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Statistik › Optionen, Shorts und Positionierung › VIX ETP decay

The VIX rose 75% while the index VXX tracks fell 92%, and the difference is maturity

VIX index spot: 174.71+174.71VIX indexspotShort-term futures index: 7.10+7.10Short-termfutures indexSPVXSTR what VXX tracks: 7.95+7.95SPVXSTRwhat VXX tracksMid-term futures index: 102.62+102.62Mid-termfutures indexMid-term total return: 114.90+114.90Mid-termtotal return

Value of $100 invested on 20 December 2005, measured at 13 April 2012. The spot VIX rose more than 70% over the period. The short-term futures index fell more than 90%. The mid-term index was roughly flat. Index levels only, with no fund fees applied.

One hundred dollars tracking the VIX index would have been worth 174.71 by April 2012. The same amount in the short-term futures index that VXX tracks was worth 7.95. The mid-term index was worth 114.90, so the loss is maturity, not volatility.

$174.71$100 in the VIX index, 20 December 2005 to 13 April 2012
$7.95The same in the short-term futures index VXX tracks
$114.90The same in the mid-term futures total return index
-0.64 and -1.02VXX annualised drift and Sharpe ratio, 2010 to 2017

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