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Post by walnut on Jan 5, 2017 22:36:16 GMT -5
I calculated the weighted average contango "pull" based on VIX and the futures, the time left on the Jan future being 12 days. It is a different calculation than simply contango itself. And the weights are the current VXX components.
The contango drop that we can expect for VXX tomorrow is 13 cents. It has been about 13 cents every day for a while now.
Incidentally, the theta on 2 week call options to hedge is only about 3.4 cents. See why hedging with calls can be interesting right now?
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Post by huh on Jan 6, 2017 0:00:08 GMT -5
About midnight now and although the S&P futures chart says "closed" it is actually real time - or within 3-4 minutes of it. Not sure if I've ever seen an exact real time on overnight futures. These futures charts at investing.com are even more current than the CME quotes I can get which are usually delayed ~10 minutes or so.
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Post by theMist on Jan 6, 2017 9:14:10 GMT -5
I believe the way you are calculating contango (spot vix and the futures) is more accurate than the way www.vixcentralcom does which I believe is based off first 2 months contracts (M1-M2). But VixCentral calculation method is still reasonable. IMO
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