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iPath S&P 500 VIX ST Futures ETN Message Board

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  • bbbnnnddd23 bbbnnnddd23 Feb 1, 2013 4:28 PM Flag

    If the VIX goes from 12.90 to 16 in the next 2 weeks will VXX rise?

    If the VIX rises many traders, fund managers and individual investors may seek to buy volatility. VXX is one of the more liquid ways to do this and thus a big move to 16 in the VIX may correlate to a bigger percentage move in VXX....hard to account for the roll value, but I would guess a move to 16 on the VIX would take VXX well over 24, closer to 26-28 as buyers bid up the price of insurance.

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    • This tracks net asset value because it is very liquid. It's not like TVIX where they stopped issuing units.
      The futures did not move down very much today. Spot close at 12.90, futures at 14.25/15.40/16.30. Remember the spot stops trading Wednesday after next, so there will be a roll yield that hurts VXX over the next 2 weeks. I do not think the VIX will go as high as 16, but if it does I would say VXX increases about half as much, so maybe 10% gain on VXX, taking it to $25.75 or $26. Keep in mind VXX has failed several times recently to break through 25 so it will not be easy.

 
VXX
19.97+1.20(+6.39%)Jul 2 4:00 PMEDT