Mark Sebastian at OptionPit.com notes that the spot VIX on Monday settled above six futures contracts – every month from March to August.
This unusual action partly explains why VXX was slightly higher Tuesday while spot VIX slipped 9%.
According to VXX issuer Barclays, the ETN’s index offers exposure to a daily rolling long position in the first and second month VIX futures contracts. These futures contracts were little-changed on Tuesday even though spot VIX dropped roughly 9%.
iPath S&P 500 VIX Short-Term Futures ETN
