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ProShares Short VIX Short-Term Futures Message Board

  • judge_smailes8 judge_smailes8 Feb 1, 2013 5:20 AM Flag

    How to calculate contango for VIX short-term futures?

    Does anyone know how to calculate the contango for VIX short-term futures? Is there data on Yahoo Finance or on the CBOE's website that I need to use to make this calculation?

    Sentiment: Strong Buy

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    • Your Honor:

      From one of your old posts:

      Go to vixcentral add the DotCom

      Graph updates by itself; contango calculated for you. Uses the delayed CBOE quotes...

      One must pay (subscribe) for real-time futures. I cannot even get them from Fido.

      Enjoy,

      CG

    • the simplest calculation is you take the back month (march) options(strike $13) which is currently trading at $2.70 and then look at the front month (feb $13) trading at $1.40....so $2.70 - $1.40 = $1.30 divided by current vix price of $12.90 = 10.07%........that's basically how you calculate it....the contango is much bigger when we're near the expiration date but most of the turnover has already been done by then.....they sell the front month and buy the back month DAILY..

 
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