Posted by bluezango on 29th of Jun 2015 at 03:56 pm
Yes, sure, so day after day (for the (ETFs) you would lose in
the long run as the time value of each futures contract expires
over and over. But for a single day, one would think they
would go in unison, and with the right multiple. Why not for
a single day period?
Basically because the back month is almost always in contango to
the front month (so every day it sells lower & buys higher by
design). By the way, on the rare occasions the VIX is in
backwardation, you get outperformance to the VIX because the roll
is a positive then.
But the first point is that it doesn't track the VIX you see
quoted - it tracks a combination of the VIX called the S&P 500
VIX Short-Term Futures Index (front & 2nd months of the term
structure). You can look up the ticker, but I don't know who quotes
it.
Posted by bluezango on 29th of Jun 2015 at 05:12 pm
I got lucky, but will likely not mess with VXX or UVXY inverse
ETFs again. I bought them for insurance against this last
week :), but see that they are a very very short term instrument,
definitely for very advanced traders with experience in
futures. I just an equities guy :) thanks all.
You're dealing with a constant
VIX vs UVXY
Posted by a_l_ on 29th of Jun 2015 at 03:49 pm
You're dealing with a constant roll of a combination of the 2 front months of the VIX.
Yes, sure, so day after
Posted by bluezango on 29th of Jun 2015 at 03:56 pm
Yes, sure, so day after day (for the (ETFs) you would lose in the long run as the time value of each futures contract expires over and over. But for a single day, one would think they would go in unison, and with the right multiple. Why not for a single day period?
Basically because the back month
Posted by a_l_ on 29th of Jun 2015 at 04:03 pm
Basically because the back month is almost always in contango to the front month (so every day it sells lower & buys higher by design). By the way, on the rare occasions the VIX is in backwardation, you get outperformance to the VIX because the roll is a positive then.
But the first point is that it doesn't track the VIX you see quoted - it tracks a combination of the VIX called the S&P 500 VIX Short-Term Futures Index (front & 2nd months of the term structure). You can look up the ticker, but I don't know who quotes it.
I got lucky, but will
Posted by bluezango on 29th of Jun 2015 at 05:12 pm
I got lucky, but will likely not mess with VXX or UVXY inverse ETFs again. I bought them for insurance against this last week :), but see that they are a very very short term instrument, definitely for very advanced traders with experience in futures. I just an equities guy :) thanks all.
You can trade options on
Posted by a_l_ on 29th of Jun 2015 at 06:11 pm
You can trade options on the VIX itself at TOS and I would assume a lot of other places too. Simple solution.