If the VXX is simply a constant maturity weighted average of the 1st and 2nd month VIX futures prices, then why is its market price always larger than the maximum of the two? (the larger of the two is the 2nd month if in contango). I would expect it to always sit somewhere between the 1st and 2nd month prices.
For example, today at time of writing I observe the following prices:
Nov 17th VIX future (15 days to expiry) : 16.10
Dec 15th VIX future (43 days to expiry) : 17.00
VXX : 18.49
I would expect the VXX right now to be roughly the average of the two, i.e 16.55. What is wrong with my reasoning here?