Category Archives: Performance

ETF Trends Article – VIX ETFs: Get Ready for UVXY Reverse Split

John Spence, Web Editor at ETF Trends, states that “ProShares Ultra VIX Short-Term Futures ETF (NYSEArca: UVXY) will reverse split shares 1-for-10 after yesterday’s closing bell.”  Click here to access the full article.

Technical Outlook: VIX Showing Complacency. Really?

We find it amazing how many times the markets, the media, and many, many analysts are always waiting for that next crucial data point. And when that “important” data point or speech finally arrives, it turns out so many times to be a non-event. When the news is bad, but the market rallies, the spinsters […]

Barron’s News Story — Fund Based on VXTH Index

An August 28th news article at http://blogs.barrons.com stated — “First Trust To Launch VIX ‘Tail Hedge’ Fund.  The rise of volatility trading products continues. First Trust Advisors is set to launch what it’s calling the First Trust CBOE S&P 500 VIX Tail Hedge Fund on Thursday … The fund will trade under the ticker VIXH. […]

Low-cost Protection — One Year After VIX Peak

AUG. 9, 2012 — A year ago, on August 8, 2011, the CBOE Volatility Index® (VIX®) closed at 48.00, its highest closing value since March 9, 2009. Yesterday, on August 8, 2012, the VIX closed at 15.32 (a level that was 68% lower than the year-earlier level). Yesterday Reuters published an article is entitled “Time […]

VIX Up 12.6%, as 20 Vol Indexes Rose Today

Monday, July 23 — While many stock indexes plunged today, twenty of CBOE’s volatility indexes rose.  Visit www.cboe.com/volatility to see a list of indexes with updated delayed quotes. Here is a list of percentage changes for some volatility indexes on July 23 – 12.6%       VIX® – CBOE Volatility Index®  www.cboe.com/VIX 6.3%         VVIX – CBOE VIX […]

Performance of Selected Tradable Volatility Indices: June 2012

The S&P 500 Index rose 4% in June 2012, and VIX dropped 29% from 24.06 (5/31/2012) to 17.08 (6/29/2012). The S&P 500 VIX Short Term Futures Index and the S&P 500 VIX Mid Term Futures Index dropped 29.05% and 12.24%, respectively. The S&P 500 Dynamic VIX Futures Index, however, managed to stay nearly flat (-0.58%), […]

Is Volatility of Volatility Unusually High?

After reading news reports the past few weeks about the Eurozone crisis, one might get the impression that the volatility of volatility is unusually high.   A key measure of volatility of volatility is the CBOE VIX of VIX Index (ticker VVIX, www.cboe.com/VVIX ) which is designed to measure the expected future volatility of the CBOE Volatility […]

Performance of Selected Tradable Volatility Indices: May 2012

May 2012 was a restless month in the US equity market. The S&P 500 Index declined 6% and VIX rose 40% from 17.15 (4/30/2012) to 24.06 (5/31/2012). The S&P 500 VIX Short Term Futures Index and the S&P 500 VIX Mid Term Futures Index rose 28.71% and 13.13%, respectively. The S&P 500 Dynamic VIX Futures […]

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 […]

Recent Increased Interest in Risk Management with VIX-based Products

While the VIX Index has been below 24 so far in 2012, and the VIX closed at 16.80 last Thursday (Feb. 23), the trends in trading volumes in VIX-related products indicate that there could be more recent interest in using VIX-related products for purposes of risk management for investor portfolios. The average daily volume for […]

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