The FAQs below are intended only to provide a brief discussion of the applicable ETNs. Investors should read the applicable registration statement (including a prospectus and related supplements) linked below and any other documents relating to the offering that the issuer has filed with the SEC to understand fully the terms of the relevant ETNs, including risks, fees and other considerations that are important in making a decision about investing in the ETNs.
The EURO STOXX 50® Volatility Index (VSTOXX) is based on EURO STOXX 50 real-time options prices, and is designed to reflect the market expectations of European volatility by measuring the implied volatility across all options of a given time to expiration.
The EURO STOXX 50 Index provides a representation of supersector leaders in the Eurozone. The index covers 50 stocks from 11 Eurozone countries: Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal, and Spain.
The VelocityShares VSTOXX Exchange Traded Notes (ETNs) are issued by UBS. The ETNs are senior, unsecured obligations of the issuer which are designed to provide traders with sophisticated tools for executing their trading strategies. The ETNs enable investors to gain exposure to the relevant underlying index, minus the investor fee.
No. The ETNs are not linked to the VSTOXX Index. Each ETN is linked to either the VSTOXX Short-Term Futures Investable Index, or the VSTOXX Short-Term Futures Inverse Investable Index, as described in the applicable prospectus supplement.
The return on the ETNs will be based on the daily performance of either the VSTOXX Short-Term Futures Investable Index, or the VSTOXX Short-Term Futures Inverse Investable Index, less a fee. The underlying indices are futures based and do not use put and call option pricing to determine implied volatility.
The ETNs are linked to either the VSTOXX Short-Term Futures Investable Index or the VSTOXX Short-Term Futures Inverse Investable Index. The Indices were created by STOXX Ltd. For additional information, please refer to “The Indices” section in the applicable prospectus supplement.
The VSTOXX Short-Term Futures Investable Indices offer exposure to a daily rolling position in the first and second month VSTOXX futures contracts. The indices roll continuously throughout each month from the first month VSTOXX futures contract into the second month VSTOXX futures contract to maintain a constant weighted maturity of 1 month. All hypothetical purchases and sales of first and second month VSTOXX futures contracts occur at the bid or offer prices and would incur a cost as a result of the bid-offer spread.
The return of the VSTOXX Short-Term Futures Investable Indices can be affected by the prices of the underlying price of the VSTOXX futures, bid/ask spreads, the "roll cost" or "roll yield" from selling near-dated and buying further-dated VSTOXX futures contracts, and for the Inverse index, the daily reset of the exposure. Roll yield (cost) is a profit (loss) that can be generated when investing in the futures market, due to the price difference between futures contracts with different expiration dates.
For the Inverse Volatility ETN, the exposure, a function of the closing Indicative Value, is reset daily. This process is detailed in the applicable prospectus supplement within the section titled “The Indices” under “The Underlying Indices – The Inverse Investable Index”.
The Inverse ETN features a daily reset of its exposure amount. This ETN does not attempt to, and should not be expected to, provide returns which achieve the stated exposure amount for holding periods other than a single day.
The ETNs are intended to be daily trading tools for sophisticated investors to manage daily trading risks using a short-term investment. The ETNs are riskier than securities that have intermediate or long-term investment objectives, and may not be suitable for investors who plan to hold them for longer than one day. Accordingly, the ETNs should be purchased only by knowledgeable investors who understand the potential consequences of investing in the applicable underlying index, the path dependencies of investment returns, and of seeking daily compounding long or inverse investment results, as applicable. Investors should actively and frequently monitor their investment in the ETNs, even intra-day.
The Daily Investor Fee is 1.35% per annum. These fees are described more fully in the applicable prospectus supplement.
The Intraday Indicative Value (an approximation of the intrinsic value) of each ETN is calculated and disseminated over the Consolidated Tape and/or other major market data vendors every 15 seconds.