Falling volatility caused VZZ ETF, which provides double leveraged (since inception, not daily) returns of VIX Mid-Term Futures Index, to fall below $10, causing automatic termination. As Barclays writes (note, prospectus)
"As a result of the occurrence of an automatic termination event on July 1, 2011 Barclays Bank PLC will automatically redeem its iPath Long Enhanced S&P 500 VIX Mid-Term Futures ETNs. The ETNs will be redeemed (in whole, but not in part) on July 11, 2011, the date which is five business days after the automatic termination date, and the payment upon redemption will be a cash payment equal to the closing indicative note value on the July 1, 2011, representing the automatic redemption value as described in this pricing supplement. The automatic redemption value shall not be greater $10.00 for each ETN and shall not be less than $0 per ETN."
VZZ has mostly accurately tracked the 2 X performance of VXZ, falling 67.35% since its first close vs 33.70% for VXZ. S&P 500 rose over 11% over the same time period.
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