S*s
2 楼
kao, nobody comments?
a*d
8 楼
It's not an arbitrage. The underlying of VXX is not the Oct future. It is
the vix future with constant maturity (1m). The reason for its jump more
than Oct future contract is because the convexity of the vix future curve.
the vix future with constant maturity (1m). The reason for its jump more
than Oct future contract is because the convexity of the vix future curve.
S*s
9 楼
ok, you r on the right track. now give me a scenario causing loss for such
strategy in current market.
【在 a**d 的大作中提到】![](/moin_static193/solenoid/img/up.png)
: It's not an arbitrage. The underlying of VXX is not the Oct future. It is
: the vix future with constant maturity (1m). The reason for its jump more
: than Oct future contract is because the convexity of the vix future curve.
strategy in current market.
【在 a**d 的大作中提到】
![](/moin_static193/solenoid/img/up.png)
: It's not an arbitrage. The underlying of VXX is not the Oct future. It is
: the vix future with constant maturity (1m). The reason for its jump more
: than Oct future contract is because the convexity of the vix future curve.
a*d
12 楼
In the order of high to low possibility:
0). No default in Greece in Oct/Germany decides to buy bonds/Set up
Eurobonds, basically nothing happened in the coming month.
1). VIX remain high, but major events perceived in the next two months or so.
3). VIX spot collapse, no perceived danger in the next one and half month.
The high level of VIX spot implies it IS possible to go further in either
direction. If it gets worse (or as long as the future curve remains the
current shape), then you are fine. Otherwise, lossing scenario will occur in
a blink... so you gotta be very careful on that...
0). No default in Greece in Oct/Germany decides to buy bonds/Set up
Eurobonds, basically nothing happened in the coming month.
1). VIX remain high, but major events perceived in the next two months or so.
3). VIX spot collapse, no perceived danger in the next one and half month.
The high level of VIX spot implies it IS possible to go further in either
direction. If it gets worse (or as long as the future curve remains the
current shape), then you are fine. Otherwise, lossing scenario will occur in
a blink... so you gotta be very careful on that...
a*d
13 楼
In the order of high to low possibility:
0). No default in Greece in Oct/Germany decides to buy bonds/Set up
Eurobonds, basically nothing happened in the coming month.
1). VIX remain high, but major events perceived in the next two months or so.
3). VIX spot collapse, no perceived danger in the next one and half month.
The high level of VIX spot implies it IS possible to go further in either
direction. If it gets worse (or as long as the future curve remains the
current shape), then you are fine. Otherwise, lossing scenario will occur in
a blink... so you gotta be very careful on that...
0). No default in Greece in Oct/Germany decides to buy bonds/Set up
Eurobonds, basically nothing happened in the coming month.
1). VIX remain high, but major events perceived in the next two months or so.
3). VIX spot collapse, no perceived danger in the next one and half month.
The high level of VIX spot implies it IS possible to go further in either
direction. If it gets worse (or as long as the future curve remains the
current shape), then you are fine. Otherwise, lossing scenario will occur in
a blink... so you gotta be very careful on that...
b*r
15 楼
VIX 10 is 11% more than VIX 11 now.
Today VIX 11 jumped 7%+ while VIX 10 jumped 6%+, so the backwardation is
starting to shrink if the trend continue. Plus your VXX has 5% daily
rollover. The premium could be getting very slim soon. Just be careful.
Today VIX 11 jumped 7%+ while VIX 10 jumped 6%+, so the backwardation is
starting to shrink if the trend continue. Plus your VXX has 5% daily
rollover. The premium could be getting very slim soon. Just be careful.
S*g
16 楼
If he does not do his own rebalancing, he is pretty much gradually adding on
a calendar spread of (-UXV1 + UXX1) as time goes by
【在 b******r 的大作中提到】![](/moin_static193/solenoid/img/up.png)
: VIX 10 is 11% more than VIX 11 now.
: Today VIX 11 jumped 7%+ while VIX 10 jumped 6%+, so the backwardation is
: starting to shrink if the trend continue. Plus your VXX has 5% daily
: rollover. The premium could be getting very slim soon. Just be careful.
a calendar spread of (-UXV1 + UXX1) as time goes by
【在 b******r 的大作中提到】
![](/moin_static193/solenoid/img/up.png)
: VIX 10 is 11% more than VIX 11 now.
: Today VIX 11 jumped 7%+ while VIX 10 jumped 6%+, so the backwardation is
: starting to shrink if the trend continue. Plus your VXX has 5% daily
: rollover. The premium could be getting very slim soon. Just be careful.
S*s
20 楼
y, you got it.
but why exagaerate the impact of the shrinking spread. as long as there is
spread, theoretically there is arbitrage. and now the spread is big enough
to make it practical.
【在 b******r 的大作中提到】![](/moin_static193/solenoid/img/up.png)
: VIX 10 is 11% more than VIX 11 now.
: Today VIX 11 jumped 7%+ while VIX 10 jumped 6%+, so the backwardation is
: starting to shrink if the trend continue. Plus your VXX has 5% daily
: rollover. The premium could be getting very slim soon. Just be careful.
but why exagaerate the impact of the shrinking spread. as long as there is
spread, theoretically there is arbitrage. and now the spread is big enough
to make it practical.
【在 b******r 的大作中提到】
![](/moin_static193/solenoid/img/up.png)
: VIX 10 is 11% more than VIX 11 now.
: Today VIX 11 jumped 7%+ while VIX 10 jumped 6%+, so the backwardation is
: starting to shrink if the trend continue. Plus your VXX has 5% daily
: rollover. The premium could be getting very slim soon. Just be careful.
S*s
21 楼
无知的人们呀,我这是往你们手里塞钱,却被你们傲慢地拒绝了
S*s
22 楼
spread越来越小,今天把它平仓了。
不算leverage,赚7%。关键风险极低。
不算leverage,赚7%。关键风险极低。
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