The steep VIX futures curve means volatility funds will lose more on the roll trade. [Double Whammy for Volatility ETFs: Falling VIX and Contango]
CBOE Volatility Index
iPath S&P 500 VIX Short Term Futures ETN
VelocityShares Daily 2X VIX Short Term ETN
Full disclosure: Tom Lydon’s clients own TVIX.
