VXX

Yes it's a big week with UK parliamentary votes, a Fed meeting and a US post-shutdown data deluge including the jobs report. But we know macro isn't the only factor dictating prices these days, with the unholy trinity of liquidity / leverage / flows in the driving seat. With that in mind, we bring you a primer on the other event of the week: the maturity of an esoteric volatility product.

  1. The VXX is an exchange-traded note issued by Barclays in 2009 with a maturity date of 10 years. This note expires on January 30th.
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