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Kevin_in_GA
4,599 posts
msg #139378
Ignore Kevin_in_GA
11/17/2017 11:25:31 AM

That link is correct, but in application of "contango" to ETFs like XIV or VXX, each day they must sell a portion of the current month futures (F1) and buy an equal amount of the second month futures (F2). For the VIX futures, if F1 is less than F2 (which is usually the case, roughly 85% of the last five years), it means that they must sell F1 for less than they buy F2, thus degrading the returns of the ETF. In the case of XIV, the process is reversed - they sell F2 and buy F1.

When I look at contango for the ^VIX, it is always (F2/F1 - 1). For example, right now F1 (the Dec20'17) is 12.60 and the F2 (Jan17'18) is 13.85, so the current contango level is (13.85/12.60 - 1) = 9.9%


johnpaulca
12,036 posts
msg #139379
Ignore johnpaulca
modified
11/17/2017 11:32:41 AM

NFLX($194.41)...reloading!!

entry will be close to $193

pthomas215
1,251 posts
msg #139380
Ignore pthomas215
11/17/2017 11:38:11 AM

Kevin, thank you. what causes the market to go back to normalcy...i.e. market is down Monday, so XIV is down appropriate amount. ?

Kevin_in_GA
4,599 posts
msg #139381
Ignore Kevin_in_GA
11/17/2017 11:53:44 AM

Today is another example of me ignoring what my systems are telling me to do. I should have simply bought 5,000 shares at the open ... would be up almost $10K right now.

johnpaulca
12,036 posts
msg #139382
Ignore johnpaulca
11/17/2017 11:54:26 AM

TEVA...another good day...7% move today

pthomas215
1,251 posts
msg #139383
Ignore pthomas215
11/17/2017 12:06:17 PM

extra ordinary amount of call options on HIMX. weekly MA crossed up, 2 day crossed up. Price dropping now to support of 11.16. gonna grab it @ 11.20 or so.

gmg733
788 posts
msg #139385
Ignore gmg733
11/17/2017 2:10:39 PM

pthomas

In basic terms, the further you go out in time the higher volatility is and is considered normal. You can see this by looking at /VX and the prices or any liquid equity options chain for that matter. Binary events will cause a case where you get contango such as an election, some event that happened like a terror event or in an equities case earnings.

Metals taking off.

johnpaulca
12,036 posts
msg #139386
Ignore johnpaulca
11/17/2017 2:49:17 PM

TELL(($12.19)...remember this stock I posted and said it has lots of upside, it popped for 12% today

pthomas215
1,251 posts
msg #139387
Ignore pthomas215
11/17/2017 3:21:56 PM

gmg, thank you.

SAFeTRADE
644 posts
msg #139391
Ignore SAFeTRADE
11/17/2017 10:13:25 PM

Kevin_in_Ga

Do you follow Eli Mintz's blog the guy who created ^VIX Central Blog? ^VIX settled at 9.90.
You said anything above 5 is good for XIV?

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