Wednesday, January 21, 2009

IndexUniverse Weighs in on Forthcoming VIX ETNs

Murray Coleman at IndexUniverse has an article up today that readers of VIX and More should find interesting: Pair of VIX-Tracking ETNs on the Way.

The bottom line is that Barclays Capital is looking to launch two VIX exchange traded notes:

  • iPath S&P 500 VIX Short-Term Futures (1 month)
  • iPath S&P 500 VIX Mid-Term Futures (5 months)
While the timing of the launch cannot be determined at this point, as I gather more information I will certainly have a lot to say about the informational content of these new products as well as some trading strategies.

2009 just got a lot more interesting.


Anonymous said...

as an optimist, I hope this means that a bear market bottom is forming new ETFs have tended to mark tops in past markets (eg, HOLDRs/99-2000, BRIC/commodity ETF/Ns 2007-8).

It's always great to have new 'toys' to trade with but inevitable many little guys will not read the fine print/don't know what they're playing with.

my eyes always rolling when I read an internet article in which the writer tells the story of how he "suddenly realizes" that Ultra Inverse Proshares track the daily movement on the underlying index which is not the same as going 200% short.

Anonymous said...

I wonder if the ETN structure will mitigate the usefulness of the products in the minds of investors: I assume that nobody wants to have the efficacy of their market hedge contingent on the solvency of a particular institution. At least I don't, especially when BCS is trading at 3.67.

Bill Luby said...


Unfortunately, it looks like the credit quality of the issuer is going to be an issue, particularly vis-a-vis Barclays.

Let's see where we stand when this product hits the market.

Anyone out there interested in making an ETN + CDS bundle...?



Anonymous said...

What about a third party issuer?Barclays would still be the calculating agent and it may not be economical for BCS to issue the notes but it would eliminate the credit risk...

Anonymous said...

This would be a great product if it is done properly. It will be interesting to see how it is actually priced and trades relative to the VIX. From the article it looks like it may be more related to the VXV as they are going to have an average maturity of 5 months.

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