When VIX-linked ETPs roll to the next month, they sell front-month futures on the volatility gauge to buy second-month ones. And when that activity becomes a larger portion of overall futures trading, it could have a bigger influence on the level of the index itself. The current impact of ETP rebalancing on the front VIX future is about 20% of daily volume on the index’s contracts, “just smashing the VIX future,” according to Nomura Cross-Asset Strategist Charlie McElligott.
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