VTS Community,

Today I’m just going to do some volatility complex housekeeping because we’ve had some name changes to a few of the more popular volatility indexes.  There’s also been an announcement of some termination of a few volatility products I’ll mention as well.  Don’t worry, none that we trade so for anyone who uses them it might be helpful to be aware of these changes.


Most of you at this point know what the VIX Index is and hopefully use it regularly as a guide or input variable when investing.  If you want to learn more about it I have an article that explains what it is and what those VIX values actually mean.

Article:  What do VIX index values actually mean?  If the VIX is 12, 12 what?


However there are also several other volatility indexes just like the VIX just over different time periods  (9 day, 3 month, 6 month, 1 year).  Again I have an article that introduces these.

Article:  The VIX index and VXST, VIX3M, VXMT


CBOE volatility index name changes:

– The old ^VXST  (9 day IV)  has been changed to ^VIX9D

– A while back the ^VXV  (3 month IV)  was changed to ^VIX3M

– The old ^VXMT  (6 month IV)  has been changed to ^VIX6M

– The 1 year IV index is still called ^VIX1Y

So I guess the name changes make sense because now the time period is actually in the name and it’ll be less confusing for newer traders.  Although if I’m ever talking in a live webinar or conversations I may still accidentally say VXV or VXMT because that’s all we’ve ever known, but I’ll try…


Volatility ETP terminations:

We’ve also seen an announcement of termination of several volatility ETPs.  Now I had planned on doing a video specifically about these ones and letting everyone know they are NOT worth investing in, but I guess now I don’t have to do that.  The low volume and relative unpopularity of the products has done that for me but it’s still worth noting.

XIVH  –  VelocityShares Short Hedged Volatility ETN

LSVX  –  VelocityShares VIX Variable Long/Short ETN

BSWN  –  VelocityShares VIX Tail Risk ETN

All three of these were in the dynamic volatility ETP category because they all attempted to be more appropriate for longer term buy and hold by having varying allocations of both short and long volatility.  XIVH for example would hold varying positions of -1x short volatility and 2x long volatility.  LSVX and BSWN had higher allocations to long volatility.  Essentially they were trying to get the best of both worlds.  Short volatility for smooth periods and long volatility as spike insurance.

However in much the same way buy and hold investing in stocks and bonds together to get the best of both worlds doesn’t actually work very well in a practical sense, neither does holding both short and long volatility at the same time.  As a result they were not very popular, the volume was very low on all of them and they will be terminated.

I for one won’t miss them, but hopefully some better products are in the works and will be released in due course.  My guess is when  (or if)  markets stabilize and we get several months of calm, we may see some new products launch again.  As we know, harvesting the volatility risk premium is not new.  It’s been around for many decades in various forms and the short vol trade isn’t going anywhere.  It’s just been temporarily disrupted but it will slowly recover and be back stronger than ever before we know it.


Current VTS Total Portfolio Solution Allocations

10% VTS Conservative Vol Strategy  –  Optional replacement for lower risk tolerance investors

10% VTS Aggressive Vol Strategy  –  Optional replacement for higher risk tolerance investors

50% VTS Tactical Balanced Strategy

20% VTS Iron Condor Strategy

10% VTS Discretionary Strategy

Temporarily paused:  VTS Tactical Volatility Strategy


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