Under the hood of Citigroup’s 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 leveraged short S&P 500 position.  I’ve been wondering why this …

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