Tag Archive | "vix futures"

VIX Portfolio Hedging (VXH) Signal Only Modestly Higher

Tuesday, June 5, 2012


There’s an interesting disconnect right now between the qualitative narrative about Greece, the euro, and China, and one quantitative estimate of how aggressively you should be hedged. The narrative is about as gloomy as it gets: everyone is talking about the new German empire (Soros), the “inevitable” Grexit, etc., and mediocre U.S. economic data. But the VXH strategy, while no longer at its lowest setting, is still not signalling the need for large hedges. I developed the VIX Portfolio

The Unbrokenness of VXX

Thursday, March 22, 2012


Some investors noticed a moment near the close of trading today during which VXX briefly was negative on the day. Here are the last couple days of VXX trading, plotted in 5-minute bars. Source: TD Ameritrade Those same investors probably clicked over to the CFE’s website and noticed that the VIX futures closed higher on the day. More than one person claimed that this was an indication of some kind of horrible tracking error or failure on the…

Are Volatility ETPs Like VXX and TVIX Going To Kill the Market?

Tuesday, March 20, 2012

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The theory that volatility ETPs are somehow going to have adverse consequences on the market has been a popular theme for a month or two now at least. I’ve tried to show why this this idea doesn’t make sense twice; when it comes to zombie ideas, sometimes you have to just keep trying. If you want to claim that the increased volume in volatility ETPs is causing the VIX tail to wag the SPX dog, you owe the world the…

This Week in VIX Scaremongering

Thursday, March 8, 2012


The halt in TVIX share issuance and the fact that, on some days, VIX-based ETF/ETN rebalancing accounts for 90% of VIX futures volume has caused some pretty wild speculation. I’ve been too busy this week to write a proper rebuttal, but here are some points that will help you steer clear of all the needless hand-wringing: The rolling of contracts in VXX and similar products is in no way “entirely game-able,” for the same reason that the term…

Is TVIX Distorting the VIX Futures Market?

Wednesday, February 29, 2012


VelocityShares Daily 2X VIX Short-term ETN (TVIX), an increasingly popular volatility product, is an exchange traded note (ETN) provided by Credit Suisse that seeks to provide two times the daily return of the S&P Short Term VIX Futures Index (SPVXSTR), the same index tracked by the popular iPath S&P 500 VIX Short-Term Futures ETN (VXX). SPVXSTR maintains positions in first and second month VIX futures in a ratio weighted to provide constant exposure at a one-month horizon. TVIX…

The European Volatility Risk Premium Persists

Tuesday, January 10, 2012

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The media narrative at the moment is that U.S. investors are happy to ignore all things European for as long as modestly positive domestic economic news keeps trickling out. The headlines today about stocks being up “on” news from Alcoa were silly enough,* but this does seem to be a real theme – slight reductions in the odds of a 2012 recession mean it’s time to pile into stocks, apparently. The smarter parts of the market qua options and volatility traders have…

Unusual Volatility and Three Trade Ideas

Thursday, December 1, 2011

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In the embedded video, I look at some interesting volatility phenomena in USO options, SPY volatility skew, and VIX and VSTOXX futures. Here are the trade ideas mentioned: Short USO implied volatility / long USO realized vol: on the view that USO options are richly priced relative to likely future USO realized vol, you can sell straddles, strangles, or iron condors here and delta hedge with the underlying shares to capture the difference between current IV…

15% Discount for the VIX Portfolio Hedging (VXH) Strategy

Wednesday, November 9, 2011


We’ve never offered a discount before on the VIX Portfolio Hedging (VXH) Strategy, and the coupon code at the end of this post is only valid through the end of the week. I don’t know what’s going to happen in the future, but I know that the cost of hedging downside risk is relatively cheap here, and that some investors have taken an “all clear” attitude prematurely. If your portfolio didn’t weather the storms of August and September easily, you…

Thoughts on the VIX Futures Term Structure

Friday, August 19, 2011


Here are the VIX futures at 3PM ET on Friday the 19th. click to enlarge A few things stand out to me: Backwardation forever: I don’t have all my data at hand, so I don’t know where recent turmoil ranks historically in terms of time that the VIX futures have spent in backwardation. My guess is that this isn’t the all-time record, but that it is a contender. That five point difference between September and November is incredibly…

Buy Puts?

Thursday, August 4, 2011


Some miscellaneous thoughts as equities notch another decline of 2.5%. 1. If your portfolio is too bullish or unhedged, by all means there’s no reason to stay “naked long,” but at the same time this is the worst sort of environment in which to be buying puts outright, because the high IV and steeper skew means put buyers will have seriously overpaid if we get even a modest bounce over the next week or two. 2. If you want…


Jared Woodard specializes in trading volatility as an asset class. With over a decade of experience trading options and other volatility products ... Read More


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