Slicing and Dicing All 31 Flavors of the VIX ETPs

Ten months have passed since the last time I attempted to graphically depict all the VIX-based exchange-traded products. At that time there were 16 such securities; now that number has swelled to 31 and two have closed their doors (IVO and VZZ) along the way.

The graphic below attempts to map the herd onto an x-axis for target duration and a y-axis for leverage. In addition to these important criteria, I have also further delineated the group by identifying the four ProShares ETFs in black (the balance are all ETNs), highlighting the five optionable ETPs with a red O preceding their ticker and flagging the two VIX ETPs that have some non-VIX components (in the form of the S&P 500 index) with a black triangle. For good measure I have identified the issuer with a parenthetical one letter abbreviation (Barclays,VelocityShares, ProShares and UBS).

It is worth noting that earlier in the month S&P and VelocityShares announced several new VIX futures strategy indices that hint at future VIX ETPs, all of which will include both a long leg and a short (inverse) leg.

The VIX ETP space is already an exciting one, with over $2.1 billion in assets and daily volume of over 45 million shares per day. As exciting as 2011 has been in this space, things look to be heating up even more in 2012.

Related posts:

• Now Sixteen Volatility ETPs, Four of Which Are Optionable
• Two More VIX ETNs Make it a Baker’s Dozen
• Impressive Launch for Sextet of New Volatility ETNs from VelocityShares
• VelocityShares Jumping in to VIX ETP Space with Leveraged and Inverse Products
• The Evolving VIX ETN Landscape
• Interesting New Leveraged Volatility ETN Coming from Citi
• Shorting VXX and Long XXV or XIV

Disclosure(s): none

Two More VIX ETNs Makes It a Baker’s Dozen

In addition to the six new VIX-based ETNs launched yesterday by VelocityShares, two new VIX-based ETNs also traded yesterday for the first time.

Barclays added VZZ to their product lineup, bringing the total number of Barclays products in the space to five. VZZ is essentially a +2x version of VXZ, with a target maturity of five months.  VZZ is the first leveraged volatility ETN from Barclays and is interesting in that the absence of a corresponding +2x VXX product suggests Barclays does not see the need for a leveraged VXX equivalent or perhaps finds the combination of leverage and high contango at the front end of the VIX futures term structure to be a daunting combination.

Elsewhere, UBS makes its entry into the VIX-based ETN fray with a huge splash. Their new product, XVIX, ups the innovation ante by combining a 100% long position in the S&P 500 VIX Mid-Term Futures Excess Return Index with a 50% short position in the S&P 500 VIX Short-Term Futures Excess Return Index. Translated into Barclays terms, this would be roughly the equivalent of two units long VXZ and one unit short VXX. Depending upon the shape of the VIX futures term structure, UBS is hoping that XVIX will benefit from contango and also get a lift from an increase in volatility. The performance of XVIX going forward will be particularly interesting to watch.

I would expect the land grab in the volatility ETP space to settle down for a little while as investors evaluate the new menu of options.  In the meantime the chart below should help.  I have grayed out those products which have been announced, but not launched.

The most difficult part may be unlearning Roman numerals in the process. I’m sure on some trading floor, however, some joker is yelling out, “I’m long 25 and 15, but short 70.”

Related posts:

• Impressive Launch for Sextet of New Volatility ETNs from VelocityShares
• VelocityShares Jumping in to VIX ETP Space with Leveraged and Inverse Products
• The Evolving VIX ETN Landscape
• Interesting New Leveraged Volatility ETN Coming from Citi
  

Disclosure(s): short VXX at time of writing