• Seth Golden posted an update 6 years ago

    Day like today where major averages are down sharply & VIX is up but VIX-ETPs aren’t up as much tends to confuse people. Firstly, remember VIX-ETPs are comprised of VIX Futures, they don’t correlate directly to the SPX. Snap shot of VIX Futures identifies that most contracts are lower and m1 is only up slightly.

    • Thank you for helping us understand. Its quite confusing how all of it works. Is it because M1 is at around 14s while VIX is only at 12s..

    • The roll yield does impact VIX-ETPs over time certainly. Roll yield is the difference between m1 and spot.

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