Tuesday, October 30, 2018

Synthetic VXX 2006 to Present

Synthetic VXX prior to 2010

VXX hit a low in early 2007 at a synthetic price of 25k.  During the 2009 low it went to a synthetic high of 162.5k.  This was nearly 550% above the all time low and took nearly 4 years to recover.

https://flare9xblog.com/2017/12/02/vix-term-structure/


Assuming a short VXX position held through that bear market the following would not have led to a margin call.  





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