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SPY & VXX Priced For Perfection? 0 comments
Tuesday: Consumer confidence
Wednesday: Durable Goods Orders
Thursday: Jobless Claims
Friday: Chicago PMI
2) According to my Fair Volatility Estimate Model, VIX's fair value is 16.2 and April VIX Futures' fair price is 18.0. (see graph)
3) Upside skew of VXX also steepend considerably today. The April 16/19 call spread could have been bought for 0.60. That's 3 to 1 should VIX rise to 19, which is not a stretch should the market have even a minor correction.
I believe SPY & VXX priced for perfection.
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StockTalks
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On average, contango costs VXX 1% per week, but jumps to 2.25% last week b4 expiration. http://bit.ly/NNkOCO
Jul 22, 2012
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Is it unusual to see GLD, TLT and SPY all up...?
Jul 30, 2010
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