Estimating the decay parameters of leveraged & inverse etfs

*This article assumes the reader understands how inverse and leveraged ETFs work* Zhang’s 2010 paper, Path-Dependence Properties of Leveraged Exchange-Traded Funds: Compounding, Volatility and Option Pricing, gives a closed-form formula for estimating the decay of leveraged & inverse etfs. The formula: … [1.0] t=time in years (t=1 means one year) b=is the leverage factor (typically… Continue reading Estimating the decay parameters of leveraged & inverse etfs

Why to Always Short UVXY Instead of VXX

*This article assumes the reader understands volatility funds, short selling, leveraged funds, and option trading.* There are two major volatility ETNs (exchange traded notes), UVXY and VXX. Most people just assume UVXY is merely a 2x version of VXX, and not much else. Most traders who bet against volatility will simply short VXX without even… Continue reading Why to Always Short UVXY Instead of VXX