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Tag Archives: vix
XIV historical data and pricing model since VIX futures available (2004)
Click here to download all the XIV, front month VIX futures and contango and backwardation data since 2004. Note that the data was updated on (California time). The estimated XIV price is modeled based on VXX data. Market VXX data … Continue reading
Closed half of my vxx shorts (1/4 of my original position)
I was not comfortable being more than 6K dollars short given the low volatility and the fragile situation in Europe and the american debt. If anything bad happens the market could go back to a high level of volatility and … Continue reading
Bought back my short VXX calls
I just bought back the December strike 52 and strike 57 calls that I shorted some days ago. They were shorted at close to 300 each and were worth 80 and 40 now. The possible additional gain is limited and … Continue reading
Sold half of my VXX (volatility) hedges
I just sold 50% of my volatility hedges, I specifically sold two of the strike 35 December 2011 VXX calls that I bought in the first week of August. They definitely were worthwhile and did a good job to hedge … Continue reading
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
XIV graph and data since VIX futures available (2004)
Using the same futures data used to calculate the VXX a fellow yahoo VXX message board poster calculated the historic XIV values. The idea is good but the model accuracy can be improved by using more data available. For that … 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
