Posts tagged 'vix futures'

A super contango in fear

| Apr 24 2012 12:08 | Comment |

This is a guest post for FT Alphaville by Theo Casey, a columnist at Futures & Options World, blogging on the back of FOW’s European Equity Options conference in Amsterdam.

The year is 2017. Read more

The Vix distortion quantified

Izabella Kaminska joined FT Alphaville in October 2008. Before that she worked as a producer at CNBC, a natural gas reporter at Platts and an associate editor of BP's internal magazine.

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| Mar 28 2012 11:32 | Comment |

Are volatility-linked exchange-traded products (ETPs) getting too big for the Vix futures market? Are they comprising the price discovery role of Vix futures? Are they the reason why implied volatility curves have become steeply elevated?

As it turns out, Barclays Capital’s equity strategy team apparently thinks yes, it is possible (H/T the FT’s Ajay Makan). Read more

Time for position limits on Vix futures?

Izabella Kaminska joined FT Alphaville in October 2008. Before that she worked as a producer at CNBC, a natural gas reporter at Platts and an associate editor of BP's internal magazine.

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| Mar 05 2012 09:20 | Comment |

Holy cow! Index Universe – self-described defenders of the ETF industry — have admitted there may be an issue with these products affecting the underlying assets, after all.

The case in point is the TVIX ETN, which started behaving oddly (ballooning in size) at the beginning of February. Note our stories about the matter here and here. Read more

The cost of a crowded volatility trade

Izabella Kaminska joined FT Alphaville in October 2008. Before that she worked as a producer at CNBC, a natural gas reporter at Platts and an associate editor of BP's internal magazine.

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| Aug 30 2011 18:07 | Comment |

FT Alphaville just had a very interesting conversation with Ari Bergmann, managing principal at Penso Advisors, with respect to what’s been happening in the world of volatility hedging this year.

And specifically how things have changed since July. Read more

Barclays and the VZZ implosion [updated]

Izabella Kaminska joined FT Alphaville in October 2008. Before that she worked as a producer at CNBC, a natural gas reporter at Platts and an associate editor of BP's internal magazine.

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| Jul 04 2011 10:30 | Comment |

(*Please see below for response from Barclays.)

It was launched with a loud fanfare from Barclays about being an enhanced antidote to the decaying effect of the Vix future roll. Read more

Vix settlement weirdness

Izabella Kaminska joined FT Alphaville in October 2008. Before that she worked as a producer at CNBC, a natural gas reporter at Platts and an associate editor of BP's internal magazine.

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| May 19 2011 09:45 | Comment |

News comes our way of there being some concern in the market about the Vix settlement process.

In one phrase: It’s off. Read more

What is the fair value of a Vix future?

Izabella Kaminska joined FT Alphaville in October 2008. Before that she worked as a producer at CNBC, a natural gas reporter at Platts and an associate editor of BP's internal magazine.

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| Apr 20 2011 10:45 | Comment |

What is the fair value of a Vix future? In truth, it’s actually pretty hard to say.

This is a point FT Alphaville has raised before of course — whilst pondering some other volatility-related issues, like the current elephant in the room that is Vix-related ETNs (arguably tramping about on the supply and demand balance of the Vix curve), and the question of why spot volatility remains so stubbornly low while longer-dated volatility and variance pound higher. Read more

A Vix curve ball

Izabella Kaminska joined FT Alphaville in October 2008. Before that she worked as a producer at CNBC, a natural gas reporter at Platts and an associate editor of BP's internal magazine.

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| Sep 03 2010 16:22 | Comment |

Things, it seems, are still looking a bit funny in the world of VIX futures.

Pragmatic Capitalism, for example, wondered on Thursday why it was that volatility futures were refusing to revert to the mean. It’s a point that has also been picked up by the Vix and More blog. Read more