Unlike most underlyings, UVXY’s price is derived from the price changes in VIX futures (/VX). This is often confusing to traders that are accustomed to supply and demand factors to arrive at an agreed upon price by buyers and sellers. The formula is straightforward and relatively easy to calculate using the following inputs::
- UVXY’s previous day’s end of day Net Asset Value = NAV
- Percent changes in /VX month 1 (front month) and month 2 (M1C & M2C)
Those VX percent changes need to be ratioed so that their combined expirations equal 30 days. This can be done either by a calculation of days remaining until their respective expirations, or you can visit ProShares.com and grab the contracts held for each under the Holdings section = M1H, M2H
The resulting percentage change is then multiplied by 1.5 to represent the levering of UVXY and then multiplied by the NAV
(((M1H/(M1H+M2H)*M1C)+(M2H/(M2H+M1H)*M2C))*1.5*0.01+1)*NAV = UVXY’s current price
This will give you the Intraday Value, NAV, or UVXY.IV. The ticker UVXY.IV is calculated every 15 seconds but only during the regular session (starts printing 30 minutes before and until 30 minutes after regular session) If you wish to see what UVXY WOULD be valued at when /VX is trading, you’ll need to calculate this for yourself.
Still looking for a reasonably price data feed to publish this calculation live.