Credit Suisse Tames Rogue VIX Note Premium With Share Issuance

Credit Suisse Group AG’s attempt to restore order to its exchange-traded U.S. equity volatility note cut the price of the security in half this week, reining in the premium to the index it tracks after it almost doubled.

The VelocityShares Daily 2x VIX Short-Term ETN, or TVIX, has whipsawed investors since Credit Suisse suspended creation of new shares last month. The security climbed 89 percent above the value of the futures it tracks before the bank reversed its decision and said it would add stock. The TVIX, designed to double the return of Chicago Board Options Exchange Volatility Index futures, plunged 50 percent over the past two days to $7.16. The note’s premium to its so-called indicative value shrank to 6.9 percent.