*****Official VIX Exchange Traded Products thread******

Discussion in 'ETFs' started by Victory5, Nov 8, 2015.

  1. Maverick74


    I would not want to be long XIV right now. Short vol is so overcrowded that very small down moves are going to create disproportionate moves in all the related vol products.
    #41     Jun 13, 2016
  2. newwurldmn


    I agree. And the rally in vol will beget more buying as all the short skew guys start getting shorter vol.
    #42     Jun 13, 2016
  3. ajensen


    According to Bloomberg
    http://www.bloomberg.com/news/artic...-products-are-making-volatility-more-volatile "Exchange-Traded Products Are Making Volatility More Volatile":

    #43     Jun 14, 2016
  4. #44     Jun 14, 2016
    gkishot likes this.
  5. lindq


    I was, and I got burnt. Can't win em all.
    #45     Jun 14, 2016
  6. ajensen



    VIX Volume Explodes in Notes as 5 Days of Stress Sets ETN Record
    Lu Wang
    June 17, 2016

    #46     Jun 17, 2016
  7. ajensen


    I have a trading system that can go long or short XIV but which is usually long. Today around near the close I wanted to short a lot of XIV, but Interactive Brokers said there were none available to borrow. By the time I submitted the equivalent long VXX trade, it was past 4pm and the market was closed. Since the close VXX is up about 1.4%. Darn.

    I have shorted XIV without issue in the past, but I have learned that if you want to be sure of putting on a long VIX futures equivalent position, you should buy VXX or VIX futures. There is a chance that you won't be able to short XIV in a wild market.
    #47     Jun 24, 2016
    cdcaveman likes this.
  8. windwine


    My algo aslo tried to short XIV in morning around 10am and had the same problem. I also had to manually switch to long VXX.
    #48     Jun 24, 2016
  9. ajensen


    The IB site now has a message box next to the XIV symbol which says

    "The SEC Rule 201 (aka "Up-Tick Rule") has been triggered and the related exchanges have implemented a short sale restriction in accordance with their policies. Short selling is still permitted when the SEC Rule 201 criteria are met. Short sale restriction is in effect from Jun 24, 09:30 to Jun 27, 20:00 EST."

    So no further short selling of XIV until Tuesday I think. From the SEC site https://www.sec.gov/divisions/marketreg/rule201faq.htm I see

    "Rule 201 requires that a trading center establish, maintain, and enforce written policies and procedures reasonably designed to prevent the execution or display of a short sale order of a covered security at a price that is less than or equal to the current national best bid if the price of that covered security decreases by 10% or more from the covered security’s closing price as of the end of regular trading hours on the prior day. Once the circuit breaker in Rule 201 has been triggered, the price test restriction will apply to short sale orders in that security for the remainder of the day and the following day, unless an exception applies."
    #49     Jun 27, 2016
  10. ajensen


    Today SPY fell 1.74% from the previous close but XIV was down only 2.45% (its beta to the SPY is about 4 on average), but in after hours trading as of 4:45 PM XIV is down 5.31% since today's close while SPY is down only 0.40%. Any thoughts on why? Just a delayed reaction to the SPY move today?
    #50     Jun 27, 2016