Seeking detail on how SVXY changes with the VX roll

Discussion in 'General Discussion' started by garyw, Jun 9, 2017.

  1. garyw

    garyw Well-Known Member

    I seem to recall someone disclosed this, but that memory cell was replaced by another brewsky or something.
    I think this should be disclosed in the Prospectus, but I have not found it.
    I think there are at least two primary algorithms.
    1) portion of short Front Month to short Back Month VX Futures, as a function of time remaining to the expiration of the Front month.
    2) Some form of size adjustment.

    If this is in the prospectus, can someone provide the page# please?
  2. Jim Haile

    Jim Haile New Member

Share This Page

  1. This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
    By continuing to use this site, you are consenting to our use of cookies.
    Dismiss Notice