Just a quick script to show the actual movement ration between UVXY and its VIX futures basket.
The advertised reference value of 1.5 is shown as well.
The basket is hardcoded for now. Depending on how the underlyings of UVXY change, this might have to be configurable.
The advertised reference value of 1.5 is shown as well.
The basket is hardcoded for now. Depending on how the underlyings of UVXY change, this might have to be configurable.