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Seth Golden posted an update 6 years, 1 month ago
Contango has expanded to above 8% today, thus far. Yes, this all the while the ETPs have not yet fallen in value. Vix Futures (M1 and M2) are both higher today albeit slightly. The daily roll (which is implied is -.08%). Having said that, the APs can withhold if they desire during the futures duration. It’s a bit confusing I’m sure for many. But essentially the daily roll is a term used to describe the decay value on a daily basis. It does not mean it has to roll that amount every day.
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