Thursday, January 13, 2011

Charting the Assets of the Volatility-Based ETPs

As a follow-up to yesterday’s Barron’s column, Ways to Turn Volatility into an Asset Class, I thought it might be interesting to track the history of assets for the volatility-based ETPs.

Not surprisingly, the assets have been dominated by the two ETPs that were first out of the gate:

  1. iPath S&P 500 VIX Short-Term Futures ETN (VXX)
  2. iPath S&P 500 VIX Mid-Term Futures ETN (VXZ)
The chart below, courtesy of, shows the history of the assets for the volatility-based ETPs. Note that through September 2010, VXX had been able to maintain a market share of about 70%. In the last few months, VXZ has been able to chip away at that lead, presumably due to investors’ tiring of contango and negative roll yield.

The impact of the recent crop of ETPs has yet to register on this chart, but I expect that in 2011, the share of both VXX and VXZ will drop dramatically as new entrants are responsible for most of the new money flowing into the space. In fact, I fully anticipate that buy the end of 2011, the $138 million currently in the “All Other” category will surpass that of VXX + VXZ. No matter how it plays out, one of the interesting stories of 2011 will be the degree to which investors embrace the most recent generation of volatility-based ETPs.

Related posts:


Disclosure(s): long VXZ and short VXX at time of writing

blog comments powered by Disqus
DISCLAIMER: "VIX®" is a trademark of Chicago Board Options Exchange, Incorporated. Chicago Board Options Exchange, Incorporated is not affiliated with this website or this website's owner's or operators. CBOE assumes no responsibility for the accuracy or completeness or any other aspect of any content posted on this website by its operator or any third party. All content on this site is provided for informational and entertainment purposes only and is not intended as advice to buy or sell any securities. Stocks are difficult to trade; options are even harder. When it comes to VIX derivatives, don't fall into the trap of thinking that just because you can ride a horse, you can ride an alligator. Please do your own homework and accept full responsibility for any investment decisions you make. No content on this site can be used for commercial purposes without the prior written permission of the author. Copyright © 2007-2023 Bill Luby. All rights reserved.
Web Analytics