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iPath S&P 500 VIX ST Futures ETN Message Board

  • allen.wang.7788955865@gmail.com allen.wang.7788955865 Apr 12, 2013 3:26 PM Flag

    May I ask?

    Hi, I am a newbie, why are both s&p and vxx both down?

    SortNewest  |  Oldest  |  Most Replied Expand all replies
    • Yo newbie,

      VXX tracks s&p very indirectly.

      "VXX is an exchange-traded note ("ETN") based on The S&P 500 VIX Short-Term Futures™ Index, which is designed to provide access to equity market volatility through CBOE Volatility Index® ("VIX®") futures. Specifically, the S&P 500 VIX Short-Term Futures™ Index offers exposure to a daily rolling long position in the first and second month of VIX futures contracts and reflects the implied volatility of the S&P 500® Index one month later. The index futures roll continuously throughout each month from the first month of the VIX futures contract into the second month of the contract."

      Understand that???

      No?

      Then,, noob, don't buy this toxic lottery ticket unless you do...

      If you want to bet against the market consider buying a bear or leveraged bear ETP or shorting a bull or leveraged bull ETP. But don't fight a futures market locked in contango.

      Understand that??

      No?

      Then stick with mutual funds, imo.

      Good luck!

      PS: If you've got insomnia tonite, read the prospectus! It'll help you sleep...

      Bustin

      • 1 Reply to bustin_ur_chops
      • here is a good explanation
        "The futures data that you see on CBOE VIX micro site are DELAYED.

        The intrinsic values available. ^UVXY-IV are generally realtime

        Let's look at the data that I downloaded from CBOE at 12:08 p.m.

        delayed @12:08 p.m.

        VIX 13.91 -0.01
        VIX/J3 14.2 -0.15 -1.05% -0.39%
        VIX/K3 15.22 -0.28 -1.81% -1.22%
        -1.61%

        The third column is the percentage change;
        J3 April future; K3 May future

        As of now, UVXY contains 37.5% Apr futures and 67.5% May futures plus swaps

        The last column multiples the J3 by .375, K3 by .675, then sums

        Therefore had I had intrinsic values fifteen minutes earlier, I would have expected VXX to have been down 1.61% and UVXY down 3.22%

        Real time at 12:10, VXX-IV was -1.42% and UVXY-IV -2.84%

    • Because the investment world is perfect. When there is a problem, Ben will come out to fix it.

 
VXX
28.11-0.16(-0.57%)Aug 29 8:00 PMEDT

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