tag:blogger.com,1999:blog-897456774486153841.post2723145500854560975..comments2024-03-28T06:07:36.391-07:00Comments on VIX and More: Last Trading Day for VIX February Options. Try VXX Instead?Bill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-897456774486153841.post-10443639423173688782009-02-17T09:10:00.000-08:002009-02-17T09:10:00.000-08:00I'm sure the arbitrageurs are all over the VIX ETN...I'm sure the arbitrageurs are all over the VIX ETN vs. VIX futures. <BR/><BR/>As for a synthetic cash VIX with SPY/SPX options, I'd love to hear about anyone attempting to do this.Bill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-41617218000517429552009-02-17T09:06:00.000-08:002009-02-17T09:06:00.000-08:00I agree. Now I understand that VIX futures (and th...I agree. Now I understand that VIX futures (and the VXX) will likely price in some mean reversion, but why isn't someone out there arbitraging the difference between the futures and the spot VIX? Is it that difficult to replicate the spot VIX with a portfolio of S&P options?Alexhttps://www.blogger.com/profile/03977124474414217398noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-79069333936873227862009-02-17T09:03:00.000-08:002009-02-17T09:03:00.000-08:00You are exactly correct, Alex.On big moves I'd exp...You are exactly correct, Alex.<BR/><BR/>On big moves I'd expect VXX to be more in the range of 50% of the VIX move in percentage terms. On more typical days, I'd expect something along the lines of a 75-80% tracking, on average.<BR/><BR/>I am not sure how the three day holiday impacts VXX relative to the VIX, but I guess we are getting our first good data points today.<BR/><BR/>When we can short the VXX or have an inverse ETF, then this game will be a fun one.<BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-78862942131106939672009-02-17T08:57:00.000-08:002009-02-17T08:57:00.000-08:00VXX is diverging from the VIX quite a bit today. V...VXX is diverging from the VIX quite a bit today. VXX is up around 6% at the moment but VIX is up over 16%. I'm guessing the divergence gets worse the more VIX moves from its mean. Normal moves in the VIX may be well correlated but large moves will likely be muted.Alexhttps://www.blogger.com/profile/03977124474414217398noreply@blogger.com