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?
see example attached: