Posted by roamingjan on 8th of Mar 2010 at 12:45 pm
I've been watching this and can't figure it out. The VIX has
been up +/- .30c all day, but VXX has been dropping all day, now
down +/- .60. Aren't they directly correlated? Does it have to do
with upcoming re-balancing? Thanks in advance!
VXX holds front month and one month out options. As OE nears
there is greater Theta (loss in value due to time nearing OE) on
those options, plus roll over expense coming. It takes a greater
rise in the spot VIX to offset the Theta during options expiratin
week. Conversely, the week following OE the VXX has actually out
performed spot VIX or at least been close to the spot VIX
movement.
Can anyone explain this correlation to me?
Posted by roamingjan on 8th of Mar 2010 at 12:45 pm
I've been watching this and can't figure it out. The VIX has been up +/- .30c all day, but VXX has been dropping all day, now down +/- .60. Aren't they directly correlated? Does it have to do with upcoming re-balancing? Thanks in advance!
usually (not 100%) i don't
Posted by 8899 on 8th of Mar 2010 at 01:45 pm
usually (not 100%) i don't have the percentages, but usually when
the vix & sp500 both close up, next day sp500 is down
the vix & sp500 both close down, next day sp500 is up
the day is not over yet...
VXX
Posted by philr on 8th of Mar 2010 at 12:55 pm
The VXX does not follow the VIX. It follow some futures. There is no ETF or ETN that directly tracks the VIX. I believe it follow this:
http://www.bloomberg.com/apps/quote?ticker=SPVXSTR:IND
Title: VXX during OE week VXX
Posted by pthoreson on 8th of Mar 2010 at 12:53 pm
VXX holds front month and one month out options. As OE nears there is greater Theta (loss in value due to time nearing OE) on those options, plus roll over expense coming. It takes a greater rise in the spot VIX to offset the Theta during options expiratin week. Conversely, the week following OE the VXX has actually out performed spot VIX or at least been close to the spot VIX movement.
VXX holds VIX futures
Posted by kayak5 on 8th of Mar 2010 at 06:15 pm
VXX holds CBOE VIX futures. As of March 5, 2010 around 32% of March 10 and 68% of April 10.