Updates To XIV And ZIV Roll Yield Calculations; List Of Number Of Days In Remaining 2013 Roll Periods

I made a slight adjustment to the calculations of the roll yield per week for XIV and ZIV on the VIX Futures Data page. The values shown now factor in the exact number of days in the roll period (previously the calculation used a constant 21 days as an approximation).

The impact of this change is a reduction of the yield estimates that were reported yesterday by about 0.2% since the roll period for ending May 21st contains 25 days.

Below is a list of the number of days in the remaining roll periods this year.
- Ending June 18:   19 days
- Ending July 16:    19 days
- Ending Aug 20:    25 days
- Ending Sep 17:    19 days
- Ending Oct 15:    20 days
- Ending Nov 19:    25 days
- Ending Dec 17:   19 days

For more information on roll yields see this post.