XVIX (ETRACS Daily Long-Short VIX ETN)

XVIX was a relative value (long-short) VIX ETN by UBS ETRACS. It was redeemed by UBS on 18 August 2016 and is no longer active.

XVIX Exposure and Basic Characteristics

XVIX was a VIX ETN by UBS ETRACS, which unlike most other VIX ETFs and ETNs did not take a directional (long or short) volatility position, but represented exposure to a relative value VIX play: long medium term and short short-term VIX futures.

The value of XVIX was supposed to generally increase when VIX futures curve steepened (medium term futures outperformed short term futures, which usually happens when spot VIX goes down). That said, in the long run it was also heavily influenced by the cost (or yield) of rolling the positions.

Direction: Long-Short (relative value)

Underlying index: S&P 500 VIX Futures Term-Structure Index Excess Return (Bloomberg: SPVXTSER)

Exposure: 100% long the middle of VIX futures curve (S&P500 VIX Mid-Term Futures Index ER) and 50% short the short end of VIX futures curve (S&P500 VIX Short-Term Futures Index ER).

XVIX options: Not available

Product type: ETN (exchange traded note)

Issuer: UBS AG

Provider: UBS ETRACS

Inception date: 30 November 2010

Closing date: 18 August 2016

The ETRACS Daily Long-Short VIX ETN is linked to the performance of the S&P 500 VIX Futures Term-Structure Index Excess Return — Ticker: SPVXTSER. ... The Index is a composite Index that measures the return from taking a long 100% position in the S&P 500 VIX Mid-Term Futures Index Excess Return with a short, or inverse, 50% position in the S&P 500 VIX Short-Term Futures Index Excess Return, with daily rebalancing of the long and short positions.

Provider website (product page no longer available): etracs.ubs.com

XVIX Historical Data

Yahoo Finance: finance.yahoo.com/quote/XVIX

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