coldwintergas: proof VXX is CRA* --- VIX index is up 12% today and VXX is only up 3.7% -- JUNK*
GasMan: Methinks you're full of gas...
please repeat after me: "FUTURES not VIX, FUTURES not VIX"
Next, never forget that VXX does exactly what is promised in its prospectus.
It's on a never ending asymptotic journey towards zero which will only be interrupted by reverse splits.
As for today ---
It's all in the math...
first goto. .ipathetn DOTCOM
/us/product/VXX/#/dollarweights to see current VXX composition
currently ~ 50/50 April/May futures
next google CBOE vix micro site to see 15 min delayed futures price changes (eod pasted below)
SPX 1553.69 -16.56
VIX 14.21 1.43
VIX/J3 14.64 0.84
VIX/K3 15.72 0.47
VIX/M3 16.48 0.13
As you can see, the VIX climbed approx 11%, Apr ~6% and May ~ 3%.
One can mental math eyeball estimate that VXX-IV would rise ~ 4.5%.
VXX-IV. 20.53. +.93. 4.72%
BUT, note that I've estimated and posted intrinsic value.
During trading day VXX will closely track IV, but eod NAV will reflect values after later close of futures mkt, I believe, and daily roll and usually differs from VXX close.
Mark Twain regarding VIX and VIX FUTURES:
“The difference between the right word and the almost right word is the difference between lightning and a lightning bug.”
― Mark Twain
Contango is a b**** for longs. Fighting that constant headwind is not smart. Only go long when futures are in complete backwardation and panic has erupted in the markets...