VIIXVelocityShares Daily Long VIX Short-Term ETN
VIIX Fund Description
The VelocityShares Daily Long VIX Short-Term ETN tracks an index of futures contracts on the CBOE Volatility Index with, on average, 1 month until maturity. It resets its exposure daily.
VIIX Factset Analytics Insight
VIIX is one of three volatility ETPs that offer short-term VIX futures exposure, but low assets make it less attractive. Two immediate caveats: 1) volatility ETPs deliver poor long-term exposure to the VIX index; and 2) volatility ETPs erased vast sums of investor capital over the past 12 months. Still, short-term VIX ETPs like VIIX generally make better tools for tactical exposure to the VIX than midterm products. (Short term means one month average term VIX futures.) They also did a better job than midterm ETPs at matching the VIX statistically over the past 12 months, but lost more money from greater contango in their futures positions. VIIX’s performance was indistinguishable from its two short-term peers, but its low AUM raises concerns about its viability. The ETN trades well, but institutions can do better elsewhere.
VIIX CHARTS AND PERFORMANCE
VIIX Portfolio Management
VIIX Tax Exposures
VIIX Fund Structure
VIIX Factset Analytics Block Liquidity
This measurement shows how easy it is to trade a $1 million USD block of VIIX. VIIX is rated a 5 out of 5.
VIIX Expected Decay
Expected decay estimates the annualized impact on returns solely from the futures term structure. A positive number implies an expected loss attributable to the term structure and a negative number implies an expected gain attributable to the term structure. Decay–to–spot compares weighted average futures contract prices with the spot VIX value. It also assumes a constant spot VIX level. Decay–to–preceding compares weighted average futures price levels with those immediately preceding on the curve, assuming that the shape of the curve is constant.
VIIX Term Structure
VIIX Performance Statistics
VIIX Correlations (DAILY RETURNS 12 MO)
Rolling 30-day Correlation to VIX Index
Options Strategies for Outcome Investing
A collar strategy is a protective option strategy constructed by writing a call and buying a put with the same expiration date while being long the underlying security.
A covered call is an income strategy constructed by writing a call option against a holding of the underlying security.