Which ETF has highest contango?

Discussion in 'ETFs' started by bbpp, Jan 23, 2017.

  1. bbpp

    bbpp

    I am researching some strategies to short high contango ETF.
     
  2. Maverick74

    Maverick74

    Huh?
     
  3. destriero

    destriero

    Closed-end fund with the highest premium to NAV?
     
  4. Maverick74

    Maverick74

    I don't think he knows what contango is.
     
    destriero likes this.
  5. drm7

    drm7

    I think he means "of the ETFs which use futures contracts to replicate an index, which currently buy/roll underlying futures that currently have the steepest contango - I want to short the ETF and harvest the negative carry."

    VXX is a popular short, but the borrow costs to short may negate the yield from capturing the roll. This is most likely the case for all futures-based ETFs.
     
    Last edited: Jan 23, 2017
    tommcginnis likes this.
  6. bbpp

    bbpp


    You got my point.

    Is it true that only ETFs that track futures contracts have contango?
    So when I said contango, it must means ETFs that track futures.

    I don't understand "borrow cost", I saw many people short VXX and UVXY with IB accounts.
    If by borrow cost you meant margin interest, then UVXY monthly contango is above 10%, so margin interest is not a problem.

    By the way, I found out the hightest contango ETF is UVXY.
     
    Last edited: Jan 23, 2017
  7. destriero

    destriero


    UVXY is the near VIX futures trust. It has an upside skew and therefore a "contango" over cash VIX. There is no arb there... any more so than shorting OTM index puts is an arb.
     
  8. bbpp

    bbpp

    It is not arb. Just risk and reward.
    For the same risk, shorting UVXY can double what you get from shorting OTM index puts.
     
  9. Maverick74

    Maverick74

    They are completely different trades.
     
  10. destriero

    destriero


    Moneyness, so they are not remotely fungible, and you have no spread here.

    What's the edge on UVXY over VX?

    How much cash is the fund holding? The fund trades... there is no SET, no expiration. The UVXY is a blended-expiration, IIRC.
     
    #10     Jan 23, 2017