Self Directed Investor Inc
SDI: "Empowering investors with ideas and education"
Symbol Lookup »  
Topics:ChinaETFsEarningsEconomyEnergyForexGoldIncomeLessonsIdeasTrading

  • Other news: News from PR Newswire
| More

Performance of VIX ETPs During Current Pullback

Thu, Nov 8, 7:12 PM ET, by Bill Luby

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 14th 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 3rd 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 a good place to begin your research.

Related posts:

[source(s): Yahoo]

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



SDI Glossary: "Exchange" Definition
SDI Glossary: "ETFs" Definition
SDI Glossary: "Hedging" Definition
SDI Glossary: "Option" Definition
SDI Glossary: "Risk" Definition
SDI Glossary: "VIX" Definition
This Article's Word Cloud:   During   ETPs   Hedges   IVOP   Neglected   Performance   Returns   Term   Undeservedly   VIXH   Year   able   back   based   basis   been   below   close   data   during   first   from   gains   graphic   long   managed   market   more   only   past   performance   performer   period   post   products   quarter   reasons   same   selloff   some   space   that   their   these   this   three   traded   volatility   were   while

| More

Caterpillar CAT Shatters Support: Updating New Trading Levels
Tue, Jan 27, 12:21 PM ET, by Corey Rosenbloom

Caterpillar (CAT) shares shattered support at the $85.00 per share level on an earnings miss ...

Plotting the Current Range and Planning the Future SP500 Breakout
Mon, Jan 26, 3:21 PM ET, by Corey Rosenbloom

What goes up must come down, and in the market, what goes sideways must break ...

Jan 26 Recovery Market Update and Trending Stock Scan
Mon, Jan 26, 2:51 PM ET, by Corey Rosenbloom

Stocks stalled after surging from the QE intervention announcement in Europe. However, today’s session saw ...

The Year in VIX and Volatility (2014)
Mon, Jan 26, 8:11 AM ET, by Bill Luby

This is the seventh year in a row I have offered a retrospective look at ...

Top Posts of 2014
Sun, Jan 25, 5:51 PM ET, by Bill Luby

Since I launched VIX and More some eight plus years ago, I have devoted one ...

Support, A Breakout, and Missing Out in Netflix NFLX
Fri, Jan 23, 12:21 PM ET, by Corey Rosenbloom

If you didn’t catch Netflix (NFLX) off the critical support level, and now the breakout ...

Jan 22 Euro QE Market Update and Stock Scan
Thu, Jan 22, 3:21 PM ET, by Corey Rosenbloom

Like the expected knee-jerk reaction, stocks rallied on news that the European Central Bank will ...

Jan 21 Intraday Update and Big Trend Stock Scan
Wed, Jan 21, 2:51 PM ET, by Corey Rosenbloom

What levels are important in the market right now and which stocks are the top ...

Eight Top Intraday Trending Stocks for Jan 20
Tue, Jan 20, 4:41 PM ET, by Corey Rosenbloom

Which stocks topped our algorithmic list of strongest (and weakest) intraday trending stocks today? Let’s ...

Four Strong Trends Kicking off 2015
Tue, Jan 20, 4:11 PM ET, by Corey Rosenbloom

As 2015 continues, we’re seeing persistent trends develop across key markets. Let’s take a look ...

Jan 16 Stock Scan and Reversal Market Update
Fri, Jan 16, 3:31 PM ET, by Corey Rosenbloom

After yesterday’s Swiss Franc surprise (see the “Aftermath Update” post from this morning), the US ...

Documenting the Damage on the Swiss Franc Fallout
Fri, Jan 16, 1:41 PM ET, by Corey Rosenbloom

I wanted to highlight the ‘damage’ or intense price movement on select FOREX pairs because ...

Trade Planning off the 2000 Key Level in the SP500
Thu, Jan 15, 4:11 PM ET, by Corey Rosenbloom

It’s time once again to plan our intraday and swing trades off the key inflection ...

Jan 14 Selling Market Update and Trending Stock Scan
Wed, Jan 14, 1:51 PM ET, by Corey Rosenbloom

We have yet another sell session in motion, let’s take a moment to highlight key ...

Turnaround Tuesday Market Update and Stock Scan Jan 13
Tue, Jan 13, 3:23 PM ET, by Corey Rosenbloom

So far today has been a thrilling session. Let’s jump straight into our mid-day “turnaround” ...

Jan 12 Falling Market Update and Trending Stock Scan
Mon, Jan 12, 1:51 PM ET, by Corey Rosenbloom

We have another sell session in motion, let’s take a moment to highlight key levels, ...

Support and Resistance Planning to Start January 12
Mon, Jan 12, 11:51 AM ET, by Corey Rosenbloom

The S&P 500 (and Dow Jones Index) has compressed between moving average support and resistance ...

Are You Seeing this Stealth Move in Bonds TLT?
Fri, Jan 9, 2:31 PM ET, by Corey Rosenbloom

Pop Quiz – would you have made more money holding bonds all of 2014 or ...

A Flag and Planning the Next Swing in Apple AAPL
Fri, Jan 9, 12:31 PM ET, by Corey Rosenbloom

Which way will top trending stock Apple (AAPL) swing next? Let’s pinpoint the key levels ...

Bullish Breakout Stock Scan and Market Update Jan 8
Thu, Jan 8, 2:51 PM ET, by Corey Rosenbloom

This morning’s breakout above the market resistance level triggered a wave of buying – both ...

Relative Strength and Weakness Stock Scan Candidates for Jan 7
Wed, Jan 7, 3:41 PM ET, by Corey Rosenbloom

For today’s “Post-Fed Minutes Update,” let’s focus on the top four Relative Strength leaders and ...

2014 Had Third Highest Number of 20% VIX Spikes
Tue, Jan 6, 1:11 PM ET, by Bill Luby

By most measures, one would think that 2014 was a relatively quiet year for the ...

SP500 Completing the Arc into Target Levels
Tue, Jan 6, 11:31 AM ET, by Corey Rosenbloom

I’ve been highlighting this “Arc” or “Mirror Image” Pattern in the S&P 500 and US ...

Market Crashing Stock Scan and Level Update for Jan 5
Mon, Jan 5, 3:11 PM ET, by Corey Rosenbloom

Stocks tumbled sharply this morning, breaking a key support level which exacerbated the selling pressure ...

Dec 31 Quick Market Update and Stock Scan
Wed, Dec 31, 2:11 PM ET, by Corey Rosenbloom

So far, stocks are taking a breather (retracing) to end 2014 with two final days ...

Beautiful Arc Trading Opportunity for CME
Tue, Dec 30, 3:31 PM ET, by Corey Rosenbloom

CME Group (CME) is forming an ‘Arc Trendline’ pattern that is among my favorite patterns ...

Five Insights Only Monthly Charts Can Reveal to You
Tue, Dec 30, 10:41 AM ET, by Corey Rosenbloom

We’re accustomed to seeing stocks at all-time highs but what about other markets? And what ...

Dec 23 GDP Surge Breakout and Trending Stock Scan Update
Tue, Dec 23, 1:21 PM ET, by Corey Rosenbloom

Santa just stuffed our stocking earlier with a 5.0% US GDP growth, sending stocks gapping ...

Gaining Perspective from a Monthly Chart View
Tue, Dec 23, 10:11 AM ET, by Corey Rosenbloom

As we slide toward the end of 2014, let’s take a moment to review the ...

Dec 22 Range Midday Update and Strong Trending Stock Scan
Mon, Dec 22, 1:51 PM ET, by Corey Rosenbloom

We begin our holiday week awaiting the possible “Santa Claus” bullish rally to keep the ...

Dec 19 Rally Update and Daily Stock Scan
Fri, Dec 19, 3:11 PM ET, by Corey Rosenbloom

Up, up and away in the aftermath of the Fed Day! Stocks continued their short-squeezed ...

A Quick Grid of Overseas ETFs and Trends
Wed, Dec 17, 3:41 PM ET, by Corey Rosenbloom

With trends shifting and reversing across global markets, let’s step back and take a quick ...

Dec 17 Fed Day Market Update and Trending Stock Scan
Wed, Dec 17, 3:31 PM ET, by Corey Rosenbloom

With today’s Fed Day generating the typical pattern and volatility, let’s focus on our levels ...

Dec 16 Fed Day Market Update and Trending Stock Scan
Wed, Dec 17, 2:51 PM ET, by Corey Rosenbloom

With today’s Fed Day generating the typical pattern and volatility, let’s focus on our levels ...

Dec 16 Stock Scan and Market Update
Tue, Dec 16, 3:11 PM ET, by Corey Rosenbloom

This time, buyers rushed to buy value at a test of the key 1,980 confluence ...

The Arc of Crude Oil to Watch for Reversal
Tue, Dec 16, 1:41 PM ET, by Corey Rosenbloom

Arc Trendline Patterns are among my favorite things to see on a chart because of ...

Dec 15 VSpike Reversal Intraday Update and Stock Scan
Mon, Dec 15, 2:21 PM ET, by Corey Rosenbloom

After what looked like a positive opening, stocks continued their sell-swing lower, breaking the 2,000 ...

Dec 11 Power Rally Intraday Update and Stock Scan
Thu, Dec 11, 2:11 PM ET, by Corey Rosenbloom

Right on cue, and directly from the key confluence level I highlighted yesterday, the bulls ...

Look Out Below if this Simple Support Level fails for the SP500
Wed, Dec 10, 5:51 PM ET, by Corey Rosenbloom

The S&P 500 has retraced quickly to a known support target and we’ll focus on ...

Dec 10 Breakdown and Breakout Intraday Update with Stock Scan
Wed, Dec 10, 2:41 PM ET, by Corey Rosenbloom

After a stellar intraday reversal yesterday, sellers continued their pressure today with a breakdown Trend ...

Fibonacci Price Level Planning Grid for Tesla TSLA
Tue, Dec 9, 3:21 PM ET, by Corey Rosenbloom

What broader price levels are important for trading (or planning trades in) Tesla? Let’s chart ...

Dec 9 Gap into Support Update and Stock Scan
Tue, Dec 9, 1:51 PM ET, by Corey Rosenbloom

Even though we’re seeing the widely expected and highly logical pullback, buyers continue to show ...

Charting the Strongest and Weakest Sectors XLF and XLE
Mon, Dec 8, 4:41 PM ET, by Corey Rosenbloom

A longer-term comparison reveals the current strongest sectors and weakest sector for trade and position ...

Dec 5 Stock Scan and New High Market Update
Fri, Dec 5, 1:51 PM ET, by Corey Rosenbloom

Can this market actually go down? No. It can’t. ...

Watch these Key Levels for Trading the Breakdown in WYNN
Fri, Dec 5, 12:51 PM ET, by Corey Rosenbloom

If you’re trading WYNN stock or considering it – or just want to learn a ...

December 4 VSpike Reversal Intraday Update and Scan
Thu, Dec 4, 2:11 PM ET, by Corey Rosenbloom

Can this market actually go down? It seems like the answer is no – at ...

December 3 Rally Continues Market Update and Stock Scan
Wed, Dec 3, 1:51 PM ET, by Corey Rosenbloom

Monday indeed was the end of the pullback and short-lived victory for the bears. Now, ...

December 2 Bullish Update and Stock Scan
Tue, Dec 2, 3:31 PM ET, by Corey Rosenbloom

Yesterday seems to be all the pullback bears get. Buyers stepped back in as bears ...

Specific Scanning for Dow Stocks at New Trending Highs
Tue, Dec 2, 11:21 AM ET, by Corey Rosenbloom

Sometimes the simplest scans work better than complex methods, especially in a trending market like ...

Link: Market Update and Education with Bennett McDowell
Tue, Dec 2, 10:51 AM ET, by Corey Rosenbloom

I wanted to support my colleague and friend Bennett McDowell of TradersCoach.com as he is ...

  More articles:  1 2 3 4 5 6 7 next »

ABOUT US »   ADVERTISE »   CONTACT US »   TERMS OF USE & PRIVACY POLICY »

Performance of VIX ETPs During Current Pullback | Self Directed Investor | Copyright © 2008 - 2015, All Rights Reserved

Any ideas and opinions presented in Self Directed Investor content are for informational and educational purposes only, and do not reflect the opinions of BNK Invest, Inc. or any of its affiliates, subsidiaries or partners. In no way should any content contained herein be interpreted to represent trading or investment advice. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. All site visitors agree that under no circumstances will BNK Invest, Inc,. its subsidiaries, partners, officers, employees, affiliates, or agents be held liable for any loss or damage caused by your reliance on information obtained. Read Full Disclaimer.

SDI is associated with: ValueForum.com -- a subscription-based online social networking forum of over 1000 individual investors. | MarketNewsVideo.com -- videos appearing on SDI are produced by Market News Video. | TickerTech.com -- stock quote content appearing on SDI is at least 20 minutes delayed and is powered by Ticker Technologies. | GoldStockStrategist.com -- Edited by Scott V. Nystrom, PhD, Gold Stock Strategist provides analysis on gold mining companies.