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Tag Archives: vxx
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
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
VXX represents a VIX future expiring in exactly one month
VXX represents VIX future expiring just one month from today. That is because the VXX is the weighted average of its 1st and 2nd month VIX futures. For example at the renewal of the VIX futures you have 100% of … Continue reading
VXX shorting model (sell signals)
This is a call to all the guys that bought the VXX pricing model to email me if you want a special update. I already managed to contact several of you with a new version which includes a selling model, … 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
