Just like most humans (monozygotic twins excluded) are not created equals, most VIX futures based exchange-traded products (ETPs) are not equal (At the time of writing this post, there were 43 primary listed ETPs). While there are a number of distinctions and I will attempt to highlight the key areas, but first the few common [...]
Reaping Roll Yield from a Quasi Volatility Neutral Strategy
On February 8th, I discussed the use of the inverse VIX ETP (XIV) to collect the roll yield from the VIX futures. When stocks fall and volatility rises, however, such a naked short position drops drastically. From 4/2 to 4/10, XIV dropped from 12.29 to 9.94, and lost 19% of its value (it’s now back [...]