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iPath S&P 500 VIX ST Futures ETN Message Board

  • wes_w_weber wes_w_weber Jan 22, 2013 10:52 AM Flag

    VIX up 6.4% VXX up .9%

    I've traded this things for a while, but still can not come to terms with a product whose purpose is to mimic the daily fluctuations of the CBOE's VIX and have it be so completely off....thoughts on today for example? That is a huge disparity. I understand the difference over time even a day or so, but to the minute to be this far off is odd to me....

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    • VIX rise today is a function of its fundamental flaw - all days and minutes are created equal. So not only did the VIX expect 3.7 days of theta to come off at Tuesday open (from the Friday close price) but it also rolled a good portion (12%+) of its implied portfolio into the more expensive March options over the holiday weekend. It'll take a few days to burn that back off the index. At 11am, I'd guess about 20-25 bps comes from the holiday weekend effect and another 30 bps from the roll. Leaving about 20 bps in real increase.

    • Please revisit it's profile.

      The investment seeks to replicate, net of expenses, the S&P 500 VIX Short-Term Futures Total Return Index. The index offers exposure to a daily rolling long position in the first and second month VIX futures contracts and reflects the implied volatility of the S&P 500 index at various points along the volatility forward curve. The index futures roll continuously throughout each month from the first month VIX futures contract into the second month VIX futures contract.

      Thank you.

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