← Why using the VXX pricing model along with available vix/futures data is worthwhile?
The S&P 500 VIX Futures Index Series measures the return from a daily rolling long position in the VIX futures contracts traded on the CBOE. The short-term index is comprised of the first and second contract months and the mid-term index is comprised of the fourth through seventh contract months.
Its by definition exactly the same as the VXX etf. Actually I calculated the VXX prices and compared them to the index and the correspond exactly, the difference being just a proportionality factor.
So great that index is exactly the VXX in a different scale, good to know I calculated it right, so it is indeed constructed by selling 1st month and buying 2nd month and maintaining a daily 1 month average future price.
Now we know how to calculate that index which is the VXX and we also have the proof its correct and the exact underlying data that generated it to provide us with insight.
Soon we will even have more data and its VXX calculated values, since I am processing futures data up to mid 2004 (there is not more data than that, I think VIX futures were not traded on the CBOE or at all before that date).
PD: Thanks Orgasmic_Jihad for telling me about that index!
This entry was posted in General and tagged backwardation, contango, S&P 500 VIX Futures Index, vix, vxx. Bookmark the permalink.
It’s Jermaine from the VXX board. Just following up with you about Brazil possibilities.
I have lost 70% of my money on this spike in VXX. Very painful especially considering I was back to about -50% yesterday and stupidly held the short 34 and 36 calls I had which exploded today.
Anyway… is it really possible to support oneself teaching English where you live? I’m mid 30s, single, still have enough money to get down there and maybe live for a few months but that’s about it. Reasonable to live there on 1K a month or no? Any advice would be much appreciated. I definitely need a change of scenery as things are generally not working right now. Many thanks.