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 symbols for each one. You can save layouts to the …
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? I did a back synthesis of XIV starting January 4th, …
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, the dates below are just guesses, based on previous year’s …
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 futures as well as the options on the futures. With …
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 average of minus 0.43%. In contrast, the average of VIX’s …
