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r2d2

Registered: May 2006
Posts: 45

10-04-09 05:01 AM

http://vixandmore.blogspot.com/2009...rm-or-long.html

Today, for instance, the VIX closed at 28.27 and VXX closed at 52.35. Back on June 9th, the VIX also closed at 28.28, yet on that day VXX closed at 74.26. That 29.5% drop in VXX while the VIX held steady is largely the result of negative roll yield – and is evidence that VXX is usually not viable as a long-term holding.

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syswizard

Registered: Jun 2004
Posts: 2086

10-04-09 05:05 PM

For those whose financial vocabulary is limited:
http://en.wikipedia.org/wiki/Roll_yield

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bid4pk

Registered: Oct 2009
Posts: 34

10-27-09 03:52 PM

If your going to trade volitility, go the options route IMO.

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autocore

Registered: Aug 2007
Posts: 17

11-01-09 08:04 PM

when you guess it would be a bad long investment . Why not just shorting it ?

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nycabs

Registered: Jul 2008
Posts: 5

11-05-09 04:19 AM

Trade options on VIX. Buy deep ITM calls as proxy for going long on VIX. Similarly with DITM puts if you want to short...

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