“Vol of Vol” Alive And Well As We Head Toward End Of Month

Analyst/ETF Trader Paul Weisbruch of Street One Financial brings us his daily fund flows update, which today focuses on the back-and-forth action in volatility-based futures and their ETP counterparts.

ETF/Index option trading was mostly dominated by expiration-related repositioning, given the recent spate of volatility that has hit global markets. We abruptly sold off from as high as a 2405 intraday handle in the S&P 500 (SPX) down to 2352 last week, only to recover above 2390 in early trading today.

As we have mentioned, SPY has seen some modest position trimming amidst these moves, with about $2.5 billion leaving the fund via redemptions, while IWM (Russell 2000) has seen $1.8 billion vacate the fund.

Meanwhile, Long Volatility funds were in vogue for less than 48 hours last week on very heavy trading volume (VXX, UVXY, TVIX), and are now plunging back near all-time lows again.

The VIX itself had a $10 handle just five trading sessions ago, then rallied above $15 last week and is now plunging once again below $11.50, keeping the “Volatility of Volatility,” a.k.a. the “Vol of Vol” alive, well, and in focus here as we approach the end of May.

The ProShares Trust Ultra VIX Short Term Futures ETF (NYSE:UVXY) was trading at $12.03 per share on Monday morning, down $0.92 (-7.10%). Year-to-date, UVXY has declined -72.50%, versus a 6.92% rise in the benchmark S&P 500 index during the same period.

UVXY currently has an ETF Daily News SMART Grade of F (Strong Sell), and is ranked #2 of 3 ETFs in the Leveraged Volatility ETFs category.

Disclaimer: The content of this article is excerpted from a daily newsletter from Street One Financial. While ETF Daily News may edit the contents and add a relevant title to the piece, the author, Paul Weisbruch, does not endorse or recommend any issuer or security mentioned herein.

About the Author: Paul Weisbruch

paul-weisbruchPaul Weisbruch is the VP of ETF/Options Sales and Trading at Street One Financial. Prior to joining the team at Street One, Paul served as the Director of RIA and Institutional ETF Sales at RevenueShares ETFs from December 2007 until November of 2009. Before RevenueShares, Paul was employed by Susquehanna International Group from 2000 until 2007 serving in roles including OTC/NYSE Institutional Block Trading, Nasdaq/OTC Market Making, ETF/Derivatives Intelligence and Strategy, Algorithmic Trading, as well as acting as the PHLX Floor Specialist in the ETFs, SPY and DIA.Paul has been actively involved in the ETF space from both a product and trading standpoint since 2000. Additionally, Paul has well forged relationships with national RIAs, institutional pension fund managers and consultants, mutual fund and hedge fund managers, and also the ETF media. Co-authoring the “S1F ETF Daily” since 2009, the daily piece has become a must for many portfolio managers in the ETF space, with segments regularly appearing in the likes of Barron’s, WSJ, and ETFTrends.com for instance.

He holds his Series 4 (Registered Options Principal), 6, 7, 55 (Equity Trader), 63, and 65 licenses. He graduated from the University of Pittsburgh (B.S. – Economics), graduating magna cum laude, and has an MBA from Villanova University.