VXX Weeklies Premium and VIX/VIXMO Relation

Brennen81

Junior member
33 0
Hey all,

I'm hoping to get your thoughts on whether you think the VXX weeklies option premiums are more closely related to the movement of the current VIX calculation or the VIXMO calculation, which is the calculation known as VIX up to Oct 2014, then continued/started as VIXMO and the new VIX calculation continued in the VIX spot. Yes, for sure the IV of the VXX and SPX are totally independent, but they are closely related as we can all see.

One reason I would think it is the current VIX calculation is that it includes more of the weeklies in the SPX, which is what we are looking at in the VXX, as opposed to using further out option premiums in the SPX for VIXMO. The reason I think it could be the VIXMO is that it uses monthly SPX premiums and the VXX is backed by the futures which expire on the month(ly). And of course, we must note that both the VIX and the VIXMO are exactly the same on every futures expiry date.

Is there any way to figure this out? Hope I explained it properly.

Thanks for all.
B
 

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