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:

Bloomberg.com:


Related pages


advantages and disadvantages portfolio managementsample covariance in excelvxx us equitysec 13f securitiesvix options tradingmacd calculation excelcurrent djia divisormacd histogram divergencemarket capitalization weighted indexvix realtimevix futures pricingshort term macd settingsmarket capitalization weightedsharpe theorysample variance formula examplehow to find the mean variance and standard deviationbutterfly spread payoff diagraminverse etnreverting to the meanstandard deviation calculation excelskewness statisticexamples of skewness and kurtosisoption greek calculatorcost of debt calculator waccoption pricing model excelcalculation of skewness and kurtosisoption straddle examplecalculating volatility of stockeuro stoxx 50 quoteblack scholes calculationauc unitoption pricerstandard deviation in investingformula of skewnessfifo ending inventory calculatoroptions futures and other derivatives by john c hullvixx etfwacc formularexcel formula calculatorvix methodologyubs e-tracsdelta hedge calculatorindexation formulamost liquid etfshow to change font size in notepaddow jones investment calculatorvariance in mathsthe greeks financeexcel calculation formulasblack scholes equationsoptions greeks explainedcalculating standard deviation of returnsmoving average chart excelstock sharpe ratiorsi indicator formulaetf xivsec 13f filingchart of vixstandard deviation formula shortcutweighted average inventory costingarithmetic and geometric averagesoption payoff calculatorcalculate delta of call optionnormal density function excelblackscholes formulablack scholes gammavega black scholesmerton scholesrsi chartsoptions profit and loss calculatoreasy calculation mean median modewhat does cboe stand forsharpes ratioubs etnultra etfsberkshire 13fblack schole equationetf swiss francnotepad background colorspx volatility indexdifference between moving average and exponential smoothingstandard deviation formula in financesimple arithmetic formulas