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I did the math and got the same answer as m22au.

OK TJ, I'm going to throw you a bone since it's a holiday. What you want to do is go out further on the curve. There are other ETF's that get long different parts of the curve. There is still a roll. But.....the roll has less an effect on the curve. The downside to this, is that that part...

There is NO cash VIX. It's a calculation put out by the exchange. VXX and VIX are NOT the same thing. Just like AAPL and GOOG are NOT the same stock. The Russell 2k and the Dow are NOT the same index. All the VIX etf's trade off of the VIX futures. There is no CASH. It does NOT exist...

Right because they are NOT the same product. What I'm saying is, every individual product has their own roll they have to pay. There are about 20 different vix products. They ALL have a roll. It's NOT the same dollar amount as they are NOT the same product. What I was trying to point out is...

OMG. I will never get the time back I lost on this thread. The reason they roll the futures on the ETF is because they have to replicate the exact 30 day vol term. It's the EXACT same cost you would pay if you were long the futures every month and then at expiration paid "up" to roll to the...

First of all, they are not even the same product. Second, when you have a forward curve, your cost basis is getting rolled "up". This HAS to make sense mathematically. If it rolled down that would imply that over time you would own the VIX curve for FREE!!!!!!!!! Obviously that is not...

Wrong! It does NOT have an implicit carry. The roll costs is "dependent" on whether the contract is in contango or backwardation. In backwardation, the forward roll is a credit, in contango it's a debit. You CAN'T get around it no more then you can get around the contango in oil or natural...

OK, let me make sure you understand something. I know this is complicated. The VIX is a "fixed" structure. SPX is a "variable" structure. These two are NOT the same thing. There is NO arb. You could attempt to try to replicate a VIX position in the SPX through "dynamic" hedging, but good...

Arb? What exactly are you trying to do?

The Yen crosses are EXPLODING tonight. The action continues on. Number lines telegraphed this action well.

Right, there is no time decay. What you are doing is betting on a piece of 30 day vol at some point in the future. So for example, if you get long the Dec VX future at 13.80. You are saying that in 19 days, when this future expires, you think the 30 forward vol will be above 13.80. You could...

Because your vol structure is decaying with time. The Vix futures are locking in a fixed 30 day vol term. It's stays 30 days even as you approach expiration. So you are isolating just the volatility and not the decay or the delta.

I don't think you understand. There is NO cash VIX. There is a futures contract that prices 30 day vol along a forward curve. All the ETF's are priced in some manner along that forward curve. The reason there is a "carry charge" on it now is because it's cheap. When the VIX gets really...

Oh, just following up from TJ's question on the VIX thread. I meant to mention that before on here and I wanted to post that before I forgot. All the A levels are spot on and the number lines are very effective. Great if you trade the VX futures or stuff like XIV or VXX.

An implied spread is one where your software constructs the spread for you and executes it as a spread. Your broker will margin it effectively as an inter-market spread. It should be on their website or ask them to be sure. Granted, futures brokers are different then places like IB and TDA...

BTW, ACD models the VIX and all it's byproducts VERY effectively. Even the number lines!

Yes, that works right into their hands. Because the super blowups are the reason used for why we need government to constrain volatility and round and round we go. Whoever thought this up was a genius. LOL.

Yeah I noticed that during the Olympic games. I couldn't even believe that was an Olympic sport! I "use" to play tennis fanatically. :(

There is no cash VIX. All VIX products reflect the forward volatility curve hence the carry.

<iframe width="560" height="315" src="//www.youtube.com/embed/1cN8be1Kmgk" frameborder="0" allowfullscreen></iframe> This is a great video I found I think some of you will enjoy about looking at the big macro picture over the next 10 years. Also, pay attention to the focus on process and how...