Published: Fri, February 09, 2018
Economy | By

Opera Trading Capital Sells 9912 Shares of Credit Suisse AG

Opera Trading Capital Sells 9912 Shares of Credit Suisse AG

Although it was originally intended for commodity traders to help identify the start and finish of market trends, it is frequently used to analyze stocks as well. "I was up until the wee hours, checking my phone to see where VIX futures were trading".

NYSE Arca is adjusting the re-opening auction reference price for SVXY (ProShares Short VIX Short-Term Futures ETF) from the prior day's official closing price to the Intraday Indicative Value (as of 11:00am) of $11.4111.

Tilly was speaking on a conference call hosted by Cboe to address concerns around market volatility in the aftermath of Monday's historic hit to stocks.

At one point, this product had $2.2 billion in assets.

The S&P 500 Index .SPX slumped more than 4 percent on Monday while the VIX index - Wall Street's so-called fear gauge - registered its largest-ever single-day jump.

And that has large implications for other asset classes, namely fixed income and currencies where low volatility has been a principal driver of large returns. Exchange traded notes are unsecured and unsubordinated debt securities issued by an underwriting bank.

Both the VIX and the VSTOXX have drifted lower since early 2016, staying at depressed levels below their 20-year average for almost two years - until Monday's slide in USA stocks. But if volatility rose 5 percent in one day, you would be down 5 percent.

The warning also served as a victory lap of sorts for Kolanovic, who had been warning about a volatility blow-up for months leading up to Monday's chaos.

Normally, one-month futures contracts on the VIX trade at a discount to the spot price, a structure known as backwardation.

In a separate interview with Quartz, Golden sounded slightly apprehensive about continuing to trade volatility the same way.

XIV had a net asset value of $4.22 on Monday, down from $115.55 on Friday.

The notional value of contracts on such products traded on Friday was six times the daily average for the a year ago, said the head of European equity market trading strategy at a bank in London. U.S. stocks ended Tuesday with gains after another wild trading session. And the ProShares Short VIX Short-Term Futures ETF plunged 85%.

The repercussions have been severe for some funds.

"Investors will receive a cash payment per exchange-traded note in an amount equal to the closing indicative value of XIV on the accelerated valuation date", said Credit Suisse, which won't sell new XIV notes after the buyback. As the sponsor of the VelocityShares note, Credit Suisse had the right to wind down and liquidate the note if its value changed more than 20 percent in a day.

Unlike exchange traded funds that track an index by buying stocks in the same proportion as their targeted benchmarks, ETNs linked to volatility trade in VIX futures.

Highly leveraged yield-seeking strategies in high yield bonds or commodity-linked currencies that have mushroomed in the aftermath of the 2008 global financial crisis are likely to come under pressure the longer volatility stays high.

To be sure, the market wasn't down just because of these complex volatility instruments.

"This buying pushes the volatility higher still, reducing AUM further, and making the issuer's hedging portfolio notionally more short, inducing further VIX futures buying to resize the portfolio to shrinking AUM", Weisberger said.

Investment strategies and products married to market swings were thrust front and center by the worst market meltdown in seven years, in which the Cboe Volatility Index surged to its highest level since 2015. The RSI is considered to be an internal strength indicator, not to be confused with relative strength which is compared to other stocks and indices.

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