Does anyone know the calculation that these EQD desks are using to calculate the net Vega exposure of the VIX ETPs?

I am assuming it involves shares outstanding in each ETP, the value of a 30 day constant maturity future or SPVXSTR Index but everything I've tried has not yielded the same results.

I've reviewed a few of the prospectuses for these ETPs but it just states that they track +1/-1x the performance of SPVXSTR Index.

Could anyone help out with a methodology that is being used here?

Thank you.

see example attached:

See example here

  • $\begingroup$ Futures don't have Vega, but Vix Futures can be used to hedge the Vega of an option position in the amount of 1000 dollar Vega for each VIX future. So if you have X futures you have 1000*X dollars of S&P Vega. $\endgroup$ – Alex C May 11 '16 at 23:36

Vega = Shares Outstanding * Share Price * Leverage / 1m Constant Maturity VIX Future

Alternatively, Vega = Current Market Cap * Leverage / 1m Constant Maturity VIX Future

e.g. Leverage = 2 for TVIX, 1 for VXX

Net Vega = Total Long ETP vega - Total Short ETP Vega


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