I'm pretty optimistic the market will retrace the recent drop-off. - [S&P 500 Still Tracking 2004...](https://www.sixfigureinvesting.com/2010/01/still-tracking-2004/) - I updated my 2003-2004 compared to 2009-2010 chart for SPY/S&P500 with another week of data and adjusted the normalized volume scale so that I wasn't chopping off the curve. While the absolute value of SPY is almost identical to what it was 6 years ago the volume is about a factor of 6 higher, so - [12 January 2010 correction--two more days to go?](https://www.sixfigureinvesting.com/2010/01/12-january-2010-correction-two-more-days-to-go/) - A long over due correction (in my opinion) started today. I'm expecting (hoping) that it goes on for two or three more days. - [Countdown to new options symbols ](https://www.sixfigureinvesting.com/2010/01/countdown-to-new-options-symbols/) - Schwab plans to implement the first phase of the option symbol change-over the 23rd of January. I'm assuming their software has already been updated and they just need to flip some switch for our client software to start supporting the new format. This will take some getting used to. A good friend like - [Are we reliving 2004? Daily level correlation with SPY... ](https://www.sixfigureinvesting.com/2010/01/are-we-reliving-2004-daily-level-correlation-with-spy/) - Last November I posted regarding the interesting correlation (at the day of the month level) between SPY prices in 2003 and 2009. I updated that analysis with the last 44 days of data and things still line up surprisingly well. Six years later to the day, the SPY closing values are just slightly over - [2004 Redux?](https://www.sixfigureinvesting.com/2010/01/2004-redux/) - The 12 year chart below shows some interesting correlations between the beginnings of the 2003--20007 bull market and now. In fact the months and SPY values lines up almost exactly. The 2003 bull started in March, and in January 2004 was trading at the 113/114 level (vertical black line) that we are at now. Not - [VIX quotes, VIX option quotes](https://www.sixfigureinvesting.com/2010/01/vix-quotes-vix-option-quotes/) - You can get delayed VIX quotes on Yahoo with the symbol ^VIX You can also get VIX option quotes here. Go to here for the correct expiration dates (always last trading on a Tuesday, expiration on a Wednesday morning) You can get free delayed quotes for VIX options on LIVEVOL that also provides correctly computed greeks - [Dividend Capture](https://www.sixfigureinvesting.com/2009/11/dividend-capture/) - Bond or stock dividends are interesting because they are market discontinuities. Unlike surprising earnings reports, revised analyst ratings, or lawsuits dividends are usually predictable in both amount and timing. 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This data can be used to compute volatility indexes like SPVXSTR, SPVXSP, SPVXMSTR, and SPVXMP but those - [Equity Trading Days From January 1990-2025, VIX Futures/Options, SPX Option Monthly Expirations From 2004-2022](https://www.sixfigureinvesting.com/product/historic-trading-days-vix-expirations-spx-option-monthly-exp/) - This spreadsheet contains historic trading days since January 2nd, 1990, as well as the expiration dates for VIX options & futures from January 2004, and SPX Option monthly (usually 3rd Friday) expirations. Planned trading dates and expirations are included for at least 2023 and sometimes farther in the future. Please bear in mind that unexpected - [VIX3M and VIX6M Style Index Calculations Back to 1990](https://www.sixfigureinvesting.com/product/vix3m-and-vix6m-style-index-calculations-back-to-1990/) - VIX3M and VIX6M Style Index Calculations Back to 1990 - [VIX Futures Extended Data 2004 Through Most Recent Quarter](https://www.sixfigureinvesting.com/product/vix-futures-ext-data-through-most-recent-quarter/) - VIX Futures Data, including display of available OHLC, Volume, Open Interest , and Exchange For Physical (EFP) from 2004 through most recent quarter end - [LONGVOL and SHORTVOL Indexes (free)](https://www.sixfigureinvesting.com/product/longvol-shortvol-indexes/) - LongVol and ShortVol index calculations back to 20-Dec-2005. - [Volatility Shares BITX (2X Bitcoin Futures) & ETHU (2X Ether) ETF Backtests (free)](https://www.sixfigureinvesting.com/product/bitx-backtest-free-copy/) - Simulated prices for BITX starting 17-Sept-2014. The data included typically goes up to the end of the last calendar quarter. Includes its underlying SPBTFDUE index and historical Bitcoin prices. - [Proshares -0.5X SVXY Backtest](https://www.sixfigureinvesting.com/product/proshares-0-5x-svxy-backtest/) - Proshares changed the leverage factor of SVXY from -1.0X to -0.5X effective February 28th, 2018. The historical data commonly found on websites like Yahoo before that reflects the old -1.0X behavior. This simulation shows how the -0.5X SVXY would have performed back to 2004. The simulation data for the old -1.0X SVXY and XIV inverse - [UVXY O/H/L/C Backtests](https://www.sixfigureinvesting.com/product/proshares-uvxy-ohlc-backtests/) - UVXY is a 1.5X leveraged long volatility fund offered by ProShares that is based on short-term VIX futures (1st & 2nd month). The current 1.5X leveraged version of UVXY started trading on February 28, 2018. The publicly available historical Open/High/Low/ Close data starts from October 2011 but up until February 28th 2018 reflects prices of - [1990-2025 Trading Calendar Equities, 2004-2025 VIX Futures/Options Expirations, SPX Option Expiration](https://www.sixfigureinvesting.com/product/current-trading-calendar-equities-vix-futures-options-expirations-spx-option-expiration/) - This spreadsheet contains historic trading days since January 2nd, 1990, as well as the expiration dates for VIX options & futures from January 2004, and SPX Option monthly (usually 3rd Friday) expirations from July 2013. Planned trading dates and expirations are included for at least 2023 and sometimes farther in the future. Please bear in - [Proshares 1.5X UVXY Backtest](https://www.sixfigureinvesting.com/product/proshares-1-5x-uvxy-backtest/) - This simulation shows how the 1.5X UVXY would have performed back to 2004 - [VIX6M Style Index Calculation From 1990](https://www.sixfigureinvesting.com/product/vix6m-style-index-calculation-back-to-1990/) - The VIX6M is a Cboe VIX® style index, which uses the VIX style calculation methodology but has a 184-day horizon instead of the VIX's 30-day outlook. The VIX6M was introduced by the Cboe in 2013 (it was named VXMT at that point) and provided the historical appropriate calculations back to January 2008. I have - [VIX3M Style Index Calculation Back to 1990](https://www.sixfigureinvesting.com/product/vix3m-style-index-calculation-back-to-1990/) - The VIX3M is a Cboe VIX® style index, which uses the VIX style calculation methodology but has a 93-day horizon instead of the VIX's 30-day outlook. The VIX3M was introduced by the Cboe in 2017 (it was named VXV at that point) and did the appropriate calculations back to January 2002. I have taken - [VelocityShares ZIV Backtest](https://www.sixfigureinvesting.com/product/velocityshares-ziv-backtest/) - ZIV is a -1.0X inverse fund that's based on medium-term VIX Futures (4th through the 7th month). This simulation shows how the ZIV would have performed back to 2004. The data on this spreadsheet goes from March 2004 through January 11th, 2023. For more information on this product was created see: End-Of-Day Simulations for Popular - [SVXY O/H/L/C Backtests](https://www.sixfigureinvesting.com/product/svxy-o-h-l-c-backtests/) - SVXY is a -0.5X leveraged inverse volatility fund offered by ProShares that is based on short-term VIX futures (1st & 2nd month). The current -0.5X leveraged version of SVXY started trading on February 28, 2018. The publicly available historical Open/High/Low/ Close data starts from October 2011 but up until February 28th, 2018 it reflects prices - [ProShares' VIXY Backtest](https://www.sixfigureinvesting.com/product/proshares-vixy-backtest/) - Simulation of VIXY using the underlying short term VIX Futures from March 2004 through the most recent quarter. See this table for specific dates. See this post for more information about the simulation process I used. I also offer a VIXY simulation that provides open/high/low prices in addition to end-of-day prices from March 2004 through - [VIXY O/H/L/C Backtest](https://www.sixfigureinvesting.com/product/proshares-1x-long-vixy-backtest/) - VIXY is a volatility fund offered by ProShares that is based on short-term VIX futures (1st & 2nd month). VIXY started trading in January 2011 so there is no market price data available before that (e.g., during the 2008/2009 market crash). This simulation includes VIXY’s simulated open, high, low, and end-of-day closing price from March - [VXX O/H/L/C Backtest](https://www.sixfigureinvesting.com/product/vxx-vxxb-o-h-l-c-backtest/) - VXX is a long volatility fund offered by Barclays that is based on short-term VIX futures (1st & 2nd month). VXX started trading in January 2009 so there is no market price data available before that (e.g., during the 2008/2009 market crash). This simulation shows VXX's simulated open, high, low, and end-of-day closing price from - [VIXM Backtest](https://www.sixfigureinvesting.com/product/vixm-backtest/) - VIXM is a long volatility fund offered by ProShares that is based on medium-term VIX futures (4th through the 7th month). VIMX started trading in January 2011 so there is no market price data available before that (e.g., during the 2008/2009 market crash). This simulation shows VIXM's simulated end-of-day closing price from March 2004 through - [VXX Backtest](https://www.sixfigureinvesting.com/product/simulated-volatility-etp-end-of-day-closing-values-vxx/) - VXX is a long volatility fund offered by Barclays that is based on short-term VIX futures (1st & 2nd month). VXX started trading in January 2009 so there is no market price data available before that (e.g., during the 2008/2009 market crash). This simulation provides VXX’s simulated end-of-day closing prices from March 2004 through the - [VXZ Backtest](https://www.sixfigureinvesting.com/product/barclays-vxz-vxzb-backtest/) - VXZ is a long volatility fund offered by Barclays that is based on medium-term VIX futures (4th through the 7th month). The original VXZ matured in January 2018 and was replaced by a virtually identical product, VXZB but then Barclays then renamed VXZB back to VXZ. Since VXZ and VXZB had identical indicative values the - [VXZ O/H/L/C Backtest](https://www.sixfigureinvesting.com/product/vxz-vxzb-o-h-l-c-backtest/) - VXZ is a long volatility fund offered by Barclays that is based on medium-term VIX futures (4th through the 7th month). VXZ started trading in January 2009 so there is no market price data available before that (e.g., during the 2008/2009 market crash). This simulation shows VXZ simulated open, high, low, and end-of-day closing prices - [VelocityShares 2X TVIX Backtest](https://www.sixfigureinvesting.com/product/velocityshares-2-0x-tvix/) - TVIX is a 2X leveraged long volatility fund created by VelocityShares that is based on short-term VIX futures (1st & 2nd month). TVIX started trading in November 2011 so there is no market price data available before that (e.g., during the 2008/2009 market crash). This simulation shows TVIX's simulated end-of-day closing price from March 2004 - [EVIX / EXIV Backtests](https://www.sixfigureinvesting.com/product/evix-exiv-backtests/) - EVIX and EXIV are long volatility and short Exchange Traded Products funds offered by UBS and marketed by VelocityShares that are based on short-term European VSTOXX futures (1st & 2nd month). EVIX and EXIV started trading in May 2017 so there is no market price data available before that. This simulation provides EVIX / EXIV - [TVIX O/H/L/C Backtest](https://www.sixfigureinvesting.com/product/tvix-o-h-l-c-backtest/) - TVIX is a 2X leveraged long volatility fund offered by VelocityShares that is based on short-term VIX futures (1st & 2nd month). TVIX started trading in November 2011 so there is no market price data available before that (e.g., during the 2008/2009 market crash). This simulation shows TVIX's simulated open, high, low, and end-of-day closing - [ZIV O/H/L/C Backtest](https://www.sixfigureinvesting.com/product/ziv-o-h-l-c-backtest/) - ZIV is a -1X leveraged inverse volatility fund offered by VelocityShares that is based on medium-term VIX futures (4th through 7th month). ZIV started trading in November 2011 so there is no market price data available before that (e.g., during the 2008/2009 market crash). This simulation shows ZIV's simulated open, high, low, and end-of-day closing - [Barclays' VQT Volatility Hedged S&P 500 ETN Backtest—Values only](https://www.sixfigureinvesting.com/product/barclays-vqt-volatility-hedged-sp-500-etn/) - VQT is an Exchange Traded Note (ETN) offered by Barclays that combines a position in the S&P 500 with a long volatility position (essentially VXXB). The mix of these two components is variable, ranging from a small (2.5%) position in volatility up to a 40% share depending on market conditions. VQT started trading in - [Barclays' VQT Volatility Hedged S&P 500 ETN Backtest—Formulas & Values](https://www.sixfigureinvesting.com/product/barclays-vqt-volatility-hedged-sp-500-etn-backtest-formulas-values/) - VQT is an Exchange Traded Note (ETN) offered by Barclays that combines a position in the S&P 500 with a long volatility position (essentially VXXB). The mix of these two components is variable, ranging from a small (2.5%) position in volatility up to a 40% share depending on market conditions. VQT started trading in September - [Barclays' XVZ ETN Backtest—Values only](https://www.sixfigureinvesting.com/product/barclays-xvz-etn-backtest-values-only/) - XVZ is an Exchange Traded Note (ETN) offered by Barclays that changes its volatility posture depending on market conditions. XVZ started trading in August 2011 so there is no market price data available before that (e.g., during the 2008/2009 market crash). This simulation shows XVZ’s simulated end-of-day closing price (values only, no formulas) from March - [Barclays' XVZ ETN Backtest—Values and Formulas](https://www.sixfigureinvesting.com/product/barclays-xvz-etn-backtest-values-and-formulas/) - XVZ is an Exchange Traded Note (ETN) offered by Barclays that changes its volatility posture depending on market conditions. XVZ started trading in August 2011 so there is no market price data available before that (e.g., during the 2008/2009 market crash). 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[CVOL compared to VIX](https://www.sixfigureinvesting.com/tag/cvol-compared-to-vix/) - [CVOL leverage](https://www.sixfigureinvesting.com/tag/cvol-leverage/) - [VIX fear index hedge](https://www.sixfigureinvesting.com/tag/vix-fear-index-hedge/) - [SPY dividend paydate](https://www.sixfigureinvesting.com/tag/spy-dividend-paydate/) - [VOO](https://www.sixfigureinvesting.com/tag/voo/) - [S&P500 index ETFs](https://www.sixfigureinvesting.com/tag/sp500-index-etfs/) - [bad dividend capture strategies](https://www.sixfigureinvesting.com/tag/bad-dividend-capture-strategies/) - [SPY history](https://www.sixfigureinvesting.com/tag/spy-history/) - [SPY historic comparison](https://www.sixfigureinvesting.com/tag/spy-historic-comparison/) - [SPY 2005 vs 2011](https://www.sixfigureinvesting.com/tag/spy-2005-vs-2011/) - [short calls on ex-dividend](https://www.sixfigureinvesting.com/tag/short-calls-on-ex-dividend/) - [SPY condor](https://www.sixfigureinvesting.com/tag/spy-condor/) - [condor](https://www.sixfigureinvesting.com/tag/condor/) - 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[ivo](https://www.sixfigureinvesting.com/tag/ivo/) - [XVIX](https://www.sixfigureinvesting.com/tag/xvix/) - [XIV performance](https://www.sixfigureinvesting.com/tag/xiv-performance/) - [NYSE:XIV](https://www.sixfigureinvesting.com/tag/nysexiv/) - [vixy options](https://www.sixfigureinvesting.com/tag/vixy-options/) - [vixm options](https://www.sixfigureinvesting.com/tag/vixm-options/) - [XIV bollinger bands](https://www.sixfigureinvesting.com/tag/xiv-bollinger-bands/) - [Active trader Pro](https://www.sixfigureinvesting.com/tag/active-trader-pro/) - [Fidelity Active Trader Pro](https://www.sixfigureinvesting.com/tag/fidelity-active-trader-pro/) - [BND](https://www.sixfigureinvesting.com/tag/bnd/) - [BSV](https://www.sixfigureinvesting.com/tag/bsv/) - [VGLT](https://www.sixfigureinvesting.com/tag/vglt/) - [BIV](https://www.sixfigureinvesting.com/tag/biv/) - [VCSH](https://www.sixfigureinvesting.com/tag/vcsh/) - [VFH](https://www.sixfigureinvesting.com/tag/vfh/) - [VNQ](https://www.sixfigureinvesting.com/tag/vnq/) - [VUG](https://www.sixfigureinvesting.com/tag/vug/) - [VIG](https://www.sixfigureinvesting.com/tag/vig/) - [VTI](https://www.sixfigureinvesting.com/tag/vti/) - [VTV](https://www.sixfigureinvesting.com/tag/vtv/) - [VV](https://www.sixfigureinvesting.com/tag/vv/) - [VYM](https://www.sixfigureinvesting.com/tag/vym/) - [VEA](https://www.sixfigureinvesting.com/tag/vea/) - [VB](https://www.sixfigureinvesting.com/tag/vb/) - [VGK](https://www.sixfigureinvesting.com/tag/vgk/) - [VO](https://www.sixfigureinvesting.com/tag/vo/) - [VBR](https://www.sixfigureinvesting.com/tag/vbr/) - [VWO](https://www.sixfigureinvesting.com/tag/vwo/) - [VEU](https://www.sixfigureinvesting.com/tag/veu/) - [VAW](https://www.sixfigureinvesting.com/tag/vaw/) - [VDE](https://www.sixfigureinvesting.com/tag/vde/) - [VBK](https://www.sixfigureinvesting.com/tag/vbk/) - [VGT](https://www.sixfigureinvesting.com/tag/vgt/) - [Vanguard ex-dividend](https://www.sixfigureinvesting.com/tag/vanguard-ex-dividend/) - [backtesting volatility](https://www.sixfigureinvesting.com/tag/backtesting-volatility/) - 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[SST](https://www.sixfigureinvesting.com/tag/sst/) - [TIPX](https://www.sixfigureinvesting.com/tag/tipx/) - [TLO](https://www.sixfigureinvesting.com/tag/tlo/) - [ULST](https://www.sixfigureinvesting.com/tag/ulst/) - [VTD](https://www.sixfigureinvesting.com/tag/vtd/) - [XOVR](https://www.sixfigureinvesting.com/tag/xovr/) - [Short VXXB](https://www.sixfigureinvesting.com/tag/short-vxxb/) - [VXXB ETN](https://www.sixfigureinvesting.com/tag/vxxb-etn/) - [PHDG](https://www.sixfigureinvesting.com/tag/phdg/) - [PHDG work](https://www.sixfigureinvesting.com/tag/phdg-work/) ## Product categories - [VIX Futures](https://www.sixfigureinvesting.com/product-category/vix-futures/) - [Volatility Exchange Traded Products](https://www.sixfigureinvesting.com/product-category/volatility-exchange-traded-products/) - [End of Day (Settlement) Values](https://www.sixfigureinvesting.com/product-category/volatility-exchange-traded-products/end-of-day-settlement-values/) - [Open-HIgh-Low-Close Values](https://www.sixfigureinvesting.com/product-category/volatility-exchange-traded-products/open-high-low-close-values/) - [Strategy Funds](https://www.sixfigureinvesting.com/product-category/volatility-exchange-traded-products/strategy-funds/) - [Z Odds Ends](https://www.sixfigureinvesting.com/product-category/z-odds-ends/) - [Indexes](https://www.sixfigureinvesting.com/product-category/indexes/) - [Calendars](https://www.sixfigureinvesting.com/product-category/calendars/) - [Bitcoin](https://www.sixfigureinvesting.com/product-category/bitcoin/) - [ETF](https://www.sixfigureinvesting.com/product-category/etf/) ## Product tags - [spreadsheet](https://www.sixfigureinvesting.com/product-tag/spreadsheet/) - [VQT](https://www.sixfigureinvesting.com/product-tag/vqt/) - [End-Of-Day](https://www.sixfigureinvesting.com/product-tag/end-of-day/) - [Black & Scholes Excel](https://www.sixfigureinvesting.com/product-tag/black-scholes-excel/) - [B&S Excel](https://www.sixfigureinvesting.com/product-tag/bs-excel/) - [VIX3M](https://www.sixfigureinvesting.com/product-tag/vix3m/) - [VIX6M](https://www.sixfigureinvesting.com/product-tag/vix6m/) - [VIX3M historical Data](https://www.sixfigureinvesting.com/product-tag/vix3m-historical-data/) - [VIX6M Historical Data](https://www.sixfigureinvesting.com/product-tag/vix6m-historical-data/) - [VIX3M + VIX6M](https://www.sixfigureinvesting.com/product-tag/vix3m-vix6m/) - [LongVol](https://www.sixfigureinvesting.com/product-tag/longvol/) - [ShortVol](https://www.sixfigureinvesting.com/product-tag/shortvol/) - [SVIX](https://www.sixfigureinvesting.com/product-tag/svix/) - [UVIX](https://www.sixfigureinvesting.com/product-tag/uvix/) - [SVIX UVIX](https://www.sixfigureinvesting.com/product-tag/svix-uvix/) - [VIXM](https://www.sixfigureinvesting.com/product-tag/vixm/) - [VIXY OHLC](https://www.sixfigureinvesting.com/product-tag/vixy-ohlc/) - [VIXY Backtest](https://www.sixfigureinvesting.com/product-tag/vixy-backtest/) - [VIXY Simulation](https://www.sixfigureinvesting.com/product-tag/vixy-simulation/) - [VIXY](https://www.sixfigureinvesting.com/product-tag/vixy/) - [SVXY](https://www.sixfigureinvesting.com/product-tag/svxy/) - [SVXY O/H/L/C](https://www.sixfigureinvesting.com/product-tag/svxy-o-h-l-c/) - [ZIVB](https://www.sixfigureinvesting.com/product-tag/zivb/) - [SPVXMPI](https://www.sixfigureinvesting.com/product-tag/spvxmpi/) - [BITX](https://www.sixfigureinvesting.com/product-tag/bitx/) - [Volatility Shares](https://www.sixfigureinvesting.com/product-tag/volatility-shares/) - [SPBTFDUE](https://www.sixfigureinvesting.com/product-tag/spbtfdue/) - [ETF](https://www.sixfigureinvesting.com/product-tag/etf/) - [2X Bitcoin](https://www.sixfigureinvesting.com/product-tag/2x-bitcoin/) - [vix futures](https://www.sixfigureinvesting.com/product-tag/vix-futures/) - [vix futures volume](https://www.sixfigureinvesting.com/product-tag/vix-futures-volume/) - [vix future OHLC](https://www.sixfigureinvesting.com/product-tag/vix-future-ohlc/) - [Vix Future Open Interest](https://www.sixfigureinvesting.com/product-tag/vix-future-open-interest/)