At the end of September, I resumed my short Barclay’s Bank iPath S&P 500 VIX Short-Term Futures (VXX) – long Barclay’s Bank iPath S&P 500 VIX Mid-Term Futures (VXZ) strategy. Mid-term VIX futures (VXZ) were less elevated and provided a better hedge for VXX. I will hold this pair through October as […]
VXX
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Despite the recent policy breakthrough, I think the celebration will be short-lived. The reality is that there still too much debt.
These sell-offs come in waves, and I expect more selling pressure as shocks from Europe and elsewhere continue to roll in.
I plan to maintain my current asset allocation strategy of shorting the VXX and going long on the VXZ.
Don't get burned by the weather! The weather in much of the US has been a month or two ahead of the calendar in terms of average temperatures.
Currently, short-term VIX futures are experiencing rolling costs (first to second month futures) greater than 10%, which is working in favor of my short iPath S&P 500 VIX short-term fund (VXX) position.