I've put together a short video summarizing a few of the points we've been talking about in the last few days. VIX futures, and what happens around the expiration cycles. I'm not sure how many people who invest in these volatility ETPs actually know how the VIX futures work, but I almost never see anybody talking about the days to expiration. All I ever see is people quoting "contango" levels as static numbers when in fact I think they should be viewed more dynamically.
Now I said it in the video but I will say it again here, the VIX futures are only one small aspect of the overall volatility picture. Writing articles and making videos about the VIX futures term structure, I don't want to give the impression that it's the be all and end all to trading volatility ETPs. It's very far from adequate on its own.
If you missed it, the original article is here.
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