XVIX (ETRACS Daily Long-Short VIX ETN)

XVIX Exposure and Basic Characteristics

XVIX is a VIX ETN by UBS ETRACS, which unlike most other VIX ETFs and ETNs doesn’t take a directional (long or short) volatility position, but represents exposure to a relative value VIX play: long medium term VIX futures and short short-term VIX futures. The value of XVIX should generally increase when VIX futures curve is steepening (medium term futures outperform short term futures, which is usually when spot VIX goes down), but in the long run it is also heavily influenced by the cost (or yield) of rolling the positions.

Direction: Long-Short (relative value)

Underlying index: S&P 500 VIX Futures Term-Structure Index Excess Return (Bloomberg: SPVXTSER)

Exposure: 100% long the middle of VIX futures curve (S&P500 VIX Mid-Term Futures Index ER) and 50% short the short end of VIX futures curve (S&P500 VIX Short-Term Futures Index ER).

XVIX options: Not available

Product type: ETN (exchange traded note)

Issuer: UBS AG

Provider: UBS ETRACS

Inception date: 30 November 2010

Official Information and Links

The ETRACS Daily Long-Short VIX ETN is linked to the performance of the S&P 500 VIX Futures Term-Structure Index Excess Return — Ticker: SPVXTSER. … The Index is a composite Index that measures the return from taking a long 100% position in the S&P 500 VIX Mid-Term Futures Index Excess Return with a short, or inverse, 50% position in the S&P 500 VIX Short-Term Futures Index Excess Return, with daily rebalancing of the long and short positions. Source: Factsheet (see links below).

XVIX product page:

XVIX factsheet:

XVIX prospectus:

Provider website:

XVIX Quotes, Assets, and Trading Volume

Yahoo Finance:


Related pages

how to calculate average with weighted percentagestrading days calculatorvolatility excelintraday volatilityimplied volatility definitionhow to calculate coefficient of variation in excelfinding variance on excelat the money straddlefloat-adjusted market capitalizationhedge fund definition examplesample variance formulasshort iron condorcomvixlatest 13f filingstvix velocityshareshistorical var calculationdelta calculator optionsstandard deviation calculatorsshortcut standard deviation formulamedian advantages and disadvantagesspx settlement valueyahoo futures indicesvxx tickerformula for calculating standard deviation in statisticsvariance calculator excelunderlyingscalculating historical volatilitysample kurtosisvix graphonline black scholes calculatoruvxy etfmarket capitalization weightedhow to calculate using excel formulaput option profit calculatoroptions futures and other derivatives solution manualstraddle option strategynormsdist formulasimple spreadsheet formulasrelative strength calculatorsec filings wikivix futures optionsusd yen etfyahoo finance csvblack scholes model equationlogarithm calculator step by stepoption pricing model excelsimple exponential smoothing calculatorexpiration calendarkurtosis formula in statisticswacc preferred stockvelocityshares dailywhat is a straddle optionhow to calculate root in excelputting formulas in excelblack scholes model equationschole greek definitionvix index etfcalculate formula in excelblack scholes simulationmarket capitalization weightedblack scholes delta calculatorhow to calculate rsimedian of odd numbersdividend formula financewhat is black scholes option pricing modelimplied volatility term structurenormdist calculatorstock volatility calculatorpayoff diagrams for call and put optionsintrinsic value of a call option formulamodel black scholeshow to annualizeoptions yahoo financehow to draw a breakeven chart in exceluses of skewnessformula black scholes13f-hrbear call spread examplevix futures tickergreeks for optionscalculation of wacc