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# ProShares Short VIX Short-Term Futures Message Board

• judge_smailes8 judge_smailes8 Nov 27, 2013 6:55 AM Flag

## What is the difference between XIV and XXV?

iPath is the provider of the VIX Short Term Daily Futures ETN which trades under the VXX ticker symbol. iPath also provides another ETN that supposedly was supposed to track the inverse of the daily movements of the VIX Short Term Daily Futures Index, just like XIV and SVXY. The ticker symbol of this other ETN is XXV. However, instead of steadily increasing in value like XIV and SVXY have over the past couple years, XXV has moved maybe 10% over the past two years and is barely inching closer to 39/share.

Does anyone know what the difference is between XXV and XIV? Both are ETNs, unlike SVXY, which is an ETF. However, XIV has produced returns similar to those of SVXY.

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• XXV is a 10 year note (ETN) issued by Barclays in July 2010.

It is based on the same inverse short term futures index as is XIV but with a huge difference.

VXX'S multiyear chart is a curve asymptotically approaching 0.
XIV theoretically might asymptotically approach Bob's infinity given enough years
XXV will asymptotically approach 40 - 42 until July 2020.

XIV is essentially priced at:

let previous day XIV=XIV(0) VXX=VXX(0)
let new XIV=XIV(1) VXX=VXX(1) XXV=XXV(1)

XIV(1)=XIV(0)+XIV(0)*[VXX(0)-VXX(1)]/VXX(0)

the daily formula for XXV follows:

XXV(1) = \$20 * (1 - [VXX(1)-VXX(inception)/VXX(inception)]) + accrued interest - accrued fees

VXX closed at \$27.36 on inception date.

therefore, XXV was issued at \$20 with a corresponding formulaic valuation of:

XXV = \$20 * (1 - (27.36-27.36)/27.36) + 0 - 0 = \$20

adjusted since for three 1:4 reverse splits:

VXX (inception) = 1751.12

intrinsic value of XXV calculated now will be:

XXV(close) = \$20 * (1- [VXX(close) - 1751]/1751) + accrued interest - accrued fees

of course, as you can see, [VXX(close) - 1751]/1751] continually approaches -1, and XXV will slowly approach a not quite maximum value of \$40 plus (accrued interest - accrued fees) at expiration in July 2020!

(Current accrued interest net fees

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