It requires ETF providers to buy as prices rise and sell as prices fall, which critics claim exacerbates market movements, filtering back into the closely-related options markets that the Vix is priced from.“There is a layer of separation between the Vix and Vix futures, and the ability to uncover any effect is challenging,” said Scott Weiner, head of ETP quantitative strategy at Janus Capital, which own Velocity Shares.
On that day, Gold and Silver will show their true value.
There is one problem; there are thousands of industrial processes for which Silver is vital, and has no replacement.
There is rising concern over the bigger role played by passive or systematic trading strategies in equity markets — given the current uncertain global economic and financial backdrop — with some fund managers arguing that their techniques are aggravating market movements.
Four products, two run by Pro Shares and two run by Velocity Shares, totalling .8bn in assets, bought close to 35,000 Vix futures contracts on August 24, according to calculations from public data by Macro Risk Advisors, a broker dealer.
If the price goes up 10 per cent then the investor receives 20 per cent back, or .
The investment is now worth 0 and the ETF is worth 0, so at the end of the day it has to go out and buy another worth of futures contracts to maintain the same leverage for the next day.the rather amusing correlation between the collapse in net VIX futures non-commercial spec interest (yes, the VIX, which courtesy of the New Normal's relentless synthetic reflexivity has a huge impact on the trillions in underlying assets: think massive leverage) as per the CFTC's weekly commitment of traders report, and the arrival of Brian Sack's replacement as head of the NY Fed's trading desk, Simon Potter, the same former UCLA Econ Ph D who recently delivered a very ornate speech explaining central bank interactions with financial markets "through the prism of an economist." Now at least we know how said "interactions" look outside of "the upsurge in stock market turmoil during August was exacerbated by specialised exchange traded funds that track volatility and use leverage to magnify investor returns, according to some analysts.Some analysts argue that the magnitude of the move in the Vix was fuelled by certain types of ETFs, and similar exchange traded notes, that track the index but use futures contracts to multiply investor’s returns.What the article here misses is the big players know where they can take the market to run stops and cause short-covering, etc.If you're looking to why the VIX effect isn't having the desired influence you need to look at the bigger picture. Only way to cancel out short volatility (selling a vix future) is by synthesizing the long equivalent out of spx options.That is sort of news most lying American reporters will never cover. Glad to see this again (as nearly the same substantive information was posted here almost a year ago).