Sun, Feb 18, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

The short-vol trade is dead, long live short-vol

Friday, February 09, 2018

Bailey McCann, Opalesque New York:

The correction is here - or is it? Monday's spike in the VIX took two scalps - $XIV and Nomura's Next Notes S&P 500 VIX Short-Term Futures Inverse Daily Excess Return Index ETN. There was one survivor - ProShare's inverse volatility ETF $SVXY and it's already bounced back.

"I think the market has spoken on this. Everyone knows what's up with these products now, but if you look at the asset flows this week $SVXY could end up Forrest Gumping its way back to where it was before Monday," Scott Billington, Co-Founder of Covenant Capital Management tells Opalesque. And, the numbers bear him out. $SVXY started 2018 with approximately $770 million of AUM, but when the dust settled after the VIX spiked on Monday, the ETF had just $97.3 million left. Still, investors haven't abandoned the short volatility trade just yet. Asset flows into $SVXY have rebounded and by market close on Tuesday $SVXY was back up to $409 million. By Wednesday? $766 million.

Billington isn't surprised to see investors come back. "There's obviously market demand for being able to take both sides of the VIX," he says, adding that the criticism of volatility products may be a bit overblown. "Unless someone was just outright lying to investors when they sold this product, the possibility that it would go to zero is outlined in the prospectus. If you do the math on how these things work it should be clear to you that they were going to g......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Chenavari, a $5.4bn hedge fund, told investors it thinks 'we could experience a similar pattern as the 1987 crash'[more]

    From Businessinsider.com: A $5.4 billion hedge fund told clients markets could tumble just like they did in the 1987 crash. In a February 14 letter to clients, London-based Chenavari Investment Managers warned about current market conditions. From the letter (emphasis added): "Our view is that

  2. Investing - Hedge fund Bridgewater makes $22 billion bet against European firms, Hedge funds Steadfast and Suvretta jump onto CSX in fourth quarter, Tepper's Appaloosa boosts Apple, Facebook as others bolt, Third Point buys Netflix and MGM, dumps Bank of America, Moore Capital bought Wynn Resorts, other casino stocks before Steve Wynn resigned[more]

    Hedge fund Bridgewater makes $22 billion bet against European firms From Reuters/USNews.com: Bridgewater has shown its hand in Europe with a $22 billion bet against some of the continent's biggest companies, filings reviewed by Reuters show, part of a bigger shift by the world's largest

  3. Funds Profiles - Brother-run hedge fund up 46% in 2017 says Kelly formula shows diversification is flawed, How a 6,000% profit on a single trade saved a small hedge fund from disaster[more]

    Brother-run hedge fund up 46% in 2017 says Kelly formula shows diversification is flawed From Valuewalk.com: When Jeremy and Michael Kahan consider the notion of diversification, the wince. With a return of 45.8% to end 2017, their stock-picking fund, North Peak Capital, successfully

  4. Investing - Hedge funds hook shipping stocks grappling for recovery, Small cap hedge funds offer alternative for cannabis investing, Top stock-picking hedge funds love gaming, health care and media shares, Hedge funds Steadfast and Suvretta jump onto CSX in fourth quarter[more]

    Hedge funds hook shipping stocks grappling for recovery From Hellenicshippingnews.com: Shipping stocks may still be in the doldrums in the view of many investors, but hedge funds have bet at least $675 million on signs of renewed buoyancy in the industry. Hedge funds made initial f

  5. Outlook - Eaton Vance: Retail volatility products 'the tip of the iceberg' in market turmoil, Quadratic Capital says markets to remain turbulent for some time[more]

    Eaton Vance: Retail volatility products 'the tip of the iceberg' in market turmoil From CNBC.com: While a lot of attention has been paid to retail volatility products that contributed to the recent sell-off, those securities are "just the tip of the iceberg," Eddie Perkin, chief equity i