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VIX ETPs Flash Some Green in 2016
Last year I shocked quite a few investors and media outlets with the publication of Every Single VIX ETP (Long and Short) Lost Money in 2015. My intent was not to tar and feather the VIX...
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Putting Low Stock Volatility to Good Use (Guest Columnist at Barron’s)
With spring training just getting underway in Florida and Arizona, I think it is appropriate that I once again have an opportunity to pinch hit for Steve Sears in his The Striking Pricecolumn for...
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SPX 1, 2 and 3-Year Returns Following Top and Bottom Five (and Ten) VIX...
On Saturday, I posted Putting Low Stock Volatility to Good Use (Guest Columnist at Barron’s) and used that opportunity to expand upon some of the points I raised in my February 18th column for...
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Clustering of Volatility Spikes
Last week, my Putting Low Stock Volatility to Good Use (Guest Columnist at Barron’s) triggered a bunch of emails related to the clustering of low volatility. Most readers expressed an interest in the...
View ArticleThe VIX Summit: CBOE RMC (March 8-10 in Dana Point, CA)
I often get asked about where to go to learn more about the VIX and volatility. Well, if there is one event each year that falls in the absolutely-do-not-miss category, it is the CBOE’s annual Risk...
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Ten Years Since the Biggest VIX Spike Ever
Ten years ago today, we witnessed that largest one-day VIX spike in the nearly three decade history of the VIX. On that day, the VIX rallied from a prior close of 11.15 to 18.31 – a 64.2% gain. The...
View ArticleEuro Zone VSTOXX ETNs Land on U.S. Beaches!
Think the market is too complacent about this weekend’s election in France? Worried that the euro area is going to crumble under the weight of Italy’s struggles? Convinced that Greece, Portugal or...
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Tracking the Trajectory and Peak of Coronavirus Cases
I have seen a lot written about the Coronavirus, a.k.a. COVID-19, but I have yet to see any informed discussion about the trajectory of cases in various regions, the cycle time to peak new cases or...
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Looking at Coronavirus Cases per Million, by Country
Further to yesterday’s Coronavirus (COVID-19), post, Tracking the Trajectory and Peak of Coronavirus Cases, I want to make sure we are thinking not just in terms of the absolute number of confirmed...
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Updating the Current VIX-Based ETP Landscape
There is a lot going on in the markets, with several themes weighing on volatility or the potential for more volatility. COVID-19 cases are spiking to new highs in Europe and the U.S. and could be at...
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Performance of the VIX in the Two Weeks Before and After Presidential Elections
A convergence of concerns related to stimulus, elections, COVID-19 and earnings (courtesy of a big SAP earnings miss) caused the VIX to jump 17.8% today. How much of that was related to the election?...
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Attempt at TVIXF Short Squeeze Fizzling Out
Amidst all of the market turmoil following the Reddit wallstreetbets efforts to put a massive short squeeze on the likes of GME, AMC, BBY, EXPR, KOSS, BB, etc., it was just a matter of time before this...
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The Evolution of the VIX (1)
Volatility is notorious for clustering in the short-term, mean-reverting in the medium-term and settling into multi-year macro cycles over the long-term. I have chronicled each of these themes in...
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Barclays Suspends Creation Units for VXX
Earlier today, Barclays announced the suspension of issuance of new creation units as well as sales from inventory for two of its ETNs: the iPath Series B S&P 500® VIX Short-Term Futures ETN...
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VXX Upside vs. Downside Risk with No New Creation Units
One week ago, Barclays announced the suspension of issuance of new creation units as well as sales from inventory for two of its ETNs: the iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX);...
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VIX Teasing Seven Down Days in a Row, with Interesting Performance Implications
The VIX has been down six days in a row and is currently up a few pennies. Assuming the VIX closes down again today (a fascinating thought in an of itself given the increasing Fed hawkishness as well...
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Flight-to-Safety ETP Performance During Invasion of Ukraine
Russia invaded Ukraine a little over a month ago, creating turmoil and panic in stocks and across a wide variety of asset classes and instruments. In the graphic below, I capture the performance of...
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Point Hedges ETP Performance During Invasion of Ukraine
On Friday in Flight-to-Safety ETP Performance During Invasion of Ukraine, I reviewed the performance of some of the traditional flight-to-safety ETPs (Treasuries, gold, currencies and volatility) that...
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VXX Premium to Indicative Value Falls Slightly to 26%
It has been two weeks since Barclays surprised volatility investors by announcing the suspension of new creation units in the popular iPath Series B S&P 500® VIX Short-Term Futures ETN (VXX)....
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UVIX and SVIX Join the VIX-Based ETP Landscape
Tomorrow will see first launch in the VIX ETP space since…well I’m not sure exactly, but I’m guessing the May 2016 launch of the now defunct VMIN and VMAX products. Back in 2016, I tracked 27...
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Successful Launch for SVIX and UVIX
Today was the first launch of a VIX ETP in six years, at least by my count. It appears to be worth the wait, as SVIX (Volatility Shares -1x Short VIX Futures ETF) had very robust volume, with 380,385...
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VIX ETPs – What Can Go Wrong?
For many years, I’ve had a tagline at the bottom of my email: “In volatility there is opportunity!” The tagline is a reminder that when things look darkest in the financial markets, this is often an...
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UVXY Dominates VIX ETPs By Dollar-Weighted Volume
At various times in the 13-year history of VIX ETPs there have been as many of 30+ different versions of these VIX-based products on the market. Initially, it was the +1x VXX that dominated the space,...
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SPX Weekly Options Will Soon Be Available with Expirations Every Day of the Week
Yesterday, the CBOE listed the first batch of SPX weekly options with a Tuesday expiration, starting with the April 26th and May 3rd expirations. Interest is strong, as halfway through today’s...
View ArticleThe Latest on VXX and Additional Creation Unit Suspensions by Barclays
It has been 1 ½ months since Barclays announced the suspension of new creation units in the popular iPath Series B S&P 500® VIX Short-Term Futures ETN (VXX). Today, we received some additional...
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