Registered: Dec 2007
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.