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SVXY vs. ETF Alternatives
This Short ProShares ETF seeks a return that is -1x the return of an index or other benchmark (target) for a single day, as measured from one NAV calculation to the next. Due to the compounding of daily returns, ProShares' returns over periods other than one day will likely differ in amount and possibly direction from the target return for the same period. Investors should monitor their holdings consistent with their strategies, as frequently as daily.
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Tuesday, Apr 32012, 1:42 PMBill Luby's chart of YTD returns of the various VIX ETPs shows those with dynamic allocations (VQT, XVA) or offsetting long and short volatility legs (XVIX) were able to manage gains in a brutal quarter. Also of interest are the inverse funds, whose gains were greater than the losses suffered by the long funds. |Tuesday, Apr 32012, 1:42 PM| 1 Comment
Monday, Apr 22012, 1:39 PMAfter a decline in volatility to multi-year lows amidst maybe the best Q1 ever for stocks, some traders see Q2 shaping up differently. June 55 calls on the VIX (VXX) traded 30K times early today and June 42.50 calls 15K. With the VIX at $15.23, these bets will pay off only if volatility soars. |Monday, Apr 22012, 1:39 PM| 8 Comments
Monday, Mar 262012, 4:51 PMIt's another ugly day for the VIX (VXX -9.4%) which is back to levels similar to those seen in April 2010 and April 2011, i.e. good times to lighten up on stocks. The dive in the VIX just adds to troubles for the TVIX, which has seen both its premium to NAV and its NAV itself disappear. TVIX -17.6% today, down nearly 60% in 3 sessions. |Monday, Mar 262012, 4:51 PM| 7 Comments
Monday, Mar 262012, 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. |Monday, Mar 262012, 9:33 AM| 6 Comments
Friday, Mar 232012, 7:16 AMCredit 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. |Friday, Mar 232012, 7:16 AM| 2 Comments
Thursday, Mar 222012, 5:08 PMMore on the collapse in TVIX : "The long term expected value of your ETN is zero. If you hold your ETNs as a long term investment, it is likely that you will lose all or a substantial proportion of your investment." That line from the Credit Suisse prospectus is bolded and underlined. Don't say you weren't warned. (h/t Kid Dynamite) |Thursday, Mar 222012, 5:08 PM| 22 Comments
Thursday, Mar 222012, 3:50 PMDavid Gille attempts to explain the collapse in the 2X VIX ETN (TVIX -27.6%) even as the VIX ETF (VXX +2.7%) surges. Unlike ETFs, an ETN in certain instances can have little correlation to the index it is tracking, so selling/buying can drive it far from underlying value. The TVIX premium to NAV got far too high, and now is correcting. |Thursday, Mar 222012, 3:50 PM| 30 Comments
Monday, Mar 192012, 7:31 AMThe average daily price change for the S&P 500 this year is just 0.46%, the smallest amount since 1934 and way under 2011's 1.04%. Valuations are falling as well, with the S&P PE ratio declining to 14.5 from 24.2 in December 2009. It mirrors a similar retreat from the early-mid 90s, which presaged a big year for stocks in 1995. |Monday, Mar 192012, 7:31 AM| 3 Comments
Tuesday, Mar 132012, 5:12 PMThe VIX (VXX -4.7%) at multi-year lows may suggest investor complacency ... or maybe not, posits Conor Sen. The term structure of the VIX shows expectations for a sharp rise in volatility in coming months, as opposed to this time last year when continued smooth sailing was baked in. "(It's) why I'm still bullish," he says. |Tuesday, Mar 132012, 5:12 PM| 2 Comments
Tuesday, Mar 132012, 10:22 AM
Monday, Mar 122012, 10:34 AMAfter a quick move higher on Tuesday's sell off, the VIX (VXX -2.6%) dives to its lowest level in a year, as calm (complacency?) reigns. John Spence notes investors cancelling insurance policies for market pullbacks by pulling cash from volatility-linked ETFs |Monday, Mar 122012, 10:34 AM| 2 Comments