ZIV: VelocityShares Daily Inverse VIX Medium-Term ETN Instablogs

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Tuesday, June 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
Tuesday, June 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
Friday, June 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
Wednesday, 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
Wednesday, April 11, 2012, 7:10 AM "Not scared yet," asks a punter, putting up a chart of the VIX (VXX) going back a few years. The "fear index" has sunk to the level from about where it makes a seemingly annual charge higher - yesterday's big move up hardly registers. 5 Comments
Tuesday, April 3, 2012, 1:42 PM Bill 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. 1 Comment
Monday, April 2, 2012, 1:39 PM After 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. 8 Comments [Quick Ideas]
Monday, March 26, 2012, 4:51 PM It'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. 7 Comments
Monday, March 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. 6 Comments [On the Move]
Friday, March 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. 2 Comments [On the Move]
Thursday, March 22, 2012, 5:08 PM More 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) 22 Comments
Thursday, March 22, 2012, 3:50 PM David 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. 30 Comments
Monday, March 19, 2012, 7:31 AM The 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. 3 Comments
Tuesday, March 13, 2012, 5:12 PM The 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. 2 Comments [Quick Ideas]
Tuesday, March 13, 2012, 10:22 AM Another down day for the VIX (VXX -2.9%) brings volatility (or fear) to its lowest level since the summer of 2007. The term structure - short-term risk relative to medium-term risk - plunges to its lowest level in at least a decade. 3 Comments
Monday, March 12, 2012, 10:34 AM After 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 2 Comments [On the Move]

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