At the end of September, I resumed my short Barclay’s Bank iPath S&P 500 VIX Short-Term Futures (VXX) – long Barclay’s Bank iPath S&P 500 VIX Mid-Term Futures (VXZ) strategy. Mid-term VIX futures (VXZ) were less elevated and provided a better hedge for VXX. I will hold this pair through October as […]
Currently, short-term VIX futures are experiencing rolling costs (first to second month futures) greater than 10%, which is working in favor of my short iPath S&P 500 VIX short-term fund (VXX) position.