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contango_and_cash


Total Posts: 83
Joined: Sep 2015
 
Posted: 2018-02-09 04:17
Am I missing something by thinking that velocity shares or a competitor will just launch a new product doing the same thing? This must have been a massive cash cow and svxy will just take the assets.

EspressoLover


Total Posts: 315
Joined: Jan 2015
 
Posted: 2018-02-09 14:04
CBOE kind of shoots themselves in the foot by running such a shitty futures exchange. I think a lot more participants wouldn't bother with the ETF if the underlying futures were better. Trading the ETF as a proxy is a lot smoother experience than dealing with the actual VX futs. Why would I pay $0.05 tick bid/ask on a $20 contract when I can pay $0.01 and likely no exchange fees on a $50+ ETF? That's an order of magnitude higher costs.

Plus if you're doing anything co-located, not only do you have to pay for an entire presence at CFE just to trade VX (because literally nothing else important trades there), but you have to deal with CFE's garbage tech stack ("Not just 1 level of book data, but 4!"). Finally if you're doing any sort of VIX relative value, you can't cross-margin shit, because again nothing important trades at CFE.

Move the VX to the CME, drop the tick size to $0.001, cross-margin with ES, and offer zero exchange and data fees for the first 12 months. At least half the liquidity and trading activity would move out of the ETFs to the futs.

Good questions outrank easy answers. -Paul Samuelson

sigma


Total Posts: 108
Joined: Mar 2009
 
Posted: 2018-02-15 11:02


I presented a detailed analysis of what happened on Volatility Black Monday:

https://artursepp.com/2018/02/15/lessons-from-the-crash-of-short-volatility-etfs/

the feedback is welcome

Martinghoul


Total Posts: 866
Joined: Oct 2008
 
Posted: 2018-02-15 12:26
Personally, I find the unfortunate demise of the LJM Preservation and Growth Fund a lot more interesting than XIV. This was supposed to be the least aggressive of all the short vol strategies that LJM were running and, somehow, it crashed and burned in the most spectacular fashion. That's odd to me, as I thought that, among the vol selling community, LJM were a good one.

Insofar as I may be heard by anything, which may or may not care what I say, I ask, if it matters, that you be forgiven for anything you may have done or failed to do which requires forgiveness...

contango_and_cash


Total Posts: 83
Joined: Sep 2015
 
Posted: 2018-02-22 19:24
sad

kloc


Total Posts: 12
Joined: May 2017
 
Posted: 2018-02-28 08:10
On a related note (SVXY and UVXY):

http://www.proshares.com/news/proshare_capital_management_llc_plans_to_reduce_target_exposure_on_two_etfs.html


HankScorpio


Total Posts: 474
Joined: Mar 2007
 
Posted: 2018-02-28 12:54
And pure phuckery if you're long SVXY/UVXY calls/puts:

https://www.theocc.com/webapps/infomemos?number=42683

deeds


Total Posts: 391
Joined: Dec 2008
 
Posted: 2018-02-28 13:06
HankScorpio

Agree.

How would you calculate a fair value (in the BS sense) compensating payment (in cash or kind) for adjustment?

I guess at some judiciously chosen time, calculate cash out on the old terms, reinvest on the new terms, difference is payment?

Hard part is picking a time to modify.

Anyone know of a precedent?

EDIT: further thought.

kloc


Total Posts: 12
Joined: May 2017
 
Posted: 2018-02-28 17:36
Absolutely. Unfortunately I verified that experimentally.

gill


Total Posts: 200
Joined: Nov 2004
 
Posted: 2018-03-19 09:14
https://www.cnbc.com/2018/03/19/credit-suisse-vix-etn-lawsuits-tidjane-thiam-says-bank-not-at-fault.html

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