Barclays Capital’s VXX is bleeding volatility, analysts claim

blood-vessels

The VXX, an exchange-traded note (ETN) structured by Barclays Capital that gives investors access to volatility, is experiencing a large drag on its performance due to an upwardly sloping term structure of volatility. Some analysts claim this is causing a bleed of 0.13 volatility points a day.

The VXX provides access to volatility via futures on the Vix index, listed on the Chicago Board Options Exchange (CBOE). The S&P 500 Vix Short-Term Futures index offers exposure to a daily rolling long

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: