Why doesn't everybody just short VXX?
- Thread starter GlobalMacro90
- Start date
3% at IB is negligible compared to avg. annual return.
I guess there are more shares available now. But also much later in the cycle.
It's been ~3% for the last five years. Occasionally unavailable, but only about 5 times a year in my observation. I've never been bought in. though, as I say above, it could always happen at the very worst time.
Thanks for this report, it was an interesting read (I just read the short vol part). Certainly would have to keep a short position in VXX as a small part of the portfolio. Should be noted that VXX is not a leveraged instrument and just as long exposure, though I do need to wrap my head around historical vix spikes and what that could do to the vix futures curve and the subsequent impact on the price of the ETNs as they rebalance from one contract to another.
I am sure that nobody is buying the VIX Jan synthetic long at 15.50 and shorting VXX at 26.35 (or simply buying the VIX Jan 10C).
Why not. It’s 10.85 of arbitrage!
Price the synthetic short.
