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.
Like you said a_l_ ...
Inverse VIX question for Matt/Steve
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