Friday, September 16, 2011

Front Two Months of VIX Futures Slip Back Into Contango

For the first time since the end of July the front two months of the VIX futures are in contango, after spending 1 1/2 months in backwardation.

While the degree of contango is very slight at the moment, this means that the short-term inverse VIX futures ETPs (e.g., XIV) are now benefiting from negative roll yield, while the short-term long VIX futures ETPs (VXX, TVIX, etc.) are no longer receiving the benefit of positive roll yield from backwardation and now face a slight headwind.

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