Important Note, the Roll Yield is important for the VXX.
I have heard countless YouTube and Forum Gurus dismiss the VXX as a Junk Derivative. A Scam...
Nothing is further from the Truth.
That statement demonstrates how there are far too many "Gurus" with no understanding of Volatility itself.
The VXX is comprised of the 30 day Short Term Rolling Maturity outline in the prior 2 Posts.
We simply laid the groundwork for how this all comes together to show how "balance" is achieved for the VXX Instrument.... it is constantly moving from M1 to M2 the Day it Settles.
Hopefully, this was clear enough for those unfamiliar with how Volatility works in the Futures Markets and how it impacts ALL Markets.
The Methodology is known, it is based upon VIX Futures in relation to the Spot VIX >>> SPOT VIX & M1 @ Settle "Converge" then to become equal in Price @ PAR.
Roll Yield is how the VXX Derives its Price.
VXX is not a STOCK, it is an Index based upon M1/M2.
It simply is a Wash Rinse Repeat cycle Index for M1 / M2 in Constant Maturity.
I received a message asking me to explain this, Hopefully, it is clear now.
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You may observe the effects of "Roll Yield" on the Price of the VIX and forward VXX Prices.
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