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UBS ETRACS 4-Month S&P 500 VIX Futures ETN (VXDD)

VXDD is defunct since September 11, 2012. Stopped trading due to fund redemption
  • Aug. 28, 2012, 12:55 PM
    Low volatility may be here to stay, argues BNP's Gerry Fowler, the result of an "extreme" risk-on, risk-off environment where investors sit on their hands until some central banker or government official utters something. The resulting high volatility on just a few days makes all other trading sessions snoozers. It's enough to drive even Louis Bacon to the golf course.
    | 12 Comments
  • Aug. 20, 2012, 10:45 AM
    "Market fundamentals do not justify these extremely low levels of volatility," writes JPMorgan's Marko Kolanovic, attributing the recent lack of action to large option sales (as traders try to generate yield) pinning the S&P near 1400. Much of these positions are expiring today, which should "loosen the grip" on the VIX (VXX). (h/t tradefast)
    | 12 Comments
  • Aug. 16, 2012, 10:52 AM
    Though the share price is down 67% YTD, the number of shares issued for the VIX ETN (VXX) has soared sixfold to 142M. Trading volatility is the equivalent of competing in the deep end of the pool - unless you're Mark Spitz (showing our age, let's make it Michael Phelps), you may want to avoid.
    | 12 Comments
  • Aug. 16, 2012, 8:39 AM
    The recent drop in the VIX to below 15 is about the 5th time at that level in the last 2 years, notes MarketTech, and the other instances have indeed coincided with market tops. The pullback in the S&P 500 on the other 4 occasions tended to last for about 2 months and range from 6-19%.
    | 13 Comments
  • Aug. 15, 2012, 4:41 PM
    The VIX below 15 is low? The realized volatility on the S&P 500 over the last 7 days is 1.87, according to a trader (the VIX measures expected volatility over the coming 30 days). It may not be a record as he has spotted a 7-day period in June 1996 when it measured 1.28.
    | 6 Comments
  • Aug. 15, 2012, 12:08 PM
    More on the VIX below 15: A chart of the VIX going back to 1994 shows 2 lengthy periods in which it held below that level - both were accompanied by healthy returns for the S&P. The VIX today -1.5% to 14.63.
    | 12 Comments
  • Aug. 14, 2012, 3:16 PM
    With the meme circulating that a sub-15 VIX is rare, not likely to last, and consequently bearish for stocks (I, II), Bespoke reminds that prior to 2007, sub-15 was closer to the norm. In one 3 year period - 1993 to 1995 - the VIX closed below 15 on 89% of all trading days.
    | 18 Comments
  • Aug. 13, 2012, 3:46 PM
    Scratching your head about a lower VIX (VXX -2.4%) even with stocks down? Don't forget the roll, writes Bill Luby. Today is the day SPX options contracts roll forward one month. A particularly large difference between near-term and further out term volatilities causes the VIX to be substantially depressed, though this should diminsh over time.
    | 10 Comments
  • Aug. 13, 2012, 9:06 AM
    A sub-15 VIX (Friday close 14.7) is rare, says Goldman Sachs, and it doesn't stay below that level for long (true post-2007, pre-crisis not so much). It's not just the U.S., but implied volatilities have dropped across every global index followed by the Goldman team. Another sign: The put/call ratio has declined to its lowest level in more than 3 years, as players pull off hedges.
    | 9 Comments
  • Jul. 10, 2012, 1:29 PM
    For options/volatility traders, the best time to trade volatile events may be the week or two before and after their occurrences, writes Bill Lubby. FOMC meetings are a good example, the VIX rising 2.4% on average in the 6 days prior, and then rising again in the 2-9 days following.
    | 9 Comments
  • Jul. 2, 2012, 3:44 PM
    The VIX ETN (VXX -6.6%) prints an all-time low, as does a related ETF (VIXY -6.6%), fear evaporating from the stock market even as German and U.S. 10-year yields under 1.6% suggest otherwise. Stocks themselves have rebounded nicely, mostly green a few minutes before the bell.
    | 19 Comments
  • Jun. 20, 2012, 12:22 PM
    "Hyper-optimism has returned to the stock market," writes Steve Sears, noting the sharp recent decline (26% in a week) in the VIX (VXX) has brought it just about to levels associated with bull markets. He finds it disturbing as the move is seemingly not tied to economic fundamentals, but the hopium of easier central bank policy.
    | 14 Comments
  • Jun. 5, 2012, 2:55 PM
    About $580M pulled out of the largest VIX ETF (VXX) since the market began heading down in late March gives strength to the idea the fund is less about speculation, more about hedging. "If history is any guide, a spike in VIX would result in significant redemptions of VIX products," said Barclays' Maneesh Deshpande back in April. Correct.
    | 4 Comments
  • Jun. 5, 2012, 10:46 AM
    "Where is the VIX (VXX)," asks Robert Sinn, noting its low level now compared to duplicate crisis moments in 2010 and 2011. Is it because the current jittery state of markets has been so well-telegraphed? Or have markets just gotten so used to bailouts, they're pricing in a central bank floor.
    | 10 Comments
  • Jun. 1, 2012, 1:06 PM
    "Fear isn't here," writes Brendan Conway of the VIX, which is up a "scant" 5% amidst a 2% sell-off in equities. Not only is the index not moving much (it rose 50% on August 8, for instance), but traders say volume today, while brisk, is not particularly strong. VXX +5.9%.
    | 14 Comments
  • May. 30, 2012, 3:27 PM
    The VIX (VXX +6.2%) posts its biggest jump in a month, but isn't anywhere near the sort of level associated with real fear in the market. The index currently resides around 23, but spent most of 2011's late summer and fall north of 30. We may need an S&P drop of 30-35 points in a day for the VIX to crack 30, says Michael Palmer.
    | 14 Comments
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VXDD Description
There are six different series of ETRACS S&P 500 VIX Futures ETNs (each, an ""ETN"" and collectively, the ""ETNs""). Each series of the ETNs is linked to the daily performance of a particular index in the S&P 500 VIX Futures Index Series (each, an ""Index"" and collectively, the ""Indices""), reduced by investor fees. Each series of the ETNs is designed as a trading vehicle for sophisticated investors. The ETNs are not intended to be a ""buy and hold"" investment. Each Index is a total return index and is composed of futures contracts on the CBOE Volatility Index (the ""VIX Index"") having a constant weighted average maturity ranging from one month to six months, depending on the series of the ETNs purchased, plus an interest component linked to the 91-day Treasury Bill rate. The Indices are rolling Indices, each of which rolls on a daily basis according to a pre-determined schedule that has the effect of keeping constant the weighted average maturity of the underlying futures contracts.
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