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iPath S&P 500 VIX ST Futures ETN Message Board

  • calcsmart calcsmart Jul 15, 2013 6:25 PM Flag

    VIX future expiration?

    So July VIX futures expire on Wednesday, correct? There is 12% contango between July/August futures and 7.44% between August/September. But since most of the contracts VXX holds are August, and if the VIX remains constant, that means the August futures will come down to the current July one (as July converges with spot), VXX will drop over 12% by Wednesday if the VIX stays the same. Is this correct?

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    • Where do you get the 17th of July for expiration? please let me know.

    • "So July VIX futures expire on Wednesday, correct? There is 12% contango between July/August futures and 7.44% between August/September. But since most of the contracts VXX holds are August, and if the VIX remains constant, that means the August futures will come down to the current July one (as July converges with spot), VXX will drop over 12% by Wednesday if the VIX stays the same. Is this correct?"

      July VIX futures expire tomorrow @ 4:15p.m., I believe.

      As per your predictions, I wish it were so...

      BUT, the July futures will converge with the spot VIX. August futures will have no such relationship with either spot of July. If VIX remains where it is now at market close tomorrow, most likely August futures will remain relatively unchanged as will VXX.

      Current Aug (which will be front month) futures to spot contango is ~14%.

      Approximate front month to spot contango at beginning of new futures cycle for the year has been:

      Jan 16%
      Feb 14%
      Mar 7%
      Apri 6%
      May 10%
      June 6%

      If VIX remains unchanged tomorrow, VXX will drop significanty if the August to spot contango drops below 14%.

      If the volalitly (and VIX) remain unchanged for another 5 weeks, THEN the August futures will converge towards 13.84 on Aug 20!

      Cheers,

      Bustin

    • No, because futures are bought daily, so there must be a small % of contracts (maybe 10% or less at this point) that need to be bought for the July/August before expiration...

      • 1 Reply to remate71
      • July futures will converge to spot after tomorrow. That means August will also drop. Does that make sense? This has nothing to do with the buying and selling futures, it has to do with August futures dropping down to near where July is now (because July will drop down to meet spot VIX). This is all under the given that spot will remain about the same.

 
VXX
36.2098-0.1602(-0.44%)1:48 PMEDT