The last day of trading for VelocityShares Daily Inverse VIX Short-Term exchange-traded note (XIV) will be Feb. 20, according to an announcement from Credit Suisse. It is triggering this liquidation because the product could not keep up with the scenario it was supposed to track: a calm market. (谈股论金)  308次阅读

作者: 狗蛋妈 , 发表于: 2018-02-06 (2486天前) @ 雅歌

https://www.cnbc.com/2018/02/06/the-obscure-volatility-security-thats-become-the-focus-of-this-sell-off-is-halted-after-an-80-percent-plunge.html

Credit Suisse said it will end trading in a security that traders said was exaggerating movements in volatility futures markets and even the overall stock market.

The last day of trading for VelocityShares Daily Inverse VIX Short-Term exchange-traded note (XIV) will be Feb. 20, according to an announcement from Credit Suisse. It is triggering this liquidation because the product could not keep up with the scenario it was supposed to track: a calm market.

The XIV security, which had fallen roughly 85 percent in after-hours trade, had been halted pending this news early Tuesday. The security is supposed to give the opposite return of the Cboe Volatility index (VIX), the market's widely followed turbulence gauge.

Multiple exchange-traded securities that are also supposed to be bets on calm markets were also halted Tuesday morning after losing the majority of their value overnight.

Credit Suisse said late Monday ET that the XIV's plunge would have no "material impact" on the Swiss bank itself, though a source familiar with the news told CNBC that the investment bank was considering redemption of the ETN but had yet to make a final decision.

Shares of Credit Suisse slumped nearly 4 percent on Tuesday morning amid the wider sell-off in equity markets.

Other volatility-related funds, including the ProShares Short VIX Short-Term Futures (SVXY), have also fallen precipitously; the SVXY was also halted Tuesday morning pending news.

The CBOE Volatility index, which all these products are based on in some form, rocketed over 50 Tuesday, setting the stage for another turbulent day on the Street. Fears mounted Tuesday morning that Credit Suisse and other issuers could seek to liquidate the funds. Such a move could artificially drive the VIX even higher and spark another big equity sell-off because of programmatic trading linked to the volatility measure, traders feared.

"That's the instrument that's going haywire," Jim Cramer said Monday during a CNBC special report, referring to the XIV. "It is blowing up as we speak."

"It should put downward pressure on the stock market at the opening, should spike the VIX to 50 and then cause the market to go down," he said.

To be sure, the VelocityShares Daily Inverse VIX Short-Term exchange-traded note only has $1.9 billion in assets so the direct risk did not appear to be large.

"If the price of the underlying futures contracts increases by more than 80 percent in a day, it is extremely likely that the Inverse ETNs will depreciate to an Intraday Indicative Value or Closing Indicative Value equal to or less than 20 percent of the prior day's Closing Indicative Value and will be subject to acceleration," read the company prospectus. "If an Acceleration Event occurs at any time with respect to any series of the ETNs, we will have the right, and under certain circumstances as described herein the obligation, to accelerate all of the outstanding ETNs of such series."