Hello, I try to find what the symbol names are for the TWO nearest Futures for the VXX: - Nearby VX future - 2nd VX future I have found this link: http://cfe.cboe.com/market-data/historical-data#VX Where it seems they have historical data which I am after but I don't know how to understand what for example the below means like: F, G, 01, 22 ? VX F VX G VX01 VX22 Thanks
The letter is a month code and number is the year. After that, there is an additional number to give you the week number if it is a weekly futures contract. The liquid ones are monthly, e.g. May is VXK17
Pic below of study -- Lower study is the result of the Contango script, displaying % Contango for BM - FM /VX Futures. If you want, I can give you the code. -- Note: The Vertical labels include the nomenclature for the respective Futures. To pick the correct Futures, you need to be aware of the dates the contracts roll, hence my offer of the code, which handles that as well as forming the names.
VXX is determined by the 30 day VIX future... and I think it only uses the monthly futures, not weeklies. For instance, if there is only 15 days left for the next monthly future, VXX is calculated by the return of 50% of the next (15 days to go) future and 50% of the future with 45 days to expiry. But then... looking at the current situation, the next monthly VIX future is the June-21... which has 35 days to go.... hmmm
This is from the VXX prospectus (section PS-22), specifically in reference to the "S&P 500 VIX Short-Term Futures Index TR" calculation, but I'd imagine is also utilized as part of the actual rolling logic:
Thanks Step.! Yes I have TOS but have never used scripts. I am not sure if I will have use for it. Perheps I can look at the code to get idéas of how to do it as I will try to do this in C#? "S&P 500 option expiration for the following month" I beleive the S&P 500 option expiration is on the 3rd Friday of every month?
Understood: One reason for using this script (as a reference for you coding), will be the GUI interface for ThinkScript is very good. -- You can visually verify (debug) what is being done. -- for example, to insure the roll timing is "exact", merely chart "/VX", which will show the vertical bars that line up with the ones produced in the script. Can save a lot of debug time. Here is a link to a chart including the study. To add to TOS. 1) Setup -> Open shared item... -> <paste link below into "Shared item URL:" box> http://tos.mx/lmNnoG The thinkscript study is named "Contango". Regards,
That worked great! I was able to open it in TOS. Yes, that is a great reference actually. Then I can have this as a reference as well when implementing the code to double check what I am doing also. Thank you Step.!
I think I have a problem to understand how the contango really should be calculated. I have highlighted the APRIL and MAY futures in this picture: http://www.bilddump.se/bilder/20170517221146-195.252.32.111.png 1. The rolling period starts on Tuesday: 03/21/2017 2. There are 20 business days until end of rolling period: 04/18/2017 The first close value we have as seen in red rectangles are: - April Future 03/21/2017: 13.77 - May Future 03/21/2017: 14.55 Now I wonder if we should give a multiplying number of 19 to the APRIL future (on this first date in the rolling period) as almost every contract still is trading here and only a multiplier of 1 for the MAY future like below? 13.77 *19 days = 261.63 14.55 * 1 days = 14.55 (261.63 + 14.55) / 20 = 13.809 13.809 / 13.77 = 1,00283 I wonder if this is a correct logic to do where on this date we have a value GREATER than 1 (1,00283) as the MAY future was more expensive then APRILs?