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TVIX Fund Description
The VelocityShares Daily VIX Short Term ETN provides 2x leveraged exposure to an index comprising first- and second-month VIX future positions resulting in a weighted average maturity of 1 month.
TVIX FactSet Analytics Insight
TVIX offers geared exposure to VIX futures, designed to capture near-term volatility in the S&P, in an ETN wrapper with ongoing trading issues. The note is designed to deliver daily 2x exposure to short-term (average 1 month maturity) VIX futures. VIX-futures ETPs—geared or not—are emphatically tactical, designed to be held for days or even hours. Inside that limited horizon, TVIX is an excellent way to enhance exposure to VIX futures. It trades in excellent volume, with modest spreads and good block liquidity. The expense ratio is rather high, even for the pricey levered-ETF space. It is worth noting that in February 2012, Credit Suisse halted creations following major inflows that the bank was unable or unwilling to hedge. While the bank's initial response may have been entirely prudent, the removal of part of the plumbing that keeps prices in line with fair value produced massive premiums to NAV. Creation status has since returned to normal, but it's not unreasonable to worry that Credit Suisse could halt creations once again if the bank cannot effectively hedge its position in TVIX.
TVIX FactSet Analytics Block Liquidity
This measurement shows how easy it is to trade a $1 million USD block of TVIX. TVIX is rated a 5 out of 5.