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標題: vxx是一檔做多VIX期貨的ETN [打印本頁]

作者: sec2100 時間: 2018-12-29 12:42
標題: vxx是一檔做多VIX期貨的ETN
https://finance.yahoo.com/quote/VXX/

作者: sec2100 時間: 2018-12-29 12:44
svxy是VXX的純相反嗎?

https://finance.yahoo.com/quote/SVXY?p=SVXY&.tsrc=fin-srch

作者: sec2100 時間: 2018-12-29 12:54
This ETF offers inverse exposure to an index comprised of VIX futures contracts, making it an intriguing tool in certain environments. The VIX is a widely followed indicator of expected equity market volatility, and as such has a tendency to exhibit a strong negative correlation to equity markets. Inverse exposure to the VIX, therefore, can expected to generally move in the same direction as equities--though products such as SVXY can be considerably more volatile. Like most volatility ETPs, SVXY does not offer exposure to the spot VIX; rather, the returns generated by this product will often depend in large part on the slope of the futures curve. When the VIX futures market is in a state of steep contango--as it often has been historically--SVXY may offer exposure to a compelling strategy that can exploit structural inefficiencies. When the VIX market is backwardated, however, the strategy employed by this fund essentially has it flying into the wind, vulnerable to significant return erosion from the roll process. It should also be noted that SVXY maintains a daily reset feature; over multiple holding periods, this product will be impacted by the compounding of returns. SVXY can potentially be a very powerful tool, but is generally appropriate only for more sophisticated investors; those without an understanding of the VIX or futures-based strategies should steer clear. And this ETF doesn't belong in a long-term, buy-and-hold portfolio. The exposure offered by SVXY is generally similar to XIV, a popular product from VelocityShares. It should be noted, however, that the structures of these products differ; SVXY is an ETF, while XIV is an ETN. Both have potential advantages and drawbacks; SVXY avoids the credit risk that is inherent in any ETN, though XIV will not incur tracking error when rolling holdings.

作者: sec2100 時間: 2018-12-29 12:59
現在美股的VIX期貨呈現BACKWARDATION

http://vixcentral.com/

作者: sec2100 時間: 2018-12-29 13:05
https://finance.yahoo.com/quote/UVXY?p=UVXY&.tsrc=fin-srch

現在是買UVXY的買點嗎? (UVXY是二倍型的VXＸ)

作者: Jamesybybl 時間: 2019-1-23 10:59

sec2100 發表於 2018-12-29 12:59
現在美股的VIX期貨呈現BACKWARDATION

這個網址好棒..

作者: chinan 時間: 2019-1-23 11:25

sec2100 發表於 2018-12-29 12:44
svxy是VXX的純相反嗎?

https://finance.yahoo.com/quote/SVXY?p=SVXY&.tsrc=fin-srch

不盡然

漲的能漲到天邊,跌的卻只能到零.

作者: sec2100 時間: 2019-1-23 12:45

chinan 發表於 2019-1-23 11:25
不盡然

漲的能漲到天邊,跌的卻只能到零.

我是指vxx和svxy這二支做多/放空的VIX期貨是同一商品同一期限嗎?

作者: sec2100 時間: 2019-1-23 12:49

Jamesybybl 發表於 2019-1-23 10:59
這個網址好棒..

對啊，謝謝jamesbybl能感受到。

作者: Jamesybybl 時間: 2019-1-23 23:08
本帖最後由 Jamesybybl 於 2019-1-23 23:10 編輯

sec2100 發表於 2019-1-23 12:45
我是指vxx和svxy這二支做多/放空的VIX期貨是同一商品同一期限嗎?

這是ETF，所以是永久存續的。
一般反向ETF是daily inverse，就是在一天之內的績效是完全反向。這很容易，只要期貨買賣做反向，就可以讓ETF的淨值呈反向走勢。

但...經過一段時間之後，各自的淨值走勢有各自的問題
1.在VXX上，他是近月期貨ETF，意思是ETF內容持有最近月VIX期貨，最近期貨到期就轉倉道下一個月。而因為遠近月價差的關系(大多是近月低於遠月)，所以VXX長期淨值持續下跌。
2.SVXY反向型ETF長期走勢大月可以如下解釋
假設
VIX期貨連續5日期貨價格為：20,21,20,21,20
則其報酬率為：+0.5%,-0.476%,+0.5%,-0.476%.......累積報酬為0%
上述報酬率的反向為：-0.5%,+0.476%,-0.5%,+0.476%
累積報酬率=(1-0.5%)*(1+0.476%)*(1-0.5%)*(1-0.476%)-1=-0.053%

可以看到反向ETF在前述例子中，報酬率下降了一點點。長期下來會因為這樣的原因，而淨值有所減損。所以這些標的不適合長期持有，比較適合交易。那既然要交易，不如直接買進VIX期貨。

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