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Seth Golden posted an update 6 years, 2 months 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.
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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.