While I do question whether that is true, here is the info you need: http://www.ipathetn.com/us/product/vxx/ Intraday Indicative Value Ticker VXX.IV Knock yourself out...
thx - i didnt realize they posted an intraday NAV calc.. i had mine calced on my own lol. anyway, i'm still looking for references on the actual act of etf/etn arb strategies, not different etfs to look at. does anyone have any to reccomend?
I would use the one you are calculating on your own because that only updates on a set time interval. I don't remember the exact number but it might be as much long as 3 seconds. Just use this calculation to make sure your own is correct as they re-balance it every day.
yeah - i'm aware of how the index it tracks works, i just hadn't heard of that iv ticker. either way, what i've put together for vxx doesn't show much of a significant deviation from intra-day NAV (atleast nothing large enough to exploit easily) but the sheet i built is only for real time, so i don't have a historical time series of the etf vs underlying values to look at how wide the deviations could get etc.
i'm pulling both, but for the calc of the deviation i'm using the mid. for calcing the actual executable levels (if i was to try and arb vs futures) i'm using the corresponding bid/ask. now that you say it though i should probably always be looking at bid and ask and looking at the deviation both ways. is this something you're trading in?
Always look at the live bid/ask on these. Last trade or mids will give you nothing but phantoms and days of time wasted.