Trading the VIX future

[1a2b3cppp]

Quote from shortie:

^VIX is not a tradeable instrument so you may forget your nice chart.

check out me venturing in the world of VIX futures for the trades that work in the real world (at least i hope they will)
http://www.elitetrader.com/vb/showthread.php?s=&postid=3169481#post3169481

That's why I was hoping there was a futures contract that mirrored the VIX. Not those VXX or VXZ things.

 

[sle]

Quote from 1a2b3cppp:
That's why I was hoping there was a futures contract that mirrored the VIX. Not those VXX or VXZ things.

By definition there can not be such a contract since it would be arbable against regular S&P options. Give me a min, I will write a nice intro on how VIX, VIX futures etc work and how they relate to regular S&P options.

 

[sf631]

Agreed with the above comment that VXX, even if a horrible way to trade VIX, is a good approximation of the continuous contract type strategy - they basically just roll front and second month futures to keep a constant 30 day weighted expiry

Here's an article I posted a while back that highlights the problems with this trade. Note the second chart which shows typical month1/month2 roll yield going back 7 years. >75% of the time it's a steep contango, upwards of 10-15% per month.

http://seekingalpha.com/article/267...erm-futures-etn-swimming-against-the-currents

 

[cvds16]

Quote from 1a2b3cppp:

Can Vix futures go to 0?

Jesus, how stupid are you ?

 

[cvds16]

and no, there is no such thing like a 'continous' future contract. Read up on how futures are priced ...
you seem to be having big opinions on all kinds of stuff but basically know nothing about anything ...