VelocityShares launched XIV in late November 2010. Introduced in 2004 on Cboe Futures Exchange ℠ (CFE ®), VIX futures provide market participants with the ability to trade a liquid volatility product based on the VIX Index methodology.VIX futures reflect the market's estimate of the value of the VIX Index on various expiration dates in the future. The original strategy , comparing the VIX to front month futures, is a bit messy, because the front month contract represents something very different depending on how long remains until expiration. VIX measures market expectation of near term volatility conveyed by stock index option prices. with a redemption value that depends on the level of the S&P 500 (SPX) VIX Short-Term Futures Total Return index (SPVXSTR). Yields are interpolated by the United States Treasury from the daily yield curve. We use a more complex modified version of this 30-day constant maturity as a filter signal among about eight others to reach trading decisions. THE INFORMATION AND ANALYSIS ON THIS SITE IS PROVIDED FOR INFORMATIONAL PURPOSES ONLY. Volatility ETF Trading Strategies - Part 4: VIX 30-day constant maturity. CBOE Volatility Index: VIX/10-Year Treasury Constant Maturity Rate. Thus these time series represent the history of a constant maturity futures. Last updated Nov 2015 *. Hold until a change in position. information regarding the equity market than spot VIX, which is a single constant. YOU, AND YOU ALONE, ARE SOLELY RESPONSIBLE FOR ANY INVESTMENT DECISIONS YOU MAKE. VIX1|VIX2 30 Day Constant Maturity . What VIX Term Structure Is. Indeed, the VIX index is the most volatile and sensitive to the S&P500 index. We see that the VX returns have a (noisy) positive dependency on the slope. This is completely unrelated to our own strategy’s signal; it just serves to add a little color to the daily report and allows subscribers to see what other quantitative strategies are saying about the market. Go long XIV at today’s close if the VIX index will close below the 1-month constant maturity price of VIX futures, or go long if it will close above. rolls continuously throughout the month to maintain a constant maturity and adjusts its holdings of VIX futures to maintain a constant vega exposure. 1 The VIX® methodology is the property of Cboe Options Exchange (Cboe). However just like with all indicators, it's only a part of the big picture and should only eve be viewed as one cog in the wheel. This is a twist on a common strategy for trading VIX ETPs (like XIV and VXX) that we’ve covered previously: comparing the VIX index to front month VIX futures. VelocityShares Daily Inverse VIX Short-Term ETN offers inverse one-month constant-maturity exposure to VIX futures. In short, because of the extreme (but ultimately, unsustainable) market strength of the last 1+ year, what have traditionally been signs of impending weakness in XIV/ZIV (in this case, VIX > 1-month constant maturity) has repeatedly caused many of these simple strategies to move to a defensive posture (cash or long vol) just as the market is making a rebound. VIX, as the constant 30-day maturity VIX futures does, is due to the roll yield.In gure 2 we plot the VIX index, the VXX price and the constant 30-day-maturity VIX futures price, as in Zhang, Shu, and Brenner (2010), so the di erence is visually observable. As an illustration, the realized historic volatility is about 10% for Put strategy, 5% for Strangle strategy, and 50% for the VIX … GitHub Gist: instantly share code, notes, and snippets. VIX central is a very useful website that not only gives the VIX futures delayed quotes, but also shows the term structure—a graph of the VIX Futures for the various expiration dates vs time. 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