For a security doomed to decrease in value over time Barclays’ VXX does amazingly well. Its volume averages over 8 million shares per day and its assets under management had stayed around $800 million to $1.5 billion until an ugly 2022, were it had to cease share creations for 6 months due to a regulatory problem. Now its assets are at $300 million, still not …
Update 17-December-2022 Effective 26 September 2022, Barclays resumed share creations on VXX. This closed out a grim period, starting on 14-Mar-2022 when Barclays suspended share creations of VXX due to an administrative screw-up. Since the suspension, VXX has traded at premiums as high as 52% over its IV price. This premium over the IV price can develop because share creations are a key process required …
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 in their prospectus, and in the fund’s fact sheet. Don’t …
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. In fact, it’s not unusual for VXXB and VIX to …
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 overview of how VXX works, see “How Does VXX Work?” …
