jy247

Hi Arvin, I know what the VIX is and how to look at mid-prices. This product is clearly tracking VIX futures and not the VIX itself. This is hugely misleading and is not mentioned anywhere in the reference of this product. I have bought puts on this which would be in profit if the index tracked spot VIX, but because the curve has moved from from backwardation to contango and this tracks futures I am sitting on a loss. I have still not seen an explanation anywhere for how this product is calculated but can see from the price action that it appears to be following the 1st or 2nd month future. I am going to have to eat this loss now because I took your product at face value. Please upgrade your documentation of this product so that it is clear that it does NOT track spot VIX.

I sold a spread bet on the product "Volatility Index" which as far as I understand is designed to track the VIX. However, when I sold it, the VIX was at 36 and the "Volatility Index" was at 34 so VIX was 2 points higher. Now that VIX has fallen to 26.7, the Volatility Index is at 27.4, so VIX is now almost a full point lower. Note this is not a BID/OFFER issue, which trades about 0.3 wide. This is also not a 'funding bleed' issue, because the position is costing me money to hold every day, so that cost is not built in. Does anyone understand the construction of this Volatility Index, and why my trade has underperformed VIX? Personally I feel quite mislead, as this product is clearly marketed to track VIX. Grateful for any information. thanks