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A Look At The VIX ETP Landscape

Published 09/10/2012, 01:58 PM
Updated 07/09/2023, 06:31 AM

Two thirds of 2012 passed before we saw the first new VIX-based exchange-traded product and it turned out to be an interesting one -- the First Trust CBOE S&P 500 Tail Hedge Fund ETF (VIXH), which was introduced at the end of August. VIXH is essentially a portfolio consisting of 99%-100% SPY, augmented by a dynamic allocation of 0%-1% of VIX options, with the amount of options determined by the level of the VIX at the beginning of each VIX expiration cycle. This is the first VIX-based ETP to include VIX options among its holdings and is notable because it bucks the recent trend as it's an ETF instead of an ETN. There are other features of VIXH worth discussing, which I'll touch on in future posts.

As the VIX ETP product space expands, it also contracts a great deal. Indeed, UBS has elected to close 12 of its ETRACS ETNs, effective tomorrow, September 11, 2012. Those UBS products failed to gain sufficient volume and assets to make them viable over the long haul. Still, when AAVX retires, it will do so with the best VIX ETP track record of all-time. That product was launched on September 8, 2011 and is up about 120% on the year since it was launched. (See ETRACS Volatility ETPs for the full list of ETPs set to close.)

Some Of The VIX Products
The graphic below is my periodic update of the VIX exchange-traded products (ETP) landscape, using the y-axis to denote leverage and the x-axis to indicate target maturity. In addition to the explanatory notes in the key at the bottom, it is worth noting that I use font color to distinguish between ETFs (black) and ETNs (blue). Also, I have used a parenthetical one letter code to identify the issuer: B = Barclays; C = Citibank; F = First Trust; P = ProShares; U = UBS; and V = VelocityShares.
VIX ETP

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