OMG. I will never get the time back I lost on this thread. The reason they roll the futures on the ETF is because they have to replicate the exact 30 day vol term. It's the EXACT same cost you would pay if you were long the futures every month and then at expiration paid "up" to roll to the next month. It has nothing to do with VXX. You have the same cost in the futures. The VIX forward curve is priced in contango when vol is cheap. It HAS to be priced that way. Who the fuck would sell the forward vol at 12!!!!!!!!!!!!!!!!! Nobody. The seller is getting the premium to compensate for the risk of being short the forward curve. Are you really not getting this?
The problem is we were explaining why what your looking for is impossible to find.. and you weren't listening
not to correct you but if you were long the futures every month and then at expiration rolled to the next futures contract, you would end up at a slightly different price , then if you were doing what vxx is doing or any other etf.. As the vxx keeps a basket of futures weighted to 30 days, and that part of the curve will have a different curvature then if you roll at expiry.. you obviously know this.. but i get your frustration with whats going on here..
Take a plot of VXX/VIX, bulge your eyes and look. What I want is something that follows VIX (VIX as in VIX in the chart, which I called cash vix)! Got it. Do not answer another question. As soon as I see you answering something else, I do not even read what you type.
I'll keep telling you over and over again.. The answer is you will find nothing that follows the index... And your referring to a measurment called the vix index.. its not "cash"
Right because they are NOT the same product. What I'm saying is, every individual product has their own roll they have to pay. There are about 20 different vix products. They ALL have a roll. It's NOT the same dollar amount as they are NOT the same product. What I was trying to point out is that it's NOT a flaw of the etf when the underlying futures have the same roll to pay.
Say that and stop there. Assuming you are correct, I am done. If you are not correct, someone will show it to you over time.
Trust me , i know we are on the same page.. Its just this guy isn't getting it.. I'm going to have to abandon this thread at some point and get back to reading about TED, and such more productive things
There is NO cash VIX. It's a calculation put out by the exchange. VXX and VIX are NOT the same thing. Just like AAPL and GOOG are NOT the same stock. The Russell 2k and the Dow are NOT the same index. All the VIX etf's trade off of the VIX futures. There is no CASH. It does NOT exist. Santa Claus doesn't exist either. Yeah, it's a bad night for ya.