isn't the underperformance of VIX ETN in 2024 due to, in large part, the fact that VX futures were in backwardation a lot of time after the August crash?
Well it really depends how you look at it (will restack with a few charts cause can't attach in comments), main problem for the ETP's was the whipsaw in August, fixed vega notional sizing actually closed year at near highs. Entire term structure shifted higher and yes we did spend alot of time post July in backwardation but the periods of contango we had were much larger (its just that vx30 refused to close the gap until after elections.)
isn't the underperformance of VIX ETN in 2024 due to, in large part, the fact that VX futures were in backwardation a lot of time after the August crash?
Well it really depends how you look at it (will restack with a few charts cause can't attach in comments), main problem for the ETP's was the whipsaw in August, fixed vega notional sizing actually closed year at near highs. Entire term structure shifted higher and yes we did spend alot of time post July in backwardation but the periods of contango we had were much larger (its just that vx30 refused to close the gap until after elections.)