vix and more

$VIX closes at 4:15pm and VXX closes at 4:00pm.

http://vixandmore.blogspot.ca/2010/12/chart-of-week-vix-support.html

http://vixandmore.blogspot.ca/2009/05/vxx-calculations-vix-futures-and-time.html

The VXX calculation is derived from the two nearest months of VIX futures. At the moment, this means the May futures and the June futures. For the sake of simplicity, I will refer to these as the front month and second month futures. I’ll explain the calculation with an example.
VIX options expire on Wednesday, May 20^th this month (see 2009 expiration calendar), which means that at the close of business on the day before expiration, May 19^th, VXX will hold exclusively the June VIX futures (VX-M9). As each calendar day passes, VXX will sell 1/23 (there are 23 trading days in the current VIX options expiration cycle) of the June VIX futures position and buy an identical amount of the July VIX futures, so that the percentage holdings of the front month and second month futures always create a synthetic blend of a basket of VIX futures with a constant maturity of 30 days. [Note that this is different from the calculations of the cash VIX, where the front month and second month options roll forward one month 8 days before VIX options expiration.]

As long as the near month and second month futures are similar in price, the daily rebalancing has little effect on the price of VXX. When the term structure has a steep slope and there is a substantial difference in price between the front month and the second month (as was the case with SPX options on 11/20/08), the daily rebalancing can generate its own profit and loss. As the graphic below shows, there was a 0.75 difference between the May and June futures settlement prices yesterday. Calculating 1/23 * 0.75, yesterday’s daily rebalancing probably resulted in a 0.03 change in price.

yeah... contango issue. no luv for vxx. it doesnt even look like good hedging tool. spike in vix must exceeds market's expectation for vxx to become truly hedging tool. if vix stablizes... vxx will continue to slide because of the rollover cost.

http://vixandmore.blogspot.ca/2008/06/unusual-chart-of-month-vxo-and-rvx.html