Tag Archives: velocityshares

ETP Volatility Report from Velocity Shares Reply

ETF News, Strike Price • Tags: , , , , ,

VelocityShares is pleased to present the October 2012 Volatility Report, providing insights into the volatility landscape.

Highlights from this report include:

  • Year-to-Date Performance for the VIX Index is -21%.
  • Year-to-Date Performance for the S&P VIX Futures Indices:
    • Short-Term: -74% (SPVXSP)
    • Mid-Term: -47% (SPVXMP)
    • Tail Risk: -20% (SPVXTRSP)
  • VIX spot increased steadily in October, opening at 15.73 before closing the month at 18.40.
  • VIX Call Option Volume once again reached its second highest levels ever (and the most in over a year) on October 17th, 2012, nearing $850MM traded.
  • The Short-Term S&P 500 VIX Futures Tail Risk Index (SPVXTRSP) ended the month with a long-vol bias of 23.87% long, its greatest long exposure since June 2012.
  • Due to Hurricane Sandy, the stock exchange was closed for two days and reopened on October 31st. While a catastrophic event might be the cause of a spike in volatility, the following was observed:.
    • Short-Term VIX Futures gained 3.62%, which is within one standard deviation of the daily returns observed in October 2012
    • VIX Futures Dollar Volume on the 31st was greater than its 20-day moving average ($2.7B vs. $1.9B)
    • ETP Dollar Volume on the 31st was the same as its 20-day moving average ($1.4B each)
    • VIX Options Trading Volume on the 31st trailed its 20-day moving average (378K vs. 479K)

    For the full report, visit TABBForum.com

     

TVIX: Case Study ETNs & ETFs to be Wary Of- Reply

ETF News • Tags: , , , ,

Credit Suisse’s volatility-flavored ETN,  the VelocityShares Daily 2x VIX Short-Term ETN, aka “TVIX” is, for lack of a better phrase, broken.  And it ‘got broken’ in mid Feb when CS halted the creation process for this product.

Observed Chris Hempstead, the head of ETF trading for WallachBeth Capital, “the halt in the creation process caused the product to trade at an unnatural premium–as much as 80%– to the underlying NAV since the creation halt announcement was made.  For more than a month, hedge fund traders have been attempting to arbitrage the dislocation in pricing-and more than a few had based their strategies on the premise the creation process would not be resumed.  “

Credit Suisse threw a fly into that ointment on Thursday night, when the firm announced it was re-opening the issuance of new units and, as Hempstead pointed out in desk notes to clients of his firm late Thursday night, “you can expect TVIX premiums to NAV to evaporate significantly, if not entirely when trading re-opens.”

Are there other products that display the same  unusual premium to NAV ‘features’?. Hempstead suggests that hedge fund traders who are dabbling in volatility-flavored products should take a second look at Market Vectors China ETF (PEK)  as well as ProShares Trust Ultra VIX Short:  UVXY More…