Monday, February 2, 2009

VXX Volume Easily Surpasses Friday’s Mark

If Friday was an “unqualified success” for VXX, the iPath S&P 500 VIX Short-Term Futures (1 month) ETN, then today has to be considered even more of the same. The new VIX ETN has already exceeded Friday’s impressive first day volume total, with 220,517 shares traded at after 1:15 p.m. ET, with two and three quarter hours of trading still to come.

For the most part the bid-ask spread for VXX has been in the 0.02 to 0.18 range, sometimes higher and sometimes lower. I consider this acceptable for short-term trading of a security priced in the vicinity of 100. Market depth is difficult to gauge at this stage but may be a little on the thin side. As news of the success of VXX spreads, however, I expect liquidity issues to be resolved fairly quickly.

As was the case on Friday, volume in for VXZ, the iPath S&P 500 VIX Mid-Term Futures (5 month) ETN is running at about one third the rate of its near-term sibling.

2 comments:

Anonymous said...

I hope volume picks up so that it becomes easier to find VXX/Z shares to borrow short.

It would be nice to have an inverse VXX (for us retail folks) to play both sides.

Tyler said...

Great info! Thanks -
http://tylerstrading.blogspot.com/

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