例外的是VIX Front Month Futures Index,这个指数是只持有最近月的合约,直到到期前3天,再切换到下个临近月份的合约。 毫无疑问,这些合约换月方法在面对VIX这种长期Contango结构的期货品种时都会慢慢失血。 而VXX就是最经典的对标VIX短期期货指数的ETP产品,它采用和这个指数相同的合成方法来拟合VIX期货多头头寸,并每天从...
Created with Highcharts 12.1.0vixcentral.comFuture MonthVolatilityVIX Futures Term StructureSource: CBOE Delayed Quotes16.80016.80017.65017.65018.05018.05018.33018.33018.57018.57018.77018.77019.10019.10019.20019.20015.8715.8718.1318.1313.3913.391...
Wall Street's 'fear gauge' touches 4-month low Dec. 2, 2024 at 2:21 p.m. ET by Joseph Adinolfi S&P 500 futures climb as bullish momentum resumes after Thanksgiving break Nov. 29, 2024 at 5:26 a.m. ET by Jamie Chisholm Options Don’t Fight the Tape. Insure Against It Inst...
VIX futures settlement is based onONEoption series rather than two as in usual VIX index calculation. As settlement is at Wednesday (每个月第三个礼拜三) market open, the 30-day option would be exactly the 3rd Friday next month – the A.M. settled SPX monthly. It usesmarket open transacti...
A VIX futures calendar spread involves buying a futures contract maturing in 1 month and selling another one maturing in a different month. VIX futures calendar spreads represent a daily turnover above 500 million dollars, or roughly 20% of the total VIX futures trading volume. Speculation, ...
For short-term traders: ProShares VIX Short-Term Futures ETF (VIXY).This short-term futures ETF attempts to track the S&P 500 VIX Short-Term Futures Index. The futures contracts owned within the fund expire within one month. This index measures the returns of a portfolio of monthly VIX futu...
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ProShares VIX Mid-Term Futures ETF Price:undefined undefined Change: Category:Volatility Last Updated:Nov 17, 2024 Vitals IssuerProshare Advisors LLC BrandProShares StructureCommodity Pool Expense Ratio0.85% ETF Home PageHome page InceptionJan 03, 2011 ...
1 Month Avg. Volume9,709 3 Month Avg. Volume11,289 Alternative ETFs in the ETF Database Volatility Category TypeSymbolExpense RatioAssetsAvg. Daily VolYTD Return CheapestVMAX0.29%$49.8 M12,32318.29% Largest (AUM)VXX0.89%$335.9 M4 M-28.66% ...
首先题干说VIX futures curve 是 contango 的,contango展示出来的是远月的合约价格更高,换句话说就是2个月到期的合约比1个月到期的合约价格高,3个月到期的合约比2个月到期的合约价格高,是一个upward的形态。 而这里的远月合约,就是trade 1中描述的“back-end month futures”,trade 1中后半句只是描述了这个...