Credit Suisse is set to begin trading their new VelocityShares VIX Medium Term ETN (VIIZ) this Tuesday November 30th. The return on the ETN will be based on the performance of the S&P 500 VIX Mid-Term Futures™ Index during the term of such ETNs.  The ETNs tracks the daily performance of the S&P 500 VIX Mid-Term Futures™ Index.  The S&P 500 VIX Mid-Term Futures™ Index is 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 Mid-Term Futures™ Index targets a constant weighted average futures contracts maturity of five months.  The Index was 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 ETN is linked to the daily performance of the S&P 500 VIX Mid-Term Futures™ Index.  The S&P 500 VIX Mid-Term Futures™ Index 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 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.

You can find more information by clicking: HERE

VIIZ