Friday, January 30, 2009

Introducing the iPath VXX

Looks like Barclay's VXX, a VIX Futures ETN, is up and trading. You can bet I'll be watching for Bill Luby's analysis -- no doubt already in the works! Meanwhile, here is how it's looking on the day [UPDATED CHART]. Certainly a good one for tracking tests!

And, just for kicks, here is the VXX versus the SDS, the double inverse S&P500... hmmm...


"The S&P 500 VIX Short-Term Futures™ Index TR is designed to provide access to equity market volatility through CBOE Volatility Index® (the "VIX Index") futures. Specifically, the S&P 500 VIX Short-Term Futures™ Index TR offers exposure to a daily rolling long position in the first and second month VIX futures contracts and reflects the implied volatility of the S&P 500® Index at various points along the volatility forward curve. The index futures roll continuously throughout each month from the first month VIX futures contract into the second month VIX futures contract.

A direct investment in VIX (commonly referred to as spot VIX) is not possible. The S&P 500 VIX Short-Term Futures™ Index TR holds VIX futures contracts, which could involve roll costs and exhibit different risk and return characteristics. Investments offering volatility exposure can have various uses within a portfolio including hedging, directional, or arbitrage strategies and are typically short or medium-term in nature."

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