tag:blogger.com,1999:blog-8608774547701042310.post8549986713989514158..comments2017-08-14T10:26:11.469-04:00Comments on Volatility Futures & Options: XIV - the first 6 monthsonlyvix.blogspot.comhttp://www.blogger.com/profile/13947069891082111297noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-8608774547701042310.post-84170550193984682012011-06-16T04:21:03.216-04:002011-06-16T04:21:03.216-04:00It would be wonderful if you would either provide ...It would be wonderful if you would either provide the data or the method to calculate this graph ourselves. It seems historical data like this is totally lacking for these new and (for many) exotic ETNs.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-58065896826435330652011-06-14T22:15:36.366-04:002011-06-14T22:15:36.366-04:00Great chart! The interesting thing to me is the h...Great chart! The interesting thing to me is the huge decline of XIV in 2007. IF I am reading the graph right, it looks like XIV collapses from over 200 in early 2007 to under 100 by the end of 2007. It actually stays relatively stable for most of 2008 before collapsing again at the end of 2008. Of course up 8-10 fold since then.<br /><br />Any further backtesting results would be greatly appreciated.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-20977502259681497712011-06-14T09:33:19.683-04:002011-06-14T09:33:19.683-04:00Can you please share the formula for
1. index and...Can you please share the formula for <br />1. index and simulate hypothetical performance for the ETFs <br />2. Geometric annualized returns for VIX and XIV<br />3. The chart spreadsheet/ raw data<br />ThanksManinoreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-17479939259619220242011-06-13T05:39:52.567-04:002011-06-13T05:39:52.567-04:00Hi!
Could you explain how you did the XIV predict...Hi!<br /><br />Could you explain how you did the XIV prediction?<br /><br />ThanksAnonymousnoreply@blogger.com