“Volatility futures have a large negative roll yield in steady markets, so the insurance provided by this fund can be very costly even if volatility remains constant,” the investment research firm says in a report on VXX.
The ETN has a market capitalization of $1.7 billion, according to issuer Barclays.
Two leveraged volatility products, ProShares Ultra VIX Short Term Futures ETF (NYSEArca: UVXY) and VelocityShares Daily 2X VIX Short Term ETN (NYSEArca: TVIX), have seen inflows of $180.4 million and $90.6 million, respectively, in the third quarter, according to IndexUniverse data.
iPath S&P 500 VIX Short Term Futures
