Edges that make no sense, vol. 1

Was messing around this weekend with a VIX term structure trade: long VIXM (mid-curve VIX futures ETF), short VXX (front month VIX futures ETF), held intraday only.

The baseline trade makes sense as front-month VIX futures tend to converge down to spot pretty consistently, but the back-months do so at a lower velocity, so it can act as a decent hedge.

What we don’t have a reason for is why it’s profitable on every day except Thursdays and Fridays, going back years.