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iPath S&P 500 VIX ST Futures ETN Message Board

  • coldwintergas coldwintergas Apr 3, 2013 3:46 PM Flag

    proof VXX is CRA* --- VIX index is up 12% today and VXX is only up 3.7% -- JUNK*


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    • 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...

31.57-0.71(-2.20%)Oct 21 8:00 PMEDT