VXX Performance Today

Today is options and futures expiration for VIX futures. This is an important consideration for the future. The VIX index was ‘fixed’ this morning at ~30.99 which is the mark price for futures & options and lower then yesterdays mark. The VXX index holds VIX futures and as of yesterday had completed rolled to July Futures:

Todays performance however was noteable: VXX +1.29% VIX -3.49%

This is a huge delta and obviously effected the performance of the trade. Unfortunately the history of VXX is too short to do a thorough analysis however based on the data I do have it continues to be a reasonable proxy. Expiration or roll days however seem to have a different dynamic and there may ‘potentially’ be opportunities for a high frequency trader to find some nice arbs on these days.

^VIN 061709

^VIN 061709

VXX 061709

~ by largecaptrader on June 17, 2009.

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