Timeline for Why is the value of the VXX ETN always above short-term VIX futures prices?
Current License: CC BY-SA 3.0
11 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Nov 4, 2015 at 19:22 | vote | accept | MMagique | ||
| Nov 4, 2015 at 16:46 | answer | added | LazyCat | timeline score: 0 | |
| Nov 4, 2015 at 12:01 | history | tweeted | twitter.com/StackQuant/status/661875818352742400 | ||
| Nov 4, 2015 at 11:54 | answer | added | Escachator | timeline score: 3 | |
| Nov 3, 2015 at 23:17 | comment | added | MMagique | I share the puzzlement of @LazyCat. Assuming no splits, why would the VXX not be equal to the weighted average of month 1 and month 2 prices (adjusting the daily weight such that the weighted average time remaining until maturity stays constant at 30)? | |
| Nov 3, 2015 at 22:59 | answer | added | SpzToid | timeline score: -2 | |
| Nov 3, 2015 at 14:56 | comment | added | LazyCat | @AlexC: what do you mean by "price LEVEL"? If that's just the price of the instrument, then why is it not related to futures price (properly normalized) at all? | |
| Nov 2, 2015 at 23:34 | comment | added | Alex C | The daily price change in the VXX has something to do with the daily price changes in the two futures contracts. But the price LEVEL of VXX is not related to the futures price levels at all. In any case, the VXX price level is adjusted from time to time through a stock split/reverse split. | |
| Nov 2, 2015 at 17:34 | history | edited | MMagique | CC BY-SA 3.0 |
edited title
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| Nov 2, 2015 at 17:07 | review | First posts | |||
| Nov 2, 2015 at 17:19 | |||||
| Nov 2, 2015 at 17:06 | history | asked | MMagique | CC BY-SA 3.0 |