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I should be more clear. The "VIX" calculation is a "real time" calculation on SPX option prices using a formula that is provided in a white paper on the CBOE website. VX futures are the future "expected" value of those options at a specific date in the future. Only on settlement will they...

Or you could just buy and hold the S&P 500. Same difference after you adjust for variance.

No, only when it's in backwardation. When it's in contango, you are locking in profits and the long vol guys are locking in losses. That's why perpetual vol drifts lower over time.

Well...maybe. For example, say you shorted Feb with 8 days to go and it spiked going into expiry at say 35. So then you try to sell March to catch the retrace but March is trading at 20. Would you sell march VX at 20? You missed out on that 15 pt retracement. The best way to capture the...

Any product that uses a daily rolling structure.

They all work. But there is a cost to holding a strong mean reverting product otherwise it would be free money.

The better way to think about is this, when you are in the inverse ETF you are locking in losses everyday. There is no concept of "just holding it". Every day you lock in losses as they buy back at the highs and sell down in the next month. The only thing that is locked is the duration. THIS...

What is the VIX short term index? You mean the cash VIX? BTW, the cash VIX has no relationship on the VX futures or the ETFs until settlement. It's simply a calculation of the settlement formula on the SPX options.

http://www.cboe.com/products/vix-index-volatility/vix-options-and-futures/vix-futures

I've read that article before and don't agree with it. For one, it's not that the VIX etf's are penalizing you vs the VX futures, the drag exists in the futures as well as that is where the drag is coming from. In other words, forget you are long VXX and just buy the VX futures and roll them...

If you have EXCEL you can play around with shock events and see how they affect these ETF's. Almost all the firms who create these ETFs explain they are meant to be very short term vehicles as their stated goal is to match daily returns, not long term returns. The VXX roll is NOT a good thing...

VXX roles daily. The market is in steep backwardation. This is very rare but when it happens you actually earn a roll yield on VXX. That will cause VXX to benefit on the forward roll which they do daily. That means they are selling the "high priced" front month future and buying the "low...

They are shutting it down because in their prospectus it states there is a termination clause should there be a tail event which they described as an 80% increase in volatility. The VIX went up 100%. XIV was designed to give you the exact inverse of that, which in this case would be down 100%...

There was no malfunction. XIV did EXACTLY what it was suppose to do. TVIX and UVXY also do EXACTLY what they are suppose to do. There are no free lunches out there. Maybe an old rotten banana laying around every now and then. But that's about it.

Another lesson in leverage.

XIV is experiencing a massive AH liquidation. In other news, CNBC crash special tonight. LOL.

BTW, the top in the ES was to the handle the yearly A up in ES.

All his themes are playing out. Commodities are holding up very well (steel, copper, oil), BTC got smashed, higher yields, weak dollar.

My secret? Those charts from finviz automatically update in real time. Shhh...keep it to yourself. :)

Yikes!