New ETP Launches in week 10

Whereas last week we saw a relative large number of new ETP launches, this week we only say Lyxor bring to market a set of Dynamic Long Or Short VIX Futures based ETPs.

 

The two new Lyxor ETFs offer investors access to the performance of two Dynamic VIX based volatility indices. 

The Lyxor ETF Dynamic Long VIX Futures Index - EUR is set to replicate through Swaps the CBOE Dynamic Long VIX Futures Index. The Index tracks the performance of the combination of a hypothetical money market instrument and a dynamic strategy that is designed to provide efficient long exposure to the first five nearby futures contracts on the CBOE Volatility Index VIX.

The Lyxor ETF Dynamic Short VIX Futures Index - EUR on the other hand replicate also through Swaps, the CBOE Dynamic Short VIX Futures Index. This Index tracks the performance of the combination of a hypothetical money market investment and a dynamic strategy that is designed to provide efficient short exposure to the first two nearby futures contracts on the CBOE Volatility Index VIX.

For both these indices the dynamic exposure to VIX Futures is a function of two components.

A.     The shape of the Term-Structure and the Carry Gain/Loss

B.    A Momentum Signal that aims to estimate the expected impact of movements in Futures Contracts on the performance of the Index.


The CBOE Volatility Index (VIX) is based on index options of the US equity index S&P 500 and measures the future volatility of the S&P index as expected by the market.

If for some reason we have missed any ETP launches, please let us know!

 

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