UVXY跟踪的是未来二个月的VIX期指

来源: 于 2013-02-20 14:11:54 [博客] [旧帖] [给我悄悄话] 本文已被阅读：次

http://www.cboe.com/DelayedQuote/DQBeta.aspx

1.49/(15.4-1.49)=10.71%
1.02/(16-1.02)=6.81%
(6.81%+10.71%)/2=8.76%
8.76%*2 = 17.52% 

UVXY今天的涨幅为17.69%，另外期指的收盘时间UVXY的收盘时间不一样

 

VX H3-CF S&P 500 VOLATILITY March2013 16:36:26 15.40 1.49 13.95 15.40 13.80
VX J3-CF S&P 500 VOLATILITY April2013 16:36:25 16.00 1.02 14.95 16.00 14.80