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iPath S&P 500 VIX ST Futures ETN Message Board

  • unflappable7 unflappable7 Dec 14, 2011 2:24 PM Flag


    Without doubt,TVIX has been by far one of the fastest moving vehicles,in the ETF/ETN universe.Because of its potential for huge gains,folks have piled in hoping to catch this tiger by the tail-hence this has caught the eyes of the MM'S.No one can covince me on a triple digit down Dow,TVIX a 2X Vix CAN BARELY GO UP 1 PT?!!

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    • They buy and sell the future contracts minus a management fee.

    • Doesn't matter the calculation. How does the fund who run VXX and TVIX make $$$? From whom?

      Do you know?

    • Speed of light.

      Kidding. It's just a constant used in the calculation. taexpert copied that explanation from a blog. I hope he at least read enough of it to know that VXX and TVIX just reflect other instruments, and they're not going to be affected by shorts or MM's like he initially claimed.

    • What does "c" represent in the formula and how do you get/find that value? Thanks.

    • Deeeaaaammm!!!
      Where do you learn this stuff? MIT grads? Or part of brokerage liscensing training. I never quite figured out calculus, so may be beyond my comprehension.
      What is the best way to learn this? Any books or online courses that explain this stuff for the novice. I guess Brent was right about "rank amateurs" trading this etn potentially getting wiped out!
      With the fed ex beat - I should be able to pay for a semester or two at an IVY league university to learn about VXX and calculating contango!

    • melissak87 Dec 15, 2011 2:06 AM Flag

      VXX = (p1*n1+p2*n2)/c
      As of now
      VIX 33.60 +1.73
      VX Q1-CF 33.67 +1.57
      VX U1-CF 27.65 +0.95
      VX V1-CF 26.80 +0.85
      VX X1-CF 26.20 +0.75
      So by replacing you get VXX=33.4, the slight difference with the market value is simply due to daily demand/offer dynamics.
      Note that n1, and n2 change every day
      Defining by
      r: the number of remaining days until the expiration of the first future
      Then n1 is reduced by n1/r every day, and with that amount you can buy more n2.
      So if there are r days left to expiry of future 1 then as of tomorrow n2 will become:
      and n1 = n1-n1/r

      er..... how about PRICE = UP or DOWN...that's all anyone wants to know.

    • and I thought the Black and Scholes model was hard to understand.

    • TVIX and VXX are strange animals. When you buy a stock or a normal ETF like SPY or QQQ, your buy influences the price of the underlying security. Not so with VXX or TVIX. If everyone in the world wanted to buy TVIX it wouldn't move the price one cent. Be careful with these

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