How Does VXX/VXXB’s Daily Roll Work?

All volatility Exchange Traded Products (ETPs) use indexes that track a mix of two or more months of the CBOE’s VIX Futures.  Calculating this mix is not trivial and has resulted in a lot of bleary eyes—including my own.  My intent with this post is to help you understand, and if you desire to accurately compute the key indexes used in VIX/VXXB and other short …

Read moreHow Does VXX/VXXB’s Daily Roll Work?