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Sunil Narayana posted an update 6 years, 6 months ago
@seth-golden, On the same subject, Do you think Short VXX is more riskier in the begining of the M1or. the tail end…the same on ZIV too…
For instance last Tuesdays market crash VXX up by 12.44% if the same event occured on a week earlier i wonder if VXX would have been up less than 12.44%..i am not sure..we cant go back in time:-(..but i felt does the timw period of expiry matters and how much it matters was inquisitive to me…any sprinkle of your wisdom is appreciated. Thank you
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It would depend on the current state of term structure. But in general your risk would be greater with initiating a position at the beginning of the futures contract as the ETP holds the vast majority of its AUM in the m1 during the onset of the contract month. So if a Feb 5 event occurred on day 1 of the AUM holding the m1s would be far worse situation for the fund and its participants.
Oh ok..Thank you…so the majority of ETP matters. I wondered the m1 doesnt move as close/high as Spot Vix when M1 is on its first day. With that i thought its less risky to short VXX on the start of m1. Thank you for correcting
It’s more risky in terms of if an anomalistic event occurs, it would cause the greatest damage at the beginning of a monthly cycle, than later in the monthly futures cycle. Key term is anomalistic, as the probability is quite low.
Oh ok.. Thank you for the wisdom….