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.
Title: VXX during OE week VXX
Can anyone explain this correlation to me?
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.