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ibrainch

Registered: Jan 2010
Posts: 17

09-18-12 06:35 PM

If you are in Chicago, there is a VIX seminar next week hosted by the CBOE and Advantage Futures. More info and registration is here:

http://advantagefutures.com/events/...tility-matters/

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failed_trad3r

Registered: Oct 2009
Posts: 1613

09-18-12 06:41 PM

Because expiration and they liquidated their last September long vix future, leading to a loss. The loss is bigger factor on expiration than other days, for logical reasons.

i have a feeling you don't realize how big contango is. It's not 1 2 or 3 % loss per year. It's 10-20% loss PER MONTH

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DeeDeeTwo

Registered: Dec 2007
Posts: 623

09-19-12 01:07 PM

Quote from failed_trad3r:

Because expiration and they liquidated their last September long vix future, leading to a loss. The loss is bigger factor on expiration than other days, for logical reasons.

Why would that be a general case...
If the front month is rolled daily in a linear way by an equal amount.

So today you have expiration... is there any predictable behavior?

i have a feeling you don't realize how big contango is. It's not 1 2 or 3 % loss per year. It's 10-20% loss PER MONTH [/QUOTE]

VXX contango has averaged 11.35% PER MONTH in 2012...
With only 2 days of very small backwardation.

But this is somwhat unusual...
Since we've a 23.40 to 14.18 (39%) collapse in the VIX.

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pistolpt

Registered: Feb 2012
Posts: 129

09-20-12 12:42 AM

Quote from loufah:

The tracking is actually fine. The VXX net change you see is based on the price at 16:00 the previous day; but VIX futures' net change is based on the price at 16:15 the previous day. A lot can happen in those 15 minutes. There's often a movement of 1% to 1.5% in the few seconds before 16:15.

Bingo.

This is the answer to the original question. Period. Trust me.

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cdcaveman

Registered: Aug 2011
Posts: 3514

10-06-12 12:49 AM

Quote from ibrainch:

If you are in Chicago, there is a VIX seminar next week hosted by the CBOE and Advantage Futures. More info and registration is here:

http://advantagefutures.com/events/...tility-matters/

wow.. now you can see that how mainstream futures spreading in the vix has become.. "come to our seminar"

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cdcaveman

Registered: Aug 2011
Posts: 3514

10-06-12 12:54 AM

calender in the vixy or vxx... sell an otm front month against same strike back month... puts are mispriced on spikes because of the fuzzyness of modeling contango risk into pricing... try it. skip the seminar.. limited risk strategy.. better then shorting the outright.. if your long the vixy or vxx your as stupid as i was 2500 dollars ago.. sold 3 puts at 32.. exited at 25...
by being long the vxx or vixy your basically saying and unknown unknown is going to come about and turn things backwards on the futures term structure..

VIXY - OCT 19 '12 + NOV 16 '12 17 Put Calendar Spread
priced at .60 cents or so right now... 60 bucks

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