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


contango forward curvesharpe ratio scaleputting in excel formulasstandard deviation formula shortcutprice weighted index formulaleptokurtic graphvix curvedeviation score formulaoptions notional valuequantitative hedge fund strategiesmean variance and standard deviation calculatorgreeks financelong short equity hedge fundsdefine option contractcboe options chainsection 13f securitiesformula for calculating variance in excelprice weighted index formulahedge fund traderslifo fifo weighted averagevariance formula for grouped datavix vs vxximplied volatility formulathe black scholes model explainedstrike price exercise pricevariance mathsmean variance standard deviation formulaskewness statistics definitionvstoxx volatility indexhow is dow jones industrial average calculated2 line macdgeorge soros fund holdingskurtosis explanationnormsdist formulasimple average method of inventory valuationkurtosis equationvix historical averagecalculate wacc examplemean variance standard deviation formulablack scholes with dividendsrsi meaning stockexponential moving average in excelblack scholes model formulanormal backwardation vs backwardationinferential statistics formulasannualized return formula exceldow jones highest ever closingrsi oversoldnegatives squaredswiss franc etfinterpreting kurtosisoption skew explainedwarren buffett sec filingsaverage deviation calculatorvar calculation formulaproshares products13f filingsformula for calculating variance in excelblack scholes model excelmacd trading strategieschart of vixghi stockimplied volcalculate variance on excelcost of debt calculator wacccboe paper tradingsharpe ratio optimal portfoliodays calculator formula excelcalculate standard deviation calculatorpopulation variance and sample variancesection 13f securitiesmarket cap weighting