VX30 Weightings Are Significantly Off VXX Current Holdings

[UpsidePotential]

trafficstars

Since VXX follows the VX30 index, I would expect he holdings to be close to the calculated VX30 weightings.

[githubbla]

did you able to download vix-utils features, it's looks like M2 broken for now.

[gnzsnz]

weights are definitively off

import vix_utils as vu

vix_dates = vu.vix_futures_dates.vix_futures_trade_dates_and_expiry_dates()
weights = vu.vix_futures_dates.vix_constant_maturity_weights(vix_dates)

[dougransom]

I am just starting to look at this now. Anyone already looking at it?

[dougransom]

Roll Period Calendar Days is Zero anywhere thse weights are off. I have some unit tests I am working on to identify these cases, trying to solve the problem now.

[gnzsnz]

there are many cases for 2024

the issue should be around this line of code (before it actually)

https://github.com/dougransom/vix_utils/blob/1b231b2c7fc44ae84584496940ac068139a2e55b/src/vix_utils/vix_futures_dates.py#L184

but i have not been able to pin point it

I don't think that roll period calendar days is the main issue. There are plenty of good weights with it being zero

[dougransom]

Working on this in branch https://github.com/dougransom/vix_utils/tree/weights.

So far some refactorings, so we can debug the logic that generates the weights on a small subset of dates.

[dougransom]

The orginal code was far off the documentation. I think I am close to resolving …

[dougransom]

Closer still, it might a week or two though before I complete it. There is an edge case on Wednesday of Vix Future Expiration. That is the front month (at least I think it is), but on those days, for the purpose of S&P 500 VIX Short-Term Futures Index, the front month is the following expiration.

[dougransom]

I think it is working now, try vixutil -w w.xlsx.

Note the weights are for three expirations, since there are a couple days where the front month may not be included in VXX etc. (instead it is the following two months). It happens the day before and day of expiration.

[dougransom]

The latest on PyPi has this fix now 0.1.7.

[gnzsnz]

thanks a lot!

so now front month goes to zero the friday before expiration. it makes sense to me.