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Jay Wolberg  

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  • The Fatal Flaws Of VXUP And VXDN [View article]
    From the prospectus, "In a Corrective Distribution, each share will be resolved into a risk neutral position comprised of an equal number of Up Shares and Down Shares." Full details are on page 82-84.
    May 21, 2015. 05:13 PM | Likes Like |Link to Comment
  • The Fatal Flaws Of VXUP And VXDN [View article]
    It's fine for some cash to get distributed in the first three months. However, a +90% VIX move and a corrective distribution in the first 3 months would cause quite a bit of cash to leave the fund in the form of cash distributions. They would have to get a sufficient amount of investors into the funds to keep it going. There may also be a clause somewhere in the prospectus that says they can issue paired shares early on if needed. I don't recall the details on that though.
    May 21, 2015. 03:49 AM | Likes Like |Link to Comment
  • The Fatal Flaws Of VXUP And VXDN [View article]
    Yes, Corrective Distributions won't happen for 90 days according to prospectus. Distributions don't really change much though as they are essentially just dividends where the share price is adjusted downward. Read Eli's article for more details: http://seekingalpha.co...
    May 21, 2015. 03:36 AM | Likes Like |Link to Comment
  • The Fatal Flaws Of VXUP And VXDN [View article]
    I think that the CEO of AccuShares has counsel and perspective that is unique to that particular position. The information he has could certainly result in thinking that these funds provide an improved way to gain exposure to VIX when compared to existing VIX ETPs.

    However, I do find it ironic that the main criticism of other VIX ETPs is that they don't do what people think they should do, even though those VIX ETPs operate as designed. Meanwhile AccuShares's products don't track their NAV. What needs to be fixed here is the education level of investors. The creation of complicated products that don't operate as designed or advertised is not helpful to the industry IMO.
    May 21, 2015. 03:11 AM | 3 Likes Like |Link to Comment
  • The Fatal Flaws Of VXUP And VXDN [View article]
    Here's an excellent article by Eli Mintz which takes this a step further and quantifies the arbitrage to VIX futures. I highly recommend it. http://seekingalpha.co...
    May 21, 2015. 02:19 AM | 1 Like Like |Link to Comment
  • The Relation Between VXUP And The VIX Futures [View instapost]
    Really, really well done!

    This looks correct. While the best arbitrage opportunity is with the Sept VIX future, I think we probably have to assume that there is arbitrage against each month's futures. If that's true, the NAV premium may not be at the max futures premium, but somewhere between the min and max premiums. If VXUP continues to exist, it will be interesting to see if the premiums across each futures converge as the more expensive months get sold and cheaper months get bought.

    Also, I fully expect to hear confused people asking why VXUP is down on days where VIX rises slightly and VIX futures are falling (keeping NAV about the same but reducing the NAV premium).
    May 21, 2015. 02:16 AM | 1 Like Like |Link to Comment
  • AccuShares Launching New VIX ETFs: How VXUP And VXDN Work [View article]
    swirve is exactly right: "the two products will never trade at NAV and will instead track some future VIX level."

    Expect many corrective distributions, only for the funds to immediately move away from NAV again. Arbitrages will close the gap to VIX futures immediately and push VXUP & VXDN away from NAV.
    May 20, 2015. 12:57 PM | Likes Like |Link to Comment
  • AccuShares Launching New VIX ETFs: How VXUP And VXDN Work [View article]
    Thinking more about this, it seems that VXUP and VXDN won't even hit NAV on Distribution Day. If it did, then on every DD + 1 day we'd see the same thing we're seeing today, i.e. an immediate and steep adjustment towards the next month VIX futures price.

    Instead, it would make more sense for the arbitrage gap to remain closed and have VXUP to generally remain at a premium to NAV when in contango, as it is always targeting the price of VIX futures 30 days out. Otherwise, on every DD we'd all want to buy VXUP and sell on DD+1 after the premium to NAV jumps back up.

    VXUP probably won't be move much differently than VXX on a day-to-day basis.

    ctomso - My understanding is that distributions are made based on actual closing prices, not NAV. The prospectus is long, however, so let me know if I missed something on that.
    May 19, 2015. 04:43 PM | 1 Like Like |Link to Comment
  • AccuShares Launching New VIX ETFs: How VXUP And VXDN Work [View article]
    You may see a real-time IV pop up on your broker under VXUP.IV and VXDN.IV.

    It looks like both VXUP and VXDN have immediately priced in the expected value of VIX on June 15 and adjusted for the Daily Amount (Both started the day at $25), since the target of these is the monthly % change of VIX, from the 15th to the 15th.

    Using yesterday's VIX close of 12.73 the assigned "Index Share Factor" is 1.96 (which is $25 / 12.73). This means that VXUP gains (and VXDN loses) $1.96 for every point gain in VIX.

    June VIX futures are at 14.78, 2.05 points above VIX. This two point difference translates into $4.018 (that's 1.96 *2.05) to put VXUP at 29.018. Subtracting the .15% Daily Amount for this 26 day period is 29.018 - .975 = $28.043, which is where VXUP is now trading.

    The opposite thing can be done with VXDN. 25 - 4.018 + .975 = 21.867. Pretty close.

    So with this priced in already, my guess is that after today, VXUP and VXDN will have a percent change closer to that of front month VIX futures instead of spot VIX.
    May 19, 2015. 03:49 PM | 1 Like Like |Link to Comment
  • AccuShares Launching New VIX ETFs: How VXUP And VXDN Work [View article]
    That seems correct. Essentially VXUP and VXDN will track toward the expected NAV on the next Distribution Day, not the daily NAV that will be given by the fund.
    May 19, 2015. 03:42 PM | Likes Like |Link to Comment
  • AccuShares Launching New VIX ETFs: How VXUP And VXDN Work [View article]
    It might take a few days but they should be listed publicly on Yahoo finance using ^VXUP-IV and $VXDN-IV. Also they should soon be on TD Ameritrade or other brokers using the symbol you mentioned.
    May 19, 2015. 12:03 PM | Likes Like |Link to Comment
  • AccuShares Launching New VIX ETFs: How VXUP And VXDN Work [View article]
    VXDN suffers from the fact that the lower-end percent change that VIX sees during Measuring Periods is -30% (although it hit -50% once during the past 11 years) while it is very common for VIX to be +50%, and will frequently hit the 90% limit during a Measuring Period. When VXDN loses 85% of its value after these VIX spikes (which includes the 0.15% Daily Amount bonus), it would require a 7x gain to get back to where it started.
    May 18, 2015. 02:57 PM | Likes Like |Link to Comment
  • AccuShares Launching New VIX ETFs: How VXUP And VXDN Work [View article]
    Having a known decay of 4.5% per month makes VXUP much more attractive than VXX, especially if you have half-decent timing (perhaps buying only at extreme over-sold levels or extreme lows). The more I crunch numbers the more I like VXUP in certain scenarios.

    On the other hand, VXDN looks like huge trouble. VIX will always have larger percentage moves up than down, just based on simple math (VIX from 12->24 is 100% gain, while VIX 24->12 is only 50% loss).
    May 16, 2015. 06:34 PM | 1 Like Like |Link to Comment
  • Utilizing Two Complementary Strategies To Trade VXX & XIV [View instapost]
    Hi olmendreef. Our posts and website are designed to inform people about how volatilty ETFs work and how they can be traded correctly. Some of the information on our website is free, while the automated alerts for our strategies are subscriber only. Our strategies are +55% so far this year and we belive we're the best out there.

    If you want free resources check out Volatility Made Simple, who tracks 23 strategies and has links to sources to explain how they're calculated: http://bit.ly/1K9ins1
    Apr 23, 2015. 11:22 AM | Likes Like |Link to Comment
  • Utilizing Two Complementary Strategies To Trade VXX & XIV [View instapost]
    1) Yes, each strategy has been broken into a positive and negative half to see the results of buying VXX and XIV. The full data files with this info can be found at the bottom of this page: http://bit.ly/1nFNqFh

    2) Trading both the VXX Bias and VRP strategies in separate logical halves and rebalancing annually is certainly one way to do it, but it is more difficult to manage and you spend more money on trade commissions. The net performance (which is obtained by averaging each year's return for each of the strategies) isn't really better than just trading when the signals agree on the direction and staying in cash otherwise.
    Mar 23, 2015. 03:28 PM | Likes Like |Link to Comment
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