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Eurodollar futures settle at 100 - the 3 month USD Libor, if I understand correctly. Are the prices of each contract in the term structure simply the market's forecast of 3m Libor at the date of each contract's expiry? If GE Dec 20 is trading at 96.75, doesn't that mean the market is...

I placed a GTC limit order on a Eurodollar Calendar Spread (the option kind). It was at the midpoint between the bid and ask, and became the new best offer. Later, other orders came along, occupying the same price point (although they often drop out in the overnight session, leaving only mine)...

I thought the article was making your very point. Contango in the futures drives the downward tendency in the long vol ETNs. The ETNs themselves aren't penalizing us, it's the futures they are based on that moves downward to meet spot Vix at settlement. The whole term structure slopes...

When do you think VXX will be down around $20? I have June puts struck at 20.

Gloria, aren't you glad you didn't bother with X048? Or did you end up investing in it? Funny, this 2x inverse ETN did not go to 0, but came pretty close.

Oh yes, clearly backwardation is on and will be boosting the long vol etps, but it seems to be more pronounced in vxx than tvix or uvxy. And as I look, most of the up move is in afterhours activity. Perhaps it's just the influence of traders bidding up the price, rather than iPath controlling...

I see that VXX was actually up today, while the VIX futures were down. Plus, UVXY and TVIX were down. I see why those last two were down on the day, but why would VXX be up?

I do think VXX was a bit off in the first screenshot. It should have been slightly negative, not flat. But the real oddity is at the time of this writing. The VIX futures are down 23 and 21.5 % for the first two months respectively. Yet, VXX is up 14%. It's just the premarket, but still, why is...

No this was all during the regular trading day when all the markets were open. It was most pronounced in the premarket hours, but that could relate to illiquidity. I noticed the effect again today, although in a more muted way. The first shot is from 10:19 am Eastern. VXX is unchanged here...

Well, maybe I just wasn’t patient enough. I’m absolutely positive that at various times in the last few days the futures and the ETPs have been off significantly, to the tune of a 2% spread, but perhaps eventually closed up. What was striking to me is that all the ETPs were in line with each...

Just curious about how these things work. I notice that often VXX, XIV, and the others in the space sometimes move by different percentage amounts (and in different directions) than the Vix futures. For example, early today the Vix futures front and second month were down by about 1%, yet VXX...

It seems that no one has responded to this thread of last month but yes, there are several ETPs domiciled in other jurisdictions that track the performance of the Vix futures, as well as the performance of other Vix-like futures for other countries. At the interactive brokers site under their...

The Vix is going up and so are the Vix futures. The stock market is going up along with the Vix, which is atypical (I think happens 16% of the time). The article below is saying that this means a sell-off is imminent because option-investors are buying protection in the form of SPX puts, meaning...

I’m wondering if this means Vxx will be no more after that date. What does it mean practically speaking when an ETP matures?

The inverse volatility market certainly seems fragile, with the potential for a catastrophic volatility spike looming in the offing at all times. What can we do to make XIV and its ilk a little more robust? I am exploring OTM calls in VXX and VIX. (SVXY options are rather illiquid by...

Yes, that's the problem with double short volatility, or single short for that matter. The phenomenon of "volatility drag" creates major problems for long ETPs that replicate short volatility. The rare but extreme spikes in volatility can decimate these inverse volatility products, possibly...

As I was saying, it exists in Germany. Trading, though, is very thin. I have traded it, but it's a little worrisome being the only person besides the market maker involved in this market.

In trading vix futures, how do you choose between the calendar spreads and an outright position in a single month in the term structure? Especially in the middle and long term months. Let's say I can sell 10 January Vix futures, and for the same margin can put on 40 calendar spreads – –...

I do trade them with IB. Both VStoxx and and the etp EXIV, which is short VStoxx 30 days. The market is great for diversifying between regions. I also trade the NKVI, Nikkei vix futures. Btw, the EXIV seems to be getting greater leverage than vix products at IB right now. I don't know why, but...

Note: The link I posted above in the original post was inaccurate. This one seems to be correct: http://www.cboe.com/products/vix-index-volatility/vix-options-and-futures/vix-weeklys