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发表于 2012-2-23 03:21 PM
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TVIX倒下了，还有UVXY
The Fast Money’s Next Volatility Target
By Brendan Conway
Investors who follow the gaggle of complex leveraged products tied to the CBOE Volatility Index know that a popular one backed by Credit Suisse (CS) stopped issuing new shares this week after a trading surge triggered the investment bank’s “internal limits.” All signs suggest that running and hedging this corner of the burgeoning market for volatility trading vehicles simply got to be a bigger task than CS originally envisioned.
Thursday, there’s a battle playing out for control of the existing shares in the product, the VelocityShares Daily 2x VIX Short Term ETN (TVIX). In a rarity for exchange-traded funds and notes, TVIX is currently trading at about 16% above the intraday indicative value, according to FactSet Research Systems. This morning, it was 13% above those levels, according to Bill Luby at VIX and More. That’s what happens when demand outstrips supply, as is often seen in sleepier markets like closed-end funds.
It’s just one more lesson on why non-experts should probably steer clear of this young and burgeoning volatility-trading market. Much as investors want hedges and want to trade products tied to the VIX, it’s simply a very complex and constantly evolving place to be.
Though the TVIX suspension is supposed to be temporary, there’s already a similar vehicle that appears to be grabbing a slew of the fast money that last week would have targeted TVIX. Its mouthful of a name is the ProShares Ultra VIX Short-Term Futures ETF (UVXY). This four month-old fund has a chart that mirrors the product whose share creation has been halted. It entered the session with just $26 million in assets compared to $648 million in TVIX. But that was probably a function of traders’ preference for swimming in the same big pool.
With the whistle blown on TVIX, the ProShares fund has seen trading volume leap to 2.3 million shares Wednesday and nearly 3.4 million as of midsession Thursday, according to FactSet. Thursday’s volume appears to be the all-time record for UVXY.
We’ve put in a query to ProShares on whether a similarly massive rise in trading volume could produce the same “no more shares” announcement in UVXY. We will update here with any response. |
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狗仔卡
发表于 2012-2-23 02:23 PM
看看，本版藏龙卧虎的说
