Reflections on VXX

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I received a question regarding VXX, the VIX ETN, and its inability to accurately track the CBOE Volatility Index (VIX). For reasons I'll expound on at the end of today's post, the few times I have traded the VXX was to the short side. Rather than trying to reinvent the wheel, I'm going to cite a few posts from Bill Luby, purveyor of VIX and More, and someone who knows way too much about volatility.

In his post VXX Calculations, VIX Futures, and Time Decay Bill reviews various factors that hinder VXX's ability to accurately track the VIX.

Tickers: VXX

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