07/30/2013 Live Update

[ALdaytrade]

If you want to trade on Vix Futures, you can get real time Vix Futures on investing.com

[auger]

If you want to trade on Vix Futures, you can get real time Vix Futures on investing.com

Thanks, so according to those quotes, Aug contract trading at 14.35 and Sept trading at 15.70. That is why VXX is trading lower.

[Cobra]

members only update at 3:34 pm
http://www.cobrasmarketview.com/2013/07 ... ay-update/

[Al_Dente]

RHIGHT had a good post on VXX this morning
http://seekingalpha.com/article/1580262 ... view&ifp=0
VXX tracks the VIX futures, not the equity/cash $VIX
VXX-IV (implied value) is 15.41
http://finance.yahoo.com/q?s=%5EVXX-IV
So VXX is trading at "par", no discount, no premium

Yes, but there is more On the close of the day before VIX option expiration, VXX will hold only near month futures contracts. Each day after that, VXX will sell 1/23 of the front month and buy the second month, so that there will always be a maturity of 30 days. As long as they have a similar price, then the daily rebalancing won't have much of an effect.
Edit:
I should add, that most people are looking at quotes for $VIX, which is an index. What is needed are VIX futures quotes to be able to accurately calculate how VXX will track day to day.

thx
agree
They ALL roll a fraction every day, to reduce gyrations on expiration date.
ALL of them roll
I thought the original question was: Why is VIX up and VXX down
And the answer: VIX is equity/index options based and VXX is based on the VIX futures
[re yr edit: that is exactly the point]

[PanamaJack]

FB just printed 37.93
Amazing comeback from afternoon selloff.

PanamaJack

[auger]

RHIGHT had a good post on VXX this morning
http://seekingalpha.com/article/1580262 ... view&ifp=0
VXX tracks the VIX futures, not the equity/cash $VIX
VXX-IV (implied value) is 15.41
http://finance.yahoo.com/q?s=%5EVXX-IV
So VXX is trading at "par", no discount, no premium

Yes, but there is more On the close of the day before VIX option expiration, VXX will hold only near month futures contracts. Each day after that, VXX will sell 1/23 of the front month and buy the second month, so that there will always be a maturity of 30 days. As long as they have a similar price, then the daily rebalancing won't have much of an effect.
Edit:
I should add, that most people are looking at quotes for $VIX, which is an index. What is needed are VIX futures quotes to be able to accurately calculate how VXX will track day to day.

thx
agree
They ALL roll a fraction every day, to reduce gyrations on expiration date.
ALL of them roll
I thought the original question was: Why is VIX up and VXX down
And the answer: VIX is equity/index options based and VXX is based on the VIX futures
[re yr edit: that is exactly the point]

Oops, sorry you did say that. So we agree

[Al_Dente]

we agree

[ALdaytrade]

If you want to trade on Vix Futures, you can get real time Vix Futures on investing.com

Thanks, so according to those quotes, Aug contract trading at 14.35 and Sept trading at 15.70. That is why VXX is trading lower.

Yes, US SPX VIX Furtures Contracts: Sep 13 15.68, Oct 13 16.67, Nov 13 17.38

I guess I should have reconsidered my registration name, as there are a great deal of Al's on the board.

[Cobra]

well, guess that's it for today, all eyes on tomorrow. thank you guys, I'll see you tomorrow.

before the close please take a little time to vote for me, thanks. http://stockcharts.com/public/1684859/tenpp

[BlackThought]

3 legged rebound already, not much up, so bears still have last hope. wait.

Bears can't win in this market.

[BlackThought]

FOMC decision days been bearish

[ALdaytrade]

Do not give up on the bears, as hvu.to is now trading at my fast stochastic %K at 0.00, Really no where else to go except up, meaning market is continuing the down trend. I am thinking, of course I could be wrong, but this is how I day trade.

[Ratbastrd]

Do not give up on the bears, as hvu.to is now trading at my fast stochastic %K at 0.00, Really no where else to go except up, meaning market is continuing the down trend. I am thinking, of course I could be wrong, but this is how I day trade.

Thanks for the information. I was aware that VXX traded against futures, but for some reason thought is was later months, my bad. So given the decay that now appears to be eating into the front month, when would be a good time to look at VXX? Like you I firmly believe the market is heading lower into next month. Not a lot lower but back to the middle of trading range. SPX 1630 area.