Sun, May 20, 2018
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. News Briefs - Warren Buffett: Target date funds aren't the way to go, Cambridge Analytica could be reborn under a different name[more]

    Warren Buffett: Target date funds aren't the way to go Planning for retirement can be complicated and stressful. This is why target date funds - funds that are managed based on when you expect to retire - are so attractive. Over time, the balance of stocks, bonds and cash evolve automati

  2. Investing - Hedge funds hike Smurfit Kappa positions amid takeover deal hopes, Hedge fund IBV Capital digs deep to unlock long-term value in a competitive market, Eisman of 'The Big Short' fame recommends shorting Deutsche Bank[more]

    Hedge funds hike Smurfit Kappa positions amid takeover deal hopes From Two US hedge funds, Davidson Kempner and York Capital, have accumulated a combined 4.74 per cent interest in cardboard box maker Smurfit Kappa using financial derivatives. It comes as many investors cl

  3. Foundations of hedge fund managers gave big to controversial donor-advised funds[more]

    In the world of philanthropy and tax-deductible charitable giving, the explosion of donor-advised funds has touched off intense debate. Now, there is evidence that the DAF boom is being further fuelled by hedge fund foundation money. Four of the top five foundations that gave the most to large do

  4. Study: For hedge funds, smaller is better[more]

    From The smaller the hedge fund is, the better its performance is likely to be, according to a new study. The study - "Size, Age, and the Performance Life Cycle of Hedge Funds," released April 26 - sought to determine whether a hedge fund's size and age had any effect on i

  5. Hedge fund returns rose in April for first gain since January[more]

    From Bloomberg Hedge Fund Database shows returns flat this year - Currency strategies had the biggest monthly gain at 13% Hedge fund returns increased 0.78 percent in April, reversing two consecutive monthly declines. The swing of 134 basis points was driven by gains in all seven