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How Does VelocityShares’ ZIV Work?
Just about anyone who’s looked at a multi-year chart for a long volatility fund like Barclays’ VXX has thought about taking the short side side of that trade. VelocityShares’ ZIV is an Exchange Traded...
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Volatility ETP Price Projection Service
I am offering a Volatility ETP Projection Service that calculates future volatility Exchange Traded Product (ETP) prices assuming the current VIX futures term structure is stable. In my post Using the...
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Using the VIX Futures Term Structure to Predict Volatility ETP Prices
Status quo forecasting is sometimes very easy to do. For example, if you predict that tomorrow’s high temperature will be the same as today’s high, your estimate will be close to the actual high much...
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Volatility White Papers and Presentations
Below I’ve collected links to some of my favorite white papers and presentations on volatility. I’ve organized them in the following categories: Volatility Concepts & Volatility Trading Probability...
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Precisely Forecasting Price Ranges with Volatility
Using a tool like Bollinger Bands® to forecast future price ranges is a time-honored technique but its calculations are simplified and in some situations flawed. Incorporating the log-normal nature of...
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Goodbye VXX, Hello VXXB
Update 2-May-2019 As Eli Mintz of VIX Central predicted, Barclays changed the tickers for VXXB and VXZB back to VXX and VXZ. This change is effective 2-May-2019. As I note below in the post, Barclays...
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What Caused the Volatility Tsunami on 5-Feb-2018?
In the afternoon of February 5th, 2018, what looked like a bad day for a group of high flying volatility-based products turned into a devastating decline. Four factors combined to ruin their day: A...
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Goodbye VXXB, We Hardly Knew Ye
Effective May 2nd, VXXB and VXZB, Barclays’ short- and medium-term volatility funds will be renamed to VXX and VXZ. This is a market maneuver by Barclays to recapture the brand value of the original,...
View ArticleDeciding What to do Next
Years ago I had a meeting with my manager regarding three projects that I was responsible for. Each of the projects had considerable technical problems, tight deadlines, and were short on resources....
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No, the VIX is Not Broken
Hardly a month goes by without some pundit trumpeting that the VIX is broken. But before you worry too much, consider some of the non-obvious characteristics of the Cboe’s Fear Gauge. First a Summary...
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Black & Scholes for Puts/Calls in a Single Excel Cell
Sometimes an online option calculator isn’t enough and you’d like to implement the Black & Scholes (B&S) option pricing equations in Excel. If you’re just playing around it doesn’t matter how...
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Calculating a VIX3M Style Index Back to 1990 Reveals Surprising Trends
The Cboe’s VIX® (30-day) and VIX3M (93-day) indexes enable us to quantify volatility term structures but until now, historical analyses between VIX style indexes have been limited to dates after...
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Calculating a VIX6M Style Index back to 1990 Reveals Some Volatility Trends
The Cboe’s VIX®, VIX3Msm (93-day), and VIX6Msm (184-day) indexes enable us to quantify volatility term structures but until now, historical analyses between VIX style indexes have been limited to...
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Calculating a VIX3M Style Index Back to 1990 Reveals Surprising Trends
The Cboe’s VIX® (30-day) and VIX3M (93-day) indexes enable us to quantify volatility term structures but until now, historical analyses between VIX style indexes have been limited to dates after...
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Calculating a VIX6M Style Index back to 1990 Reveals Some Volatility Trends
The Cboe’s VIX®, VIX3Msm (93-day), and VIX6Msm (184-day) indexes enable us to quantify volatility term structures but until now, historical analyses between VIX style indexes have been limited to dates...
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Why We Need the LONGVOL & SHORTVOL Indexes
This post discusses how the LONGVOL and SHORTVOL indexes work, but starts with some historical background that illuminates why these new indexes were needed. Two new leveraged volatility Exchange...
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How Does Volatility Shares -1X SVIX Work
This post will discuss how SVIX works, including how it trades, how its value is established, what it tracks, tax treatment, termination risk, likely liquidity, and performance simulations. Volatility...
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How Does Volatility Shares’ 2X UVIX Work?
This post will discuss how UVIX works, including how it trades, how its value is established, what it tracks, backtest simulations, tax treatment, termination risk, and how it is likely to perform....
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Why Arbitrage is Essential For Exchange Traded Products
Arbitrage processes associated with Exchange Traded Products are normally invisible to investors but are essential for ETPs to trade as they are intended. This post describes these arbitrage processes...
View ArticleBenn Eifert’s Twitter Threads On Finance
Benn Eifert’s contributions to the field of finance are impressive but can be hard to find. I’ve compiled links to some of his Twitter tweets below. I have also collected links to his blog posts and...
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