VXX - M1:VIX Roll Yield Metric For Volatility ETP Trading

I've introduced a few volatility metrics that people may find useful in their volatility ETP trading such as M1:M2 VIX futures contango and M4-M7 VIX futures contango. Feel free to review those at your leisure, but today I'm going to keep going and outline another very important metric to understand because it is getting more specific to how the volatility ETPs actually derive their price.

I call it M1:VIX roll yield.

In the volatility space, we often throw around terms like contango, backwardation, M1:M2 VIX futures, M4-M7 VIX futures, etc. These are all terms

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