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

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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

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