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Right, but essentially the same index in reverse. Total return includes interest accrual on the notional value of the index based on the three-month U.S. Treasury rate where the Excess Return version doesn't . And as noted in a previous post the fees don't come close to explaining away the...

quick update. still going through details but the answer appears to be in the following (copied from an article on XIV) " Understand that XIV does not implement a true short of its tracking index. Instead, it attempts to track the -1X inverse of the index on a daily basis and then...

EDIT: I wrote ETF's, actually they are ETN's Thanks. From what I can find, VXX is charged an annual fee 0.89% calculated daily. XIV is higher at 1.35%. This counts for some of the difference, but still small compared to the total difference. On the right track though I think. The devil is in...

I have been doing some analysis of the two volatility ETF's, XIV and VXX. My understanding is XIV should basically be a mirror of VXX. However from my results, based on totals of daily % change short VXX clearly outperforms long XIV and I can't figure out the cause of the big difference here...

Thanks for all the suggestions people. Have spoken to these providers and now know where I can get futures option data. Unfortunately the pricing puts it out of my reach for the time being so will settle for Equities and ETF data for now. cjbuckley4 , agreed that that is the best option going...

Thanks, spoke with them, not quite what I am looking for. Currently speaking with Morningstar about some excel add-ins and data they have, will probably need to build the backtest part. Interested in finding out more about OptionStack, but doesn't look like it is quite ready to go...

Does anyone know of any software or data service that offers historical data for Futures Options that can be used to backtest strategies? I am currently using Option View but having regular issues. I had a look at liveVol, love the idea of being able to use the data in excel, but only offers...

I'm having a hard time trying to find reason with the front end of this curve..... A few weeks ago I came to the conclusion the situation in Cushing played a large role and that with the 2 new pipelines into Cushing we would see a reversal in the net outflow from Cushing (or at least a...

I get how I could check that for a contract that is purely physical delivery (ie CL), but for a contract like Brent how can you tell if the contract was settled by Cash or Physical? If I have a position in Brent going into expiration, this will be reflected in the Open interest, right? But if...

Question regarding Brent futures , from my understanding, this contract can have either cash/physical settlement. I was wondering how much of this is actually physical. Doesn't seem to be listed in the report section on ICE exchange...... Is there information available on this, or any idea on...

That was my idea for my next trade.......

I see you've got your Sherlock hat on again! Are you able to assume that all of this is going to storage or is there just as much chance that this being delivered to a refinery ( I think I read somewhere that there's a large caltex refinery nearby)?

This article seems to infer that this still involves a fair element of risk and will depend on a favourable move in the outright to get them over the line. I am wondering what kind of spreads you would need to see before traders started feeling comfortable enough to really start moving into the...

Never noticed.... Thanks for the info on the VLCC rates too. Are the inventories on these storage facilities published regularly like the EIA weekly oil inventory reports?

Ogarb: Where do you get the VLCC rates from? paid services like bloomberg? http://www.bloomberg.com/quote/BTCEVLCC:IND Google turned up plenty of references to VLCC rates but no raw data.

How do you calculate the 20-25 cents here? And while I am sure the answer will be something along the lines of 'As little as someone is willing to take...' But what kind of minimum profit do you need to see before people decide its worthwhile to store?

http://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude_contractSpecs_options.html#prodType=AME&optionProductId=7503

Energy TRader: Again, very informative, thank you. These front spreads don't seem to want to stop....... Short term supply issues(random guess.....)???

I was directed to this article on the crude below 90 thread. http://qz.com/251490/all-about-the-recalled-loan-that-has-russias-rosneft-in-a-panic/ Reuters thread seems to point the reason for the contango to weak demand, while it was suggested on another thread here that the unwinding of the...

Energy trader, thanks for the article. Very informative.... Couple of questions, if backwardation is normal, then the recent contango was abnormal then? Was there any clear cause for this? I had an idea　(possibly misinformed) that a 'normal' curve(at least over the past few years) was...