AGGH - SVOL: I Am Pleased With The New Holdings (Upgrade)
2024-04-15 12:31:21 ET
Summary
- The Simplify Volatility Premium ETF aims to generate income by selling futures on the CBOE Volatility Index.
- SVOL has experienced some NAV erosion but has maintained a relatively stable level and outperformed the S&P 500 total return since its inception.
- The fund has made significant changes to its holdings, reducing exposure to the aggregate bond index and increasing investments in high yield credit, T-Bills, and new-issue mortgages.
- In this article, I discuss the philosophy behind these choices and the effects they should have on SVOL.
Introduction
The Simplify Volatility Premium ETF ( SVOL ) is a fund that "sells volatility" for income. This means that is goes short the CBOE Volatility Index ( VIX ) by selling futures on the index. This strategy, though it has risks (which will be discussed later), has proven to provide significant income in the 15% range.
Generally, SVOL aims to be short the VIX by about 0.2-0.3x its NAV. The rest of the fund is held in income-producing assets like bonds and bond ETFs....
SVOL: I Am Pleased With The New Holdings (Upgrade)