Chart: VIX Futures Front Month Daily Roll

As a follow up to VXX in the 'New Normal' I have graphed the VIX futures front month daily roll yield based upon settling prices going back to 2004.  Although charts are available of the VIX short-term futures index historical performance, I have been unable to find a chart of the historical daily roll.  This chart helps visualize how the current consistently steep term structure did not exist in the 'old normal.'  However, late 2006 into early 2007 came pretty close with the cash VIX trading near ten.

The daily roll yield since July 2010 has averaged negative 12%.  This is the lowest 6 month average roll yield since VIX futures began trading in 2004.  For perspective, the average roll yield over the entire graph is negative 5%.

With a single exception on November 6, 2010 of negative 2.5%, the daily roll yield has not breached negative 6.5% since July 6, 2010.

An average of ~5% of the contracts in VXX must be rolled daily (100% of contracts / 22 trading days per month).  VXX provides current contract concentrations updated nightly.  A long-term investor's return in VXX is largely determined by the average daily front month roll yield during the investor's holding period.

Disclaimer: Dataset created via Excel manual process

Source: CBOE settle prices

Note that December 2004, and April, July and September 2005 did not have contracts.  In these cases, I graphed the difference between the two front-most contracts.  Some of the noise in 2004 and 2005 can be attributed to this.

Roll Yield = (Front Month - Second Month)/Front Month * 100

Disclosure(s): Short VXX at time of writing