{"id":128798,"date":"2022-03-15T11:41:00","date_gmt":"2022-03-15T15:41:00","guid":{"rendered":"https:\/\/ibkrcampus.com\/?p=128798"},"modified":"2023-02-10T13:31:33","modified_gmt":"2023-02-10T18:31:33","slug":"beware-the-ides-of-march-vxx-traders","status":"publish","type":"post","link":"https:\/\/www.interactivebrokers.com\/campus\/traders-insight\/securities\/macro\/beware-the-ides-of-march-vxx-traders\/","title":{"rendered":"Beware the Ides of March, VXX Traders"},"content":{"rendered":"\n<p>Today we will be looking at the hijinks in VXX[i], and how it has become completely untethered from its benchmark, the CBOE Volatility Index (VIX).<\/p>\n\n\n\n<p>Yesterday, VXX\u2019s manager, Barclays, announced that it would be <a href=\"https:\/\/www.reuters.com\/business\/finance\/barclays-suspends-sales-notes-linked-oil-volatility-2022-03-14\/\">suspending the issuance of new notes in VXX<\/a> and its cousin OIL[ii].&nbsp; <a href=\"https:\/\/www.businesswire.com\/news\/home\/20220314005483\/en\/Barclays-Suspends-Until-Further-Notice-Further-Sales-and-Issuances-of-Two-Series-of-iPath\u00ae-ETNs-the-\">In a statement<\/a>, the bank announced that it no longer had \u201csufficient issuance capacity to support further sales from inventory and any further issuances of the ETNs.\u201d&nbsp; The bank was not forthcoming on other details, leading market pundits to speculate whether the bank had made this move because it had become too expensive to hedge profitably, hit a position limit at a futures exchange, or crossed an internal risk management threshold.&nbsp; All are plausible, but it is pointless to speculate why they undertook this measure when they did.&nbsp; We are more concerned with the ramifications for those who trade and invest in VXX.<\/p>\n\n\n\n<p>It is important to remember the distinction between ETNs and ETFs.&nbsp; They tend to look and act alike under normal circumstances, but subtle differences have a nasty way of revealing themselves when markets misbehave.&nbsp; Unlike an ETF, which is essentially a pass-through structure, ETNs are liabilities of their issuers.&nbsp; Those issuers, usually banks, must manage their liabilities, giving them capacity constraints that ETFs, which hold assets in custody, do not.&nbsp; Many traders remember the demise of XIV, a Credit Suisse issued volatility-linked ETN, during the so-called \u201cVolmageddon\u201d of February 2018.&nbsp; While some may point to the current halt in RSX as a sign that ETFs are not immune, the cases are not truly analogous.&nbsp; <a href=\"\/campus\/traders-insight\/securities\/stocks\/how-to-fall-nearly-80-and-still-be-overvalued\/\">There is no way to trade the underlying assets of RSX,<\/a> the VanEck Russia ETF, so that impairment is exogenous.&nbsp; There is nothing inhibiting Barclays from trading the VIX contracts that underlie VXX.&nbsp; This halt is discretionary.<\/p>\n\n\n\n<p>The differences between the freely convertible VIXY ETF and impaired VXX ETN are quite evident in the chart below.&nbsp; We see that both VIX-linked products tracked their benchmark quite nicely.&nbsp; In fact, VXX tracked so closely that I had to double-check the graph to see whether VXX was being properly displayed.&nbsp; For yesterday and today, I had no such problem, as VXX shot higher after being effectively untethered from its benchmark:<\/p>\n\n\n\n<h2 class=\"wp-block-heading\" id=\"h-20-day-intraday-chart-of-vix-red-green-vixy-blue-and-vxx-purple\"><strong>20-Day Intraday Chart of VIX (red\/green), VIXY (blue), and VXX (purple)<\/strong><\/h2>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"975\" height=\"583\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2022\/03\/image-51.png\" alt=\"20-Day Intraday Chart of VIX (red\/green), VIXY (blue), and VXX (purple)\" class=\"wp-image-128805 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2022\/03\/image-51.png 975w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2022\/03\/image-51-700x419.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2022\/03\/image-51-300x179.png 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2022\/03\/image-51-768x459.png 768w\" data-sizes=\"(max-width: 975px) 100vw, 975px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 975px; aspect-ratio: 975\/583;\" \/><\/figure>\n\n\n\n<p><em>Source: Interactive Brokers<\/em><\/p>\n\n\n\n<p>The recent move higher may have been exacerbated by high short interest in VXX.&nbsp; Under normal circumstances it is difficult to have a short squeeze in an ETF because more shares can be created to fulfill the demand.&nbsp; That is not the case in VXX, at least not for the time being.&nbsp; As a result, we can get short squeezes and ensuing margin calls that push the ETN higher without regard to fundamentals.&nbsp;<\/p>\n\n\n\n<p>While it may be tempting for some to try to ride the short squeeze from the long side, it is important to bear in mind that it is a risky proposition.&nbsp; <a href=\"\/campus\/traders-insight\/securities\/stocks\/parabolic-charts-mean-someone-is-in-pain\/\">Just last week we reminded readers<\/a> that parabolic charts often resolve themselves by sharp drops without warning.&nbsp; If it can happen in a globally traded commodity like oil, it can certainly happen in a niche product like VXX.&nbsp; If you don\u2019t remember the wild swings in TVIX last March<a href=\"#_edn3\" id=\"_ednref3\">[iii]<\/a>, they should prove an important reminder.&nbsp; At that time Credit Suisse temporarily halted issuance of that ETN amidst a short squeeze.&nbsp; The price surged, but then plunged once issuance resumed.&nbsp; Keep this chart in the back of your mind if you\u2019re tempted to plunge into the VXX maelstrom:<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>TVIX Daily Chart, December 15<sup>th<\/sup>, 2020 to June 15<sup>th<\/sup>, 2020<\/strong><\/h2>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"975\" height=\"450\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2022\/03\/image-52.png\" alt=\"TVIX Daily Chart, December 15th, 2020 to June 15th, 2020\" class=\"wp-image-128806 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2022\/03\/image-52.png 975w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2022\/03\/image-52-700x323.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2022\/03\/image-52-300x138.png 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2022\/03\/image-52-768x354.png 768w\" data-sizes=\"(max-width: 975px) 100vw, 975px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 975px; aspect-ratio: 975\/450;\" \/><\/figure>\n\n\n\n<p><em>Source: Bloomberg<\/em><\/p>\n\n\n\n<p>[i] The full name for VXX is iPath Series B S&amp;P 500 VIX Short-Term Futures ETN<\/p>\n\n\n\n<p>[ii] The full name for OIL is iPath Pure Beta Crude Oil ETN<\/p>\n\n\n\n<p>[iii] Now TVIXF, the VelocityShares Daily 2X VIX Short-Term ETN<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Today we will be looking at the hijinks in VXX, and how it has become completely untethered from its benchmark, the CBOE Volatility Index (VIX).<\/p>\n","protected":false},"author":4,"featured_media":103221,"comment_status":"closed","ping_status":"open","sticky":true,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[14700,18,6,8,9,26,3],"tags":[317,860,3290],"contributors-categories":[13576],"class_list":{"0":"post-128798","1":"post","2":"type-post","3":"status-publish","4":"format-standard","5":"has-post-thumbnail","7":"category-ibkr-market-insights","8":"category-macro","9":"category-north-america","10":"category-region","11":"category-securities","12":"category-text-articles","13":"category-traders-insight","14":"tag-vix","15":"tag-volatility","16":"tag-vxx","17":"contributors-categories-interactive-brokers"},"pp_statuses_selecting_workflow":false,"pp_workflow_action":"current","pp_status_selection":"publish","acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v26.9 (Yoast SEO v27.4) - 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