Citigroup, Inc. (NYSE:C) is set to begin trading their new “C-Tracks Exchange Traded Notes Based on the Performance of the Citi Volatility Index Total Return ETN” Monday November 15th. The C-Tracks Exchange-Traded Notes Based on the Performance of the Citi Volatility Index Total Return is designed to produce daily returns that are correlated to the CBOE’s VIX Index, a measure of implied volatility of large-cap U.S. stocks.
The Citi Volatility Index Total Return (the “Index”). The Index is a new index established by Citigroup Global Markets Inc., as index sponsor. The Index is published by the Chicago Board Options Exchange (the “CBOE”) and is a measure of directional exposure to the implied volatility of large-cap U.S. stocks. As a total return index, the value of the Index on any day also includes daily accrued interest on the hypothetical notional value of the Index based on the 3-month U.S Treasury rate and reinvestment into the Index. The methodology of the Index is designed to produce returns that are correlated to the CBOE Volatility Index (the “VIX Index”), which is another measure of implied volatility of large-cap U.S. stocks. CBOE calculates the level of the Index on each index business day and publishes it under the ticker symbol “CVOLT” as soon as practicable thereafter. The index sponsor, which is an affiliate of ours, sets the Index methodology and may modify the methodology for calculating the value of the Index or make certain other changes to the way in which the Index is calculated.
The Citi Volatility Index Total Return ETN will trade on the NYSE under the symbol: CVOL.
Related ETFs: Barclays ETN S&P VEQTOR (NYSE:VQT), iPath S&P 500 VIX Short-Term Futures ETN (NYSE:VXX), iPath S&P 500 VIX Mid-Term Futures ETN (NYSE:VXZ), iPath Inverse S&P 500 VIX Short (NYSE:XXV).
You can find the full filing: HERE