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Tag Archives: backwardation
How to calculate the effects of backwardation
Knowing the 1st and 2nd vix futures values and the days remaining to expiration of the 1st future you can calculate a weighted average sum of those two futures to obtain the 30 day future for any given day. I … Continue reading
When should the VXX be shorted ?
If you want to short safely, my recommendation is to do it only if the following conditions are simultaneously met: 1) VIX reaches very high historical levels 2) Both 1st and second month futures are very high and backwardation starts … Continue reading
VIX contango – backwardation historical graph
Here below you can see the vix futures contango backwardation graph with all the vxx data since vix futures were available. This is simply the daily percentual difference between the 1st month and 2nd month VIX futures. As you can … Continue reading
VIX vs VXX historical graph
I am immediately starting to get feedback from readers with the results of the analysis of the historical VXX data available here. What was obviously missing was a relation between the VIX (blue, right axis) and the VXX (purple, left … Continue reading
VXX historical data and pricing model since VIX futures available (2004)
I gathered all the VIX futures since they started being used on the 26th March 2004 up to now. I used them to calculate the VXX. I also used the data to calculate the contango and backwardation everyday since back … Continue reading
Posted in General
Tagged backwardation, contango, S&P 500 VIX Futures Index, vix, vxx, vxx graph, xiv
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S&P 500 VIX Short-Term Futures Index is the VXX
The following index is defined by : 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 … Continue reading
Why using the VXX pricing model along with available vix/futures data is worthwhile?
Let me first remind you or tell you that if you do not know what the VXX pricing model is, you can find it here. Now let me please give you a few Ideas of how you can use a … Continue reading
How to calculate the VXX price and how does backwardation and contango influence it
VXX is composed of a certain number of first month and 2nd month VIX futures. Suppose you have : n1: number of 1st month futures contracts n2: number of 2nd month futures contracts n1, n2 are chosen so that the … Continue reading
