Home > VelocityShares Files For Six New VIX ETNs (XIV, ZIV, VIIX, VIIZ, TVIX, TVIZ, VXX, XXV, CVOL)
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VelocityShares Files For Six New VIX ETNs (XIV, ZIV, VIIX, VIIZ, TVIX, TVIZ, VXX, XXV, CVOL)

November 22nd, 2010

VelocityShares has filed paperwork with the SEC for six new ETNS linked to the S&P 500 VIX Short-Term Futures™ Index due December 4, 2030 (the “Inverse VIX Short Term ETNs”), the VelocityShares Daily Inverse VIX Medium Term ETN linked to the S&P 500 VIX Mid-Term Futures™ Index due December 4, 2030 (the “Inverse VIX Medium Term ETNs” and collectively with the Inverse VIX Short Term ETNs, the “Inverse ETNs”), the VelocityShares VIX Short Term ETN linked to the S&P 500 VIX Short-Term Futures™ Index due December 4, 2030 (the “Long VIX Short Term ETNs”), the VelocityShares VIX Medium Term ETN linked to the S&P 500 VIX Mid-Term Futures™ Index due December 4, 2030 (the “Long VIX Medium Term ETNs” and collectively with the VIX Short Term ETNs, the “Long ETNs”), the VelocityShares Daily 2x VIX Short Term ETN linked to the S&P 500 VIX Short-Term Futures™ Index due December 4, 2030 (the “2x Long VIX Short Term ETNs”) and the VelocityShares Daily 2x VIX Medium Term ETN linked to the S&P 500 VIX Mid-Term Futures™ Index due December 4, 2030 (the “2x Long VIX Medium Term ETNs” and collectively with the Leveraged Short Term ETNs, the “2x Long ETNs”).

The proposed funds are:

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  • Inverse VIX Short Term ETNs (NYSE:XIV)
  • Inverse VIX Medium Term ETNs (NYSE:ZIV)
  • Long VIX Short Term ETNs (NYSE:VIIX)
  • Long VIX Medium Term ETNs (NYSE:VIIZ)
  • 2x Long VIX Short Term ETNs (NYSE:TVIX)
  • 2x Long VIX Medium Term ETNs (NYSE:TVIZ)

The return on the ETNs of any series will be based on the performance of the applicable underlying Index during the term of such ETNs.  Each series of ETNs tracks the daily performance of either the S&P 500 VIX Short-Term Futures™ ER Index or S&P 500 VIX Mid-Term Futures™ Index ER (each such index, an “Index” and collectively the “Indices”).  The Indices are designed to provide investors with exposure to one or more maturities of futures contracts on the CBOE Volatility Index® (the “VIX Index”), which reflect implied volatility of the S&P 500® Index at various points along the volatility forward curve. The calculation of the level of the VIX Index is based on prices of put and call options on the S&P 500® Index.  Futures contracts on the VIX Index allow investors the ability to invest in forward volatility based on their view of the future direction of movement of the VIX Index.  Each Index is intended to reflect the returns that are potentially available through an unleveraged investment in the relevant futures contract or contracts on the VIX Index.  The S&P 500 VIX Short-Term Futures™ Index ER targets a constant weighted average futures contracts maturity of one month and the S&P 500 VIX Mid-Term Futures™ Index ER targets a constant weighted average futures contracts maturity of five months.  The Indices were created by Standard & Poor’s Financial Services LLC (“S&P” or the “Index Sponsor”).  The Index Sponsor calculates the level of the relevant Index daily when the Chicago Board Options Exchange, Incorporated (the “CBOE”) is open (excluding holidays and weekends) and publishes it on the Bloomberg pages specified below as soon as practicable thereafter. 

The return on the ETNs is linked to the daily performance of one of the Indices.  Each of the Indices models returns from a long position in VIX futures contracts that is rolled continuously throughout the period between futures expiration dates.  The S&P 500 VIX Short-Term Futures™ ER Index measures the return from a rolling long position in the first and second month VIX futures contracts, and rolls continuously throughout each month from the first month VIX futures contract into the second month VIX futures contract.  The S&P 500 VIX Mid-Term Futures™ Index ER measures the return from a rolling long position in the fourth, fifth, sixth and seventh month VIX futures contracts, and rolls continuously throughout each month from the fourth month contract into the seventh month contract while maintaining positions in the fifth month and sixth month contracts.

ETNs
Underlying Index
Underlying Index Ticker
Inverse VIX Short Term ETNs,
Long VIX Short Term ETNs,
2x Long VIX Short Term ETNs
S&P 500 VIX Short-Term Futures™ Index ER
SPVXSP
Inverse VIX Medium Term ETNs,
Long VIX Medium Term ETNs,
2x LongVIX Medium Term ETNs
S&P 500 VIX Mid-Term Futures™ Index ER
SPVXMP

For the complete filing click: HERE

Related funds: iPath S&P 500 VIX Short-Term Futures ETN (NYSE:VXX), iPath Inverse S&P 500 Vix S/T Fut ETN (NYSE:XXV), C Tracks Exchange Traded Notes (NYSE:CVOL)


NYSE:CVOL, NYSE:TVIX, NYSE:TVIZ, NYSE:VIIX, NYSE:VIIZ, NYSE:VXX, NYSE:XIV, NYSE:XXV, NYSE:ZIV


 

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