Replies to post #5006 on ProShares Trust Ultra VIX Short Term Futures ETF (UVXY)

[DrContango]

"vix at 13.9

uvxy is 64

front 2 month contango is 6.7%(x2= 13.4%)

exp decay ~1

so uvxy at march expiration should be ~ $55 if things stay the same? "


lifter:

Forget contango; focus on back month.

If the VIX closes at expiry at 13.9, expect the back month to close at ~ 14.5 in the ballpark of last month's data at bottom.

That would be ~ $1.15 drop from $15.64, or a 7.35% drop.

Double that to 14.7 and add another .5- 1% ß decay.

Yes, ~$55 if things stay the same. (64 - 15%)

But you got the right answer the wrong way.

I surmise that you pulled "front 2 month contango" from VIX central. You most likely meant spot to back but you pulled up front to third (May).

Doc


current:

VIX 13.97 +0.30
VX H4-CF 15.17 +0.27
VX J4-CF 15.64 +0.34


2/18/14 (expiry)
VIX 13.87
FRONT 14.25
BACK 14.45