Not an expert in this, but Look at the website of the issuer,
some ETN use the short term VIX as underlying, and they do
aggressive contract rolls ... that alone eats up quite a bit, then
look at the contract currently actives and check the spread
... if they are in contract rolls, this will skew the ETF on
something as volatile as VIX the past few days
extract from the prospectus of an ETF I trade sometimes ...
(HVI.to - Inverse Short Term VIX)
The Underlying Index operates by, on a daily basis, selling VIX
Futures Contracts with a nearby settlement date and purchasing VIX
Futures Contracts which settle on a later date. The roll for each
contract occurs on each business day of the Underlying Index
according to a pre-determined schedule that has the effect of
keeping constant the weighted average maturity of the relevant
futures contracts. This process is known as “rolling” a futures
position. The constant weighted average maturity for the futures
underlying the Underlying Index is one month.
Not sure Jocelyn but all
Inverse VIX question for Matt/Steve
Posted by steve on 25th of Aug 2015 at 02:44 pm
Not sure Jocelyn but all these ETN's attempting to track or invert the VIX do not track them well all the time.
Not an expert in this,
Posted by mla127 on 25th of Aug 2015 at 02:52 pm
Not an expert in this, but Look at the website of the issuer, some ETN use the short term VIX as underlying, and they do aggressive contract rolls ... that alone eats up quite a bit, then look at the contract currently actives and check the spread ... if they are in contract rolls, this will skew the ETF on something as volatile as VIX the past few days
'short term VIX' is itself
Posted by a_l_ on 25th of Aug 2015 at 02:56 pm
'short term VIX' is itself a hybrid of the current front & back month VIX futures and has a daily roll.
Like you said a_l_ ...
Posted by mla127 on 25th of Aug 2015 at 03:02 pm
Like you said a_l_ ... thx !
extract from the prospectus of an ETF I trade sometimes ... (HVI.to - Inverse Short Term VIX)
The Underlying Index operates by, on a daily basis, selling VIX Futures Contracts with a nearby settlement date and purchasing VIX Futures Contracts which settle on a later date. The roll for each contract occurs on each business day of the Underlying Index according to a pre-determined schedule that has the effect of keeping constant the weighted average maturity of the relevant futures contracts. This process is known as “rolling” a futures position. The constant weighted average maturity for the futures underlying the Underlying Index is one month.
...and UVXY up to 63...
Posted by a_l_ on 25th of Aug 2015 at 03:56 pm
...and UVXY up to 63... that's a remarkable move