From VIX and More by Bill Luby. Here he is essentially looking at the near part of the futures curve.
Several factors have contributed to my taking a more bearish stance today, including a VIX:VXX ratio of 0.92, up from a low of 0.919 a little earlier. A caveat about the VXX ETN. It is a note and not a fund so there is counterparty risk for the buyer of the note.
Among the ways to get long volatility in this environment of rapidly falling volatility is VXX, the short-term VIX ETN, which looks like an attractive long at the current at 74.79.
0 Responses
Stay in touch with the conversation, subscribe to the RSS feed for comments on this post.