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Cash Vix ETFs
- Thread starter tradingjournals
- Start date
Quote from tradingjournals:
Read about how VXX is built. It has an implicit carry.
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 gas. Why do you not understand this? Think about it. If I could go out in time and buy a 10 year VIX strip at 12 don't think you I would leverage both my nuts to take that trade? There has to be a forward curve. This is math 101. Do yourself a favor and do NOT trade this product. That's a public service announcement from me to you.
Quote from Maverick74:
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 gas. Why do you not understand this? Think about it. If I could go out in time and buy a 10 year VIX strip at 12 don't think you I would leverage both my nuts to take that trade? There has to be a forward curve. This is math 101. Do yourself a favor and do NOT trade this product. That's a public service announcement from me to you.
Why is VXX falling while VIX did not change much. Explain it? What you call contango I call carry. It does not matter. The concept is the same.
I do not want what it is named. I want not to pay it. You got that?
That is why I want an ETF that follows the VIX, as in the chart I showed few posts ago.
Quote from tradingjournals:
Why is VXX falling while VIX did not change much. Explain it?
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 mathematically possible. So you pay for the right to own the curve over time. That curve has a cost that is proportional to the time in which you are holding it. Just stop and get out a piece of paper and think about it for a minute.
Quote from cdcaveman:
There are risks your trading that you don't understand... It is exactly as mav states...you take risks trying to extract that roll that you will lose when the curve inverts... There is no free money relative to vix etfs...
Give the EFT if you know it, and stop dirtying the thread.
Quote from Maverick74:
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 mathematically possible. So you pay for the right to own the curve over time. That curve has a cost that is proportional to the time in which you are holding it. Just stop and get out a piece of paper and think about it for a minute.
Cost basis rolled up is what I want to avoid. Why is it taking you so long to get it? Each day they roll may be 1/20 to next future. When they do that, currently I would lose points. I call that a carry, because I pay it. When you roll you will buy less futures for same money. You get it. And it is a carry. Call it whatever your want, it is carry.
Quote from tradingjournals:
Cost basis rolled up is what I want to avoid. Why is it taking you so long to get it? The reason they roll is because each that they roll may be 1/20 to next future. When they do that, currently I would lose point. I call that a call. Because I will pay it. You get it.
The particular negative carry cost roll up thing that your talking about is what you will not be able to avoid. that is what we are trying to tell you.. its inherent in the nature of volatility, and the future of volatility..
Quote from cdcaveman:
The particular negative carry cost roll up thing that your talking about is what you will not be able to avoid. .
So my thread's aim is to try to see if there is an EFT that follows the volty in the options. You get it now. And you went all over the world answering imaginary question, and not getting my question. Go read now the first post to understand what I was looking for.