Tag Archives: vxx

XIV Pricing Model Based On VIX Front Month Futures

I updated the XIV pricing model in order to calculate its price directly based on front month VIX futures. I explained here how it was done: XIV historical data and pricing model since VIX futures available (2004) Like that I … Continue reading

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Thoughts about using VXX or UVXY spreads as a short volatility strategy to benefit from contango

In response to this question: Hi jrv, on the topic of permanently shorting VXX I just started shorting UVXY by selling front month call spreads on any VIX spikelettes. I too expect this trade to benefit from decay due to … Continue reading

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Posted in General | Tagged , | 16 Comments