Barclays Capital’s VXX is bleeding volatility, analysts claim
An upwardly sloping term structure of volatility is dragging on the performance of the popular exchange-traded note.
The VXX, an exchange-traded note (ETN) structured by Barclays Capital that gives investors access to volatility, is experiencing a large drag on its performance due to an upwardly sloping term structure of volatility. Some analysts claim this is causing a bleed of 0.13 volatility points a day.
The VXX provides access to volatility via futures on the Vix index, listed on the Chicago Board Options Exchange (CBOE). The S&P 500 Vix Short-Term Futures index offers exposure to a daily rolling long
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