Does anyone have this indicator for thinkorswim? It calculates and tracks the vix roll yield and helps when trading vol etps like VXX UVXY and the like.
https://www.tradingview.com/script/RwmvhT5T-vix-roll-yield/
Defi Yield Protocol(DYP), a leading provider of Decentralized Finance (Defi) products and services, has announced the launch of its Buyback program. The program, which went live yesterday, August 4, 2021, at 13:00 UTC. Full story
Let's say I can predict tomorrow's VIX perfectly. But I can't trade the VIX, I can only trade futures on the VIX (or ETFs of a basket of futures of the VIX). VIX futures are almost always in contango (they trade above the spot). When I think VIX will go down then this is an easy trade as it will usually go down anyway. But when I think the VIX will go long then roll yield will work against me as I am not trading the VIX, I am trading the future of the VIX. So, how can I counter-effect this so I don't have roll yield work against me when I go long?
Each month, USO has to rollover their futures contracts (because as an ETF they don't want to take physical possession of barrels of oil). They do this over a 4 day period and this simply consists of selling their near month contracts (MAY20) and buying the next month (JUN20) contracts. When the near month contracts are lower in value than the next month – that's when you end up in “contango."
As we are in the midst of the April rollover (7-Apr-2020 to 13-Apr-2020) the current USO holdings look like this:
67,844 NYMEX WTI Crude Oil CL MAY20 @ $22.76
56,420 NYMEX WTI Crude Oil CL JUN20 @ $28.82
During the current rollover USO has been selling their May contracts @ 22.76 and purchasing June contracts for $28.82. This results in negative roll yields – meaning they end up with fewer contracts in the new month.
For example – when you sell 100 May contracts at $22.76 you can only purchase 78 June contracts at $28.82. And as time goes on and the “next” month contracts are consistently higher than the “near” month contracts – USO falls further behind oil price increases.
Such as if oil goes to $40 prior to the rollover – the 100 contracts would be worth $4000. If oil goes to $40 after the rollover – 78 contracts would only be worth $3,120. And over months this can add up quickly.
Once Tuesday arrives – USO will be completely tracking the JUN20 oil prices – which currently sit at $28.82.
While a rise in oil prices from $22.76 to $28.82 (26% increase) on Monday would be nice – a little over half of USO’s holdings are already oil contracts priced at $28.82.
The difference tomorrow between MAY20 & JUN20 prices will be important to pay attention to for those interested in holding USO longer.
Just keep all this in mind as you are determining how to play USO. The next roll over dates are not until 5-May-2020 to 8-May-2020.
http://www.uscfinvestments.com/uso
Further reading:
https://www.bloomberg.com/news/articles/2020-03-30/oil-etf-seen-as-tourist-trap-with-crude-trading-in-the-20s?srnd=etfs
EDIT: Here's an example of prices that give you an idea of the long term value decay with USO.
OIL
5/23/2016 - $48.08
12/31/2019 - $61.06
USO
5/23/16 - $11.68
12/31/19 - $12.81
And during this time frame the highest point oil reached was $74.34 while the peak of USO was $15.69.
Hear me out and tell me where I'm wrong. One benefit of an ETN is that the bank doesn't need to own assets. They just promise to redeem the note for an amount determined by the index they create. And my understanding is that an index is just an indicator of value- it just tracks the value of a defined set of assets without owning or trading anything. As it relates to commodities, this means banks don't need to buy and roll futures contracts.
If all this is true, why don't banks issue ETNs with indices that track the spot price of commodities (I'm specifically thinking of oil) and reset the price each month based on the front month's futures contract? Why are all the ETNs I've seen tethered to a rolling futures contract that is subject to roll yield? I'm sure there are investors who see this as a feature, but as we saw in March, it's indisputable there are a boatload of retail investors who wish they could invest in the spot price of oil without having to deal with contango. I figure if the ETN structure could accomplish this, then someone would have already done it. So why can't it? Why can't an ETN like this exist (as essentially an exchange-traded gambling slip)?
By negative in this sense I don't mean "bad", but rather an "absence". I feel like a lot of what I've personally played through, when you get a low rolls nothing happens. You don't find anything on that low perception check, you can't tell if they're lying or not from that low insight check, etc. This leaves the player with nothing to work off of and they feel like they wasted their time. I think a way to address this would be to throw in false positives every now and then. That low perception check now leads you to find a very suspicious looking rock on the side of the road, but really it's just a rock. Or that insight check, now you're 100% sure the NPC gave you a fake name, even though they didn't. This leads to more RP possibilities and allowing the player to work with something, instead of just shutting them down with a "you find nothing".
