Barclays Bank PLC has launched the iPath S&P 500 Dynamic VIX Exchange Traded Note (ETN) on the NYSE Arca stock exchange under the ticker symbol XVZ. The ETN is designed to provide investors with a cost-effective way to gain exposure to a dynamic volatility strategy for the US equities markets.
“We are pleased to expand our suite of volatility-linked exchange traded products with the first iPath ETN to offer exposure to a dynamic volatility strategy,” says Kevin Burke (pictured), Head of Investor Solutions at Barclays Capital.
“As investors are increasingly looking for ways to access equity market volatility, this ETN offers them exposure while aiming to reduce the roll cost during calm markets and potentially providing enhanced beta to the VIX Index during more volatile periods,” says Eric Schlanger, Head of US Flow Derivatives at Barclays Capital.
This new ETN is linked to the S&P 500® Dynamic VIX Futures Total Return Index which is designed to dynamically allocate between the S&P 500 VIX Short-Term Futures Index Excess Return and the S&P 500 VIX Mid-Term Futures Index Excess Return by monitoring the steepness of the implied volatility curve and allocating dynamically between two components: a short-term volatility component and a mid-term volatility component. The Index seeks to react positively to overall increases in market volatility and aims to lower the roll cost of investments linked to future implied volatility.
