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

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