Category Archives: Performance

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 […]

Managing Brazilian Volatility with Futures and Options on the VXEWZ Index

Over the next five years, some projections indicate that the annual GDP of Brazil could surpass that of both France and the United Kingdom, and that Brazil could rise to become the fifth largest economy in the world. More investors now are concerned with the issue of managing Brazilian volatility. Today CBOE Holdings announced today […]

The Other Side of VIX

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 […]

VEQTOR & Other Volatility Reduction Indices

Today I’m going to discuss three prepacked investment solutions that seek positive exposure to the equity market with different volatility reduction approaches: S&P 500 Low Volatility Index: uses stock selection and alternative weighting to minimize portfolio volatility without the use of derivatives or active hedge. PowerShares has issued an ETF (ticker SPLV) that tracks this […]

Exchange Traded Volatility Products in Europe

In Europe, ETFs and ETNs linked to the S&P 500 VIX Futures Indices and the VSTOXX Futures Indices collectively have nearly $380 million in assets ), as listed in Exhibit 1 (note: volume is the average daily volume in December 2011). Exhibit 1: Exchange Traded Volatility Products in Europe (Dec. 2011) Compared with the S&P […]

Diversification Properties of VIX Futures Indices

As in the VIX index spot, the S&P 500 VIX Futures Index Series and the S&P 500 tend to move in opposite directions or.  As shown in Exhibit 1, while the correlation between the spot VIX and the futures index series is not perfect, it is a healthy 89% for the short-term index and 80% […]

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