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Implosion of XIV the inverse VIX ETN


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 SMCJB 
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WSJ :- Born to Die: Inside XIV, the Busted Volatility ETF

Would be better is it was an article rather than mostly twitter posts, but very interesting none the less...
It went up 96% yesterday. Yikes! We multiply yesterday's value by 0.04. That's the new Closing Indicative Value. You can see where this goes.
https://www.wsj.com/articles/born-to-die-inside-xiv-the-busted-volatility-etf-1517924271


Marketwatch:- XIV trader: ‘I’ve lost $4 million, 3 years of work and other people’s money’

https://www.marketwatch.com/story/xiv-trader-ive-lost-4-million-3-years-of-work-and-other-peoples-money-2018-02-06


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  #3 (permalink)
 
SMCJB's Avatar
 SMCJB 
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Lots of stories about today regarding a whistle-blower alleging VIX is manipulated. While I find zero-hedge interesting reading, their continual 'the world is about to end' style reporting has got old. Saying that, I thought their piece on this was decent, even if they are claiming they unearthed this conspiracy years ago.

https://www.zerohedge.com/news/2018-02-13/whistleblower-exposes-rampant-manipulation-vix


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SMCJB's Avatar
 SMCJB 
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I'm a fan of Ernie Chan, who has actually done several Webinars here at NexusFi

Seems like he might have had a crytsal ball warning about ETFs and ETNs over two years ago in his "Things you don't want to know about ETFs and ETNs" blog post.

Quantitative Trading: Things You Don't Want to Know about ETFs and ETNs


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SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
Platform: TT Stellar & Tradestation
Broker: Primarily Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,241 since Dec 2013
Thanks Given: 4,584
Thanks Received: 10,523

Interesting piece. Even with the 90% XIV implosion a 59% S&P 500 / 39% Barclay’s U.S. Aggregate Bond / 2% XIV portfolio (“59/39/2”) outperformed a 60% S&P 500 / 40% Barclay’s US Aggregate Bond mixture (“60/40”) portfolio IF rebalanced annually.

Flirting with Models
The Research Library of Newfound Research ~
RIP XIV


https://blog.thinknewfound.com/2018/02/rip-xiv/


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Last Updated on February 20, 2018


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