VIX and More

Thursday, November 8, 2012

Performance of VIX ETPs During Current Pullback

Of all the issues discussed in this space, undoubtedly the one that captures the imagination of most readers is the subject of VIX-based exchange-traded products. I get more questions about the construction of these products, how they respond to the VIX futures term structure, what factors influence performance, etc.

For these reasons I thought it might be instructive to update my VIX ETP landscape chart and include performance data from the September 14^th market closing high of SPX 1465 to today’s close of SPX 1377. During that period, the SPX declined 6.0% on a close-to-close basis, while the VIX jumped 27.4% during the same period.

So how did the VIX ETPs fare while the market was selling off?

In examining the graphic below, the first thing you probably notice is that only 5 of the 19 VIX ETPs were able to manage gains during the selloff. In fact the average (mean) VIX ETP performance was a disappointing -4.9%, while the median return was -6.7%. Even more interesting, the inverse volatility products actually outperformed their long volatility counterparts and had the top performer of all, the VelocityShares Daily Inverse VIX Medium-Term ETN (ZIV).

In addition to the static allocation long and short volatility ETPs, there are also three products that use rules-based formulas to dynamically allocate the amount and type of long volatility exposure: VQT, XVZ and VIXH. None of these three products was able to produce a profit during the selloff and the top performer among the group, VQT, managed a loss of 3.4%.

I previously superimposed performance data on this same VIX landscape graphic back on April 3^rd in VIX ETP Returns for Q1 2012, following a 12.0% gain in the SPX during that quarter and a 33.8% drop in the VIX. Note that only two VIX ETPs managed to post gains during the bullish first quarter and the selloff of the past eight weeks: ZIV and IVOP. If anyone wonders why I never bother to mention IVOP, first off it has only traded on three days during the past month and second, it has a participation of only 0.13, which means essentially that the portfolio moves as if only 13% of the assets were invested in the underlying index and the balance remained in cash. As for ZIV, I have been all over this one, including a feature post, ZIV Undeservedly Neglected, back in January.

Now that VIXH has been added to the mix of VIX ETPs, I will endeavor to provide performance updates on some or all of the VIX ETP product space on a more frequent basis going forward.

In the meantime, for those who are in search of reasons why some of the VIX ETPs outperform their peers in various market regimes, the links below are an excellent place to begin your research.

[source(s): Yahoo]

Disclosure(s): long ZIV and XVZ at time of writing

Wednesday, November 7, 2012

SPX Pullback Hits 5.9%, Fourth Longest Drawdown Since March 2009 Bull Began

The S&P 500 index fell as low as 1388 today, down 86 points or 5.9% from its September 14^th high of 1474.

The table below summarizes all the peak-to-trough pullbacks in the SPX since the March 2009 bottom. Note that while a 5.9% drawdown is right in the middle of the pack in terms of the magnitude of the drop, the 36 days that it has taken for stocks to fall that far makes the current pullback the fourth longest in terms of peak-to-trough duration. Of course, these statistics all assume that today’s low will mark a bottom – and while recent market action supports that thesis, there are no guarantees that SPX 1388 will hold.

Also worth noting is the fact that 2012 is the first year that has seen more than one pullback with a duration of at least a month. There are several ways to interpret this. One, of course, is that when there has been weakness as of late, that weakness has persisted for a long time. Another way to interpret the lengthy pullbacks might be that the tendency of the bulls to buy on the dips has diminished the likelihood of sharp downward moves in stocks.

[source(s): Yahoo]

Disclosure(s): none

Monday, November 5, 2012

Fiscal Cliff Worries Grow As Election Nears

Anxiety over the outcome of the U.S. fiscal cliff topped the list of investor fears about the stock market for the third week in a row, outpolling the European sovereign debt crisis, which finished a distant second, and U.S. elections, which edged out weak earnings for third place.

With 65% of responses coming from U.S. voters, the poll results were once again skewed toward an Americentric perspective. Three weeks into this poll, it appears as if geographical and temporal proximity are having a strong effect on respondents. For third week in a row, U.S., respondents were much more concerned about events in their own country. For example, the fiscal cliff outpolled the European sovereign debt crisis by 14.8% in the U.S., while non-U.S. respondents had these two issues deadlocked in a tie for first place. Similarly, 13.9% of U.S. respondents cited U.S. elections as their top worry, while just 5.3% of non-U.S. respondents placed U.S. elections at the top of the list.

Not surprisingly, concerns about a weak earnings season fell sharply over the course of the past week, from 18.6% to 9.7%, as most of the critical earnings reports are already in the books and the potential for meaningful surprises has diminished substantially, as shown in the graphic below.

With most of the election uncertainty about to be resolved tomorrow, I anticipate that the fiscal cliff and the European sovereign debt crisis will once again separate from the pack in the next week. Whether this will place upward or downward pressure on the VIX remains to be seen.

Disclosure(s): none

How High Might the VIX Spike?

Given all the drama in the euro zone, not to mention the fiscal cliff, the various difficulties in China, continued unrest in the Middle East and Northern Africa, etc. it is more than a little surprising that the CBOE Volatility Index (VIX) has failed to trade above 30.00 this year.

In fact, with a maximum VIX of just 27.73 for the year, 2012 could mark the first time in 15 years (if one excludes the great Greenspan liquidity bubble from 2004 – 2006) that the VIX has not made it out of the twenties.

How does 27.73 compare as an annual high in the VIX? Since 1990, the mean high in the VIX has been 37.90 (inflated somewhat by the 2008 high of 89.53), while the median high VIX has still been a reasonably lofty 35.93.

This is not to suggest that the markets have been mispricing SPX options (and therefore the VIX) for most of 2012, only to note that there are certainly quite a few chapters remaining in the European sovereign debt crisis and the fiscal cliff drama, several of which will unfold before the year is over.

This could be one of those years in which the VIX never makes it into the thirties, but if that is to be the case, it will have to buck some fairly high odds in the process.

[source(s): CBOE, Yahoo]

Disclosure(s): none

Friday, November 2, 2012

Stocks and Economic Data Continue to Move in Opposite Directions

Four months ago, in The Economic Data Cliff, I discussed the rapidly deteriorating economic data relative to expectations and noted the sudden strong divergence between economic data and the stock market

At the time I offered two potential explanations:

“Perhaps stocks are decoupled from reality and are merely postponing the inevitable decline, but there also exists the possibility that stock prices are beginning to reflect the possibility an economic turnaround at the end of the year or in early 2013.”

With the benefit of four months of hindsight, the relationship between economic data and the stock market is no less murky. After being tightly correlated for 2 ½ years, stocks and economic data have been moving in almost the exact opposite direction since the beginning of June, no doubt partly due to the intervention of central banks across the globe.

What I find particularly interesting in the graphic below, however, is that just as the trend in economic data relative to expectations began diverging from stocks in June, the two began converging again when economic data began to show signs of improvement about a month ago.

Of course none of this will come as a surprise to those investors who saw today’s promising nonfarm payrolls report as an excuse to buy some stocks this morning. For now at least, stocks and the economy continue to move in opposite directions – whether that means up or down for stocks.

[Readers who are interested in more information on the component data included in this graphic and the methodology used are encouraged to check out the links below. For those seeking more details on the specific economic data releases which are part of my aggregate data calculations, check out Chart of the Week: The Year in Economic Data (2010).]

[source(s): various]

Disclosure(s): none

Wednesday, October 31, 2012

EuroCurrency Volatility Index (EVZ) at Lowest Level Since March 2008, Diverges from VIX

Since its launch in August 2008, the CBOE EuroCurrency Volatility Index (ticker EVZ, sometimes known simply as the “euro VIX”), which is based on the FXE ETF, has toiled in relative obscurity compared to some of the more famous volatility indices.

Given all the fears about the European sovereign debt crisis over the past few years, I find the lack of interest in EVZ to be surprising. After all, in thinking about the euro zone one of the most basic questions has been whether or not the euro will survive. Further, outside of the U.S. at least, the future of the euro zone is still considered to be the biggest risk to the stock market.

With all this in mind, I was looking at EVZ data this evening and discovered that today marks five years since the beginning of the historical EVZ data provided by the CBOE (reconstructed data fills the gap from November 2007 to the August 2008 launch.)

The chart below shows the history of closes in EVZ (blue line), as well as comparative closing prices for the VIX (red line.) I have annotated the chart to highlight two pieces of information:

The last time that EVZ closed lower that it did today (8.55) was in March 2008, just before Bear Stearns collapsed and was sold to JP Morgan (JPM)
The recent divergence between a falling EVZ and a rising VIX, which dates from the middle of September, is unusual, particularly given the length of the divergence

So…is EVZ understating the risk to the euro or is the VIX overstating the risk to stocks? Is it possible that these two measures of risk can be moving in opposite directions and both be right?

[source(s): CBOE]

Disclosure(s): none

Monday, October 29, 2012

U.S. Fiscal Cliff Fears Top VIX and More Fear Poll Again

For the second week in a row, investors cited the U.S. fiscal cliff as the top risk to the stock market, followed closely by fears about the European sovereign debt crisis. Concerns about weak earnings, a distant third last week, gained significant ground as Apple (AAPL) and others continued to report disappointing earnings and revenues while guiding future expectations lower.

As was the case last week, geography appears to have a significant influence on results, with a clear Americentric bias coming from U.S.-based respondents. In the U.S., for instance, concerns about the fiscal cliff outpolled the European sovereign debt crisis by 9.5%, but outside of the U.S. the European sovereign debt crisis topped concerns about the fiscal cliff by 8.2%. Similarly, 15.2% of U.S. respondents cited U.S. election uncertainty as the biggest risk to stocks while just 5.5% of non-U.S. respondents judged U.S. elections to be the top risk factor.

This week I added inflation and deflation to the list of pre-populated answers. Both responses fell far down the list of concerns, but almost twice as many respondents expressed concern about inflation relative to deflation. While the graphic below shows the week-to-week changes in the top four issues driving stock market fears, it will probably be several more weeks before this graphic offers meaningful insights.

Once again, there were quite a few write-in votes, but there was no discernible theme among write-in responses.

With U.S. stock markets closed today due to hurricane Sandy, the VIX currently stands at 17.81, some 7.2% higher than it was a week ago when I published the results of the inaugural VIX and More Fear Poll.

Disclosure(s): long VIX and short AAPL at time of writing

Monday, October 22, 2012

U.S. Fiscal Cliff Concerns Top Results in Inaugural VIX and More Fear Poll

Today I closed the books on the first VIX and More Fear Poll, which I consider to be an unqualified success and a first step in establishing longitudinal data about the types of geopolitical, macroeconomic, technical and other issues that make investors fearful, anxious and uncertain about the future of the stock market.

In a battle that went down to the wire, 28.7% investors voted the U.S. fiscal cliff as their #1 concern right now, followed closely by fears about the European sovereign debt crisis, which 27.1% labeled as their top issue. The prospect of a weak earnings season was a distant third at 13.1%.

[source(s): VIX and More]

There were some interesting findings when the 244 responses were broken out geographically. In the U.S., for instance, the fiscal cliff issue dominated the European sovereign debt crisis, 31.5% to 22.2%, with weak earnings third at 15.4%. Looking at non-U.S. responses, the Americentric bias disappears, as 36.6% of respondents tab the European sovereign debt crisis as their top worry, followed by the fiscal cliff (23.2%) and U.S. elections (9.8%).

While there were quite a few write-in votes, no theme emerged from these responses, though central bank interventions, U.S. debt, deleveraging, higher interest rates, high-frequency trading, demographics and technical factors were among the issues cited.

Among some of the questions raised by the results are the role of local and national media in shaping investors’ fears and the tendency of investors to overemphasize events that are closest to home. These are just two of the issues that I hope to explore going forward, making use of some of the data generated by this poll over time and comparing the ebb and flow of concerns against the ebb and flow of the VIX.

Going forward, I anticipate a weekly VIX and More Fear Poll each weekend, with the results and some takeaways to be published at about the same time every week.

Disclosure(s): none

Sunday, October 21, 2012

The 2012 VIX Futures Term Structure as an Outlier

Investors who have been trading the VIX futures, VIX options and VIX exchange-traded products in 2012 have no doubt observed that there has been a wide gulf between the volatility predicted by the VIX front month futures and the back month futures. How wide? Well the graphic below shows the average (mean) normalized term structure for each year since the VIX futures were launched, back in 2004. In normalizing the data, I have set the average front month VIX futures contract to 100 and have expressed the averages of the second through seven months as multiples of the front month.

[Note that while the VIX futures were launched in 2004, consecutive VIX futures contracts for the first six months were not available until October 2006, hence the dotted lines for these years to reflect the erratic nature of the data. Also, I have included the seventh month contract in the calculations because this month is critical to the calculations of a number of VIX ETPs, including VXZ, VIXM, ZIV, etc.]

[source(s): CBOE]

For anyone who has followed the VIX futures closely, it should come as no surprise that 2008 (solid red line) is the only year in which the full VIX futures term structure was in backwardation (front months higher than back months) in aggregate. During 2009 (solid orange line), the term structure transitioned from backwardation to contango (front months higher than back months) and for the most of the balance of its life, the VIX futures term structure has remained in contango.

The graphic shows no discernible trend of extreme contango evolving over the past few years. While 2010 is the year with the second highest degree of contango across the full term structure, contango was decidedly muted during 2011. In fact, 2011 saw the longest continuous stretch of backwardation during the height of the European sovereign debt crisis.

Looking closely at the differences between 2012 and 2010, there is very little difference in contango out to the second month. The normalized term structure curves begin to diverge substantially only after the third month, where the 2010 term structure begins to flatten and the 2012 term structure continues an almost linear ascent. In fact the most distinctive feature of the 2012 term structure is the absence of any significant flattening in the VIX futures curve in months four, five, six and seven. This is part of the reason that while XIV is up 165% for the year, ZIV has managed a gain of 72%.

As this series continues, I will examine some of the possible causes of the recent persistent steep contango in the VIX futures term structure, particularly in some of the back months.

Posts in current series on VIX futures:

Disclosure(s): long XIV and ZIV at time of writing

Tuesday, October 16, 2012

Ratio of VIX to Realized Volatility Higher Than Any Year Since 1996

Before I dive into a series of posts about the VIX futures, I think it is important to add some context in the form of several observations about the relationship between the VIX and the historical volatility (HV) of the S&P 500 index. In the absence of any information about the future, it turns out that historical volatility (a.k.a. realized volatility or statistical volatility) can provide a reasonably accurate measure of future volatility. In fact, it is more difficult than one might imagine to incorporate information about the future to come up with a better estimate of future volatility than what can be gleaned just by extrapolating from recent realized volatility.

Looking at historical data, the VIX has an established history of overestimating future realized volatility. In fact, in the 23 years of VIX historical data, there was only one year – 2008 – in which realized volatility turned out to be higher than that which was predicted by the VIX.

As the chart below shows, early traders made a habit of dramatically overestimating future volatility. From 1990-1996, for instance, the VIX overshot realized volatility by an average of 49%. Since 1997, the magnitude of that overshoot has dropped dramatically, to about 24%, as investors apparently began to realize that they had been overpaying for portfolio protection in particular and for options in general.

[source(s): CBOE, Yahoo]

That being said, 2012 has been an unusual instance in which the VIX has overestimated 10-day historical volatility in the SPX by 47% – the biggest cushion since 1996. Not surprisingly, low realized volatility tends to depress the VIX and the front end of the VIX futures term structure in general. For that reason, the unusually low average 10-day historical volatility of 12.25 experienced so far in 2012 can serve as a partial explanation for the steepness of the VIX futures term structure (extreme contango) yet given the history of even lower volatility numbers during 2004-2007, the low historical volatility for 2012 is at best a very small portion of the full explanation. Two better potential explanations for the steep VIX futures term structure are the psychology of the 2008 financial crisis and its aftermath (i.e., disaster imprinting, availability bias, the recency effect, etc.) and expectations of future higher volatility due to a geopolitical and macroeconomic overhang that has generated a much higher level of anxiety about future prospects than in more uneventful economic times. Then, of course, there is the issue of the role of mushrooming growth in VIX exchange-traded products as an influence on the VIX futures term structure.

Before I address those issues in more detail, however, the next installment in this series is a discussion of the evolution of the VIX futures term structure.

Disclosure(s): none

Sunday, October 14, 2012

Violent Disagreement Across VIX Futures

Something strange has happened to the VIX futures in 2012: for the first time in their history, the VIX futures persist in being in violent disagreement with each other. Prior to 2012, for instance, the average difference between the front month and seventh month VIX futures was about 16%. This year that number has surged to more than 38%.

The VIX futures term structure has been in extreme contango (back months higher than front months) for the better part of 2012, with 17 days in which the contango across the full VIX futures curve has exceeded the all-time record that stood prior to 2012. It is almost as if the idea of a flat VIX futures term structure curve is passé and traders are convinced that the short-term volatility picture is perpetually an aberration that bears little resemblance to longer-term volatility expectations. Can these two differing perspectives of the future of volatility meaningfully coexist? If not, which view is likely to be wrong?

In a series of upcoming posts, I will put the issue of a VIX futures term structure in disarray under the microscope and discuss issues such as the huge gap between implied volatility and realized volatility, disaster imprinting and the role of the recent financial crisis in shaping future volatility expectations, looming issues such as the European sovereign debt crisis, the fiscal cliff, the potential for a hard landing in China, etc.

Ultimately I will attempt to answer the question of whether the back month VIX futures should be trading at levels that are 45-90% higher than the front month VIX futures, as has been the case for the past two months. I will also look at some of the implications for trading VIX futures, VIX options and VIX exchange-traded products.

In the interim, some of the links below might provide some useful background and context.

Disclosure(s): none

EVALS and the Stock of the Week Continue to Post Impressive Numbers

Lately I have been fielding quite a few questions about the VIX and More Subscriber Newsletter, and particularly about VIX and More EVALS, which is a model portfolio dedicated to trading VIX and volatility-centric exchange-traded products.

Rather than get into too many details in this space, I have elected to elaborate a little about each service on their respective blogs. For the newsletter, today I posted Q3 2012 Newsletter Update, with Stock of the Week +107% YTD and +4473% Since Inception, in which I provide some details about how I select the Stock of the Week, discuss some recent picks, and provide performance data going back to the March 2008 inception. As far as EVALS is concerned, this service has gone through two iterations, with the most recent iteration dating from November 2011 and focusing on VIX ETPs. In EVALS Q3 2012 Update: Up 70.59% Since November 2011 Inception I delve into some details about this model portfolio and provide a fair amount of data with respect to trades and performance.

For the record, I still generate content on a regular basis even when blog may appear to be dormant, as has been the case lately. While my personal trading is my first priority, content priority always goes to subscriber-based content such as the newsletter (published every Wednesday), EVALS, and Expiring Monthly magazine, where my contributions for the September issue included The FOMC 3 + 3 Trade as well as Trade Example: The September 2012 3 + 3.

For anyone who may be confused about how to differentiate between what I am writing about in various publications and locations, a good graphical reference can be found in Highlighting Newsletter Content Focus with Content Pyramid. I have also included pointers to a summary of my Expiring Monthly articles and Barron’s columns in the links below.

Last but not least, it appears my longer-than-expected hiatus on the VIX and More blog is now over and I can get back to posting free content on a regular basis. I also realize there are quite a few emails and blog comments which I need to attend to; I hope to address these in short order.

Disclosure(s): none

Monday, September 17, 2012

Updating the Legacy of Post-2009 Corrections

Of all the periodic themes that I update in this space, the one that always surprises me by how strong of a reception it generates is a table that I call the VIX and More 2009-12 SPX Peak to Trough Pullback Summary – of which a current version is appended below.

The table is a chronology of sorts of all the significant pullbacks since the March 2009 bottom in stocks. I have tweaked the definition of pullback a little so that it only includes pullbacks from new highs. For that reason, there are no significant pullbacks since the SPX made a new high for the year back on September 6^th. That being said, I am including the price action of the last two days as a provisional entry in red at the bottom of the table, with data as of one quarter of an hour to go in the trading day. Generally it takes a pullback of at least 2.5% - 3.0% to warrant inclusion in this table.

I suspect that the main reason investors enjoy this table is that it gives them some historical context for how the markets have recently been pulling back and thus helps to set expectations about how far the current or subsequent correction may extend. Prior to the current mini-pullback, the median pullback was 5.6%, while the mean pullback stood at 7.4%, thanks to several sharper corrections. Applied to Friday’s high of SPX 1474, these translate to a pullback to SPX 1392 or SPX 1365, respectively. Of course, this is where the “past performance is no guarantee of future results” type of disclaimer should be inserted, but historical parameters can help to set expectations.

Factoring in the Draghi and Bernanke puts, as well as the probability and magnitude of a hard landing in China, a reversal of fortune in the euro zone, a worsening of the fiscal cliff problem, flare-ups in various geopolitical hotspots, etc. may make predicting the current direction of the market even more difficult and perilous than usual.

That being said, given the 210 point rise in the SPX in a little over three months, investors cannot be faulted for exhibiting more than the usual amount of caution during the remainder of the year.

[As an aside, I love the way pundits talk about a correction, as if to imply that the market has been wrong about a recent bullish move and it is time for cooler heads and more reasonable valuations to have their way. Certainly there is no reason why there cannot be these same type of “corrections” when markets become oversold, but good luck finding those who talk about stocks correcting upward.]

Related posts:

Disclosure(s): none

Monday, September 10, 2012

Updates to VIX ETP Landscape: Add VIXH; Drop 12 UBS Products

Two thirds of 2012 passed before we saw the first new VIX-based exchange-traded product and it turned out to be an interesting one: the First Trust CBOE S&P 500 Tail Hedge Fund ETF (VIXH), which was introduced at the end of August. VIXH is essentially a portfolio consisting of 99-100% of SPY, augmented by a dynamic allocation of 0-1% of VIX options, with the amount of options determined by the level of the VIX at the beginning of each VIX expiration cycle. This is the first VIX-based ETP to included VIX options among its holdings and it is notable that this product bucks the recent trend and is an ETF instead of an ETN. There are other features of VIXH worth discussing and I will discuss these in future posts.

As the VIX ETP product space expands a bit, it also contracts a great deal, as UBS has elected to close 12 of its ETRACS ETNs, effective tomorrow, September 11, 2012. These UBS products failed to gain sufficient volume and assets to make these viable over the long haul, but when AAVX retires, it will do so with the best VIX ETP track record of all-time. This product was launched on September 8, 2011 and is up about 120% in the year plus since it was launched. [See ETRACS Volatility ETPs for the full list of ETPs that will be closed.]

The graphic below is my periodic update of the VIX exchange-traded products (ETP) landscape, using the y-axis to denote leverage and the x-axis to indicate target maturity. In addition to the explanatory notes in the key at the bottom, it is worth noting that I use font color to distinguish between ETFs (black) and ETNs (blue). Also, I have used a parenthetical one letter code to identify the issuer: B = Barclays; C = Citibank; F = First Trust; P = ProShares; U = UBS; and V = VelocityShares.

[As an aside, regular posting should resume again this week…]

Disclosure(s): long VIX at time of writing

Friday, August 17, 2012

What If Stocks Decline?

Successful investors are the ones that are always making plans for all sorts of contingencies, so it stands to reason that they should even prepare themselves for the possibility of stocks actually declining one of these days...

I was thinking about the coming correction in stocks and how to position my portfolio for that moment when equities once again feel the effects of gravity when I stumbled upon an interesting tool at ETFreplay.com that they call their Down Day Association Stats. In a nutshell, it looks at the performance of a group of user-specified exchange-traded products on those days in which a benchmark falls X%.

In the example below, I have chosen SPY as my benchmark, 2% (per day) as my threshold decline and 36 months as my lookback period. I looked at 25 ETPs that cover a wide range of asset classes and investment approaches.

Some of the results from the Down Day Association Stats are not particularly surprising. For instance, the long bond (TLT) and the dollar (UUP) have a strong negative correlation to stocks and generally perform well when SPY declines sharply. Some of the other bond choices (LQD, PCY, BWX) have been better at treading water than countertrending, but also show the benefits of diversification. The commodity choices were somewhat disappointing, generally managing to lose at best half as much as SPY, with crude oil almost matching the declines in the SPY to the penny.

Among the data points that surprised me were that the frontier ETF (FRN) fared better than the SPY in big down days, while real estate (IYR) fared worse.

Of course every decline in stocks has a different set of catalysts and puts different stresses on different asset classes, sectors and geographies, but as stocks continue to grind higher, be sure to make preparations for that eventual pullback, because when it finally does arrive, it will likely do so at an inconvenient time and with surprising swiftness.

Related posts:

[source(s): ETFreplay.com]

Disclosure(s): long LQD at time of writing

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