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Intraday Contango Indicator
iPath Series B S&P 500 VIX Short-Term Futures ETN
Intraday Contango Indicator
By gb50k
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Aug 5, 2015
1
Aug 5, 2015
Use changes in VXX * XIV to approximate intraday changes in state of contango (available EOD as VI2!/VI1!)
The rate of change in vxx * xiv closely approximates changes in contango
contango
UVXY
VIX CBOE Volatility Index
Volatility
VXX
gb50k
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