The last three months saw the VIX spot dropped quickly from 30-ish to 10-ish. No wonder XIV, the inverse ETN to the S&P 500 VIX Short-Term Futures Index, was among the top performing ETPs in January. Its return was 30.88% in January 2012 and 14.02% in December 2011. S&P Indices General Disclaimer XIV collects daily [...]
categories
Recent Comments
- Russell Rhoads on Record VIX Futures Volume
- Wednesday’s Best Of The Web | Options trading IQ on Technical Outlook: VIX Showing Complacency. Really?
- Mark on Record VIX Futures Volume
- Latest S&P 500 News | Wall Street Stocks on VIX Up 12.6%, as 20 Vol Indexes Rose Today
- Black Swan tail risk | Wall Street Stocks on Tail Risk Protection to be Discussed at 3-Day Conference in Ireland
tags
Berlinda Liu BXM CBOE equity volatility ETFs ETF Volatility Index ETNs ETPs Futures and Options GVZ Implied Volatility Matt Moran Options OVX S&P 500 S&P Dow Jones Indices S&P Indices SPX VIX VIX Futures Volatile Volatility VVIX VXAPL VXAZN VXEWZ
WP Cumulus Flash tag cloud by Roy Tanck requires Flash Player 9 or better.
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 [...]