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iPath S&P 500 VIX ST Futures ETN Message Board

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  • slcehamrick slcehamrick Aug 13, 2012 11:57 AM Flag

    I,m Long this P.O.S Question Tho

    It will trade with the VIX futures give or take a penny.

    The path of VXX is a function of (1) roll yield, (2) contango, (3) negative convexity in the underlying futures, and (4) mean reversion in the VIX futures.

    Personally, I believe we are in the middle of a MAJOR adjustment in medium to long term expectations of volatility and willingness of investors to "pay up" for long term protection.

    I expect the VIX term structure to be front month 12 to back month 17 sometime in the next year.

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