回复@zhejianghu: 稍稍纠正一下，VXX是VIX最近两个future组合得来，每天都会rebalance一下卖掉一点近期的future来买稍远期的future，正常市场环境下VIX term structure是一个contango，远期比近期贵，所以每天不停的卖掉变得更便宜的近期去买更贵的远期导致carry loss，从而VXX跟VIX相关性小于1，0.5是一个通用说法但正常的低波动环境是0.4而在短期的VIX spike up情况下相关性会到达0.7左右//@zhejianghu:回复@Yucheng_Chen:不好意思，晚上才回你。vxx是vix未来3个月合约的加权平均值。跟vix移动不一定同步。
Basically vxx is not meant to track vix. It's designed to track vix futures. Which is not same
历史数据表明vxx只能抓住50% of the daily move in the vix. The vix index should outperform during a rally because traders will not anticipate the vix to be higher in 30 days. Therefore, the vxx would underperform and get crushed. The opposite would be true in bear markets.
Vxx will perform worse than vix under the conditions that the market anticipates lower valatility in the future. Unless you are a future trader. The best way to hedge may simply be buying spy put spreads.