May 21, 2014, 10:32 AM
- Bets on a decline in the iPath S&P 500 VIX Short-Term Futures ETN (VXX -1%) have fallen to 25% of shares outstanding from a record 126% in February, according to Bloomberg. Shorting the VXX is a play on continued calm in the markets, and a bet (along with other short volatility moves) that earned plenty of coin in 2013.
- The VIX jumped 4.4% yesterday as stocks struggled, but has closed below 15 for 24 consecutive sessions, the longest streak since about the time surrounding the start of 2014. It hasn't climbed above 18 since February even amid Russian tension and sizable selloffs in small caps and tech momentum names.
- “The longer you go without a hurricane, the more likely it becomes for the next period,” says Mark Yusko, CIO at Morgan Creek Capital. “It’s usually around those times, when everybody is convinced nothing can happen, that something happens. Markets tend to move to extremes. Those alligator jaws don’t stay open forever. They eventually snap shut.”
- ETFs: VXX, UVXY, TVIX, XIV, VIXY, SVXY, ZIV, VXZ, VIXM, CVOL, VIIX, XVZ, XVIX, XXV, TVIZ, IVOP, VIIZ
Mar. 3, 2014, 3:05 PM
- U.S. stocks are well off session lows, but gold continues to move ahead, now up 2.3% and at a 4-month high of $1,352 per ounce. At a 5-month high is WTI crude oil, up 2.1% to $1.04.74 per barrel.
- Not showing much movement earlier, money is now flowing out of Europe and into the greenback, which has gained 0.5% against the euro (FXE) and cable (FXB) and 0.4% vs. the Swiss franc (FXF)
- Another beneficiary is volatility, and the iPath S&P 500 VIX Short-Term Futures ETN (VXX +5.4%) moves to its highest level in a month.
- Vol ETFs: VXX, UVXY, TVIX, XIV, VIXY, SVXY, ZIV, VXZ, VIXM, VQT, CVOL, VIIX, XVZ, PHDG, VIXH, ACWV, XVIX, XXV, TVIZ, IVOP, VIIZ
- Gold ETFs: GLD, IAU, PHYS, SGOL, UGL, DGP, GLL, DZZ, UGLD, DGL, GLDI, DGZ, AGOL, DGLD, TBAR, UBG, GLDE, GYEN, GEUR, GGBP
Dec. 31, 2012, 3:41 PMThe apparent movement towards a deal has the VIX plunging 19%, one of its biggest single-day implosions in years (and that's saying something). The "fear gauge" had made a big move higher since mid-December as traders bet on a D.C. agreement not being reached. Other big moves: August 2011, -27%, May 2010 -30%. VXX -10.1%. | Dec. 31, 2012, 3:41 PM | 10 Comments
Mar. 26, 2012, 9:33 AM
"TVIX only $6.50 above fair value," tweets a wise guy as shares in the leveraged ETN are hammered again this morning, -8.4% to $6.56, bringing the decline to 55% in less than 3 days. ETN prices can vary widely from NAV, leading to excessively high premiums when shares become dear, and then the correction when the issuer prints up more.| Mar. 26, 2012, 9:33 AM | 6 Comments
Mar. 23, 2012, 7:16 AM
Credit Suisse will restart issuance of TVIX ETN units today. It was the suspension of such last month that led to the units massive premium to NAV, much, but not all of which melted away yesterday - no doubt because the market expected today's announcement. TVIX -16% premarket.| Mar. 23, 2012, 7:16 AM | 2 Comments
Mar. 12, 2012, 10:34 AM
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