VIX Futures的term structure可以有很多形状,正好我找到一张老早的图:2018年11/1,之所以存了这张图是因为这是我见过的最平坦如直线一般的term structure(绿线),大概很难比这个更直了哈哈。 VIX Futures的term structure 大多数情况下,VIX Futures的term structure会跟底下那根红线一样,随着时间向上走,所谓的Contango...
Follow the VIX term structure graphically in real time. See the extent of the contango or backwardation. Retrieve and display historical VIX term structures all with a simple and intuitive interface.
This study develops a term structure model for VIX futures. Instead of deriving the VIX futures price from a model for the instantaneous variance of the S&P 500 or a model for the VIX, the VIX futures price dynamics are specified exogenously. The empirical features of VIX futures returns (...
Term StructureExpectations HypothesisRole of Derivatives Securities Mis-PricingTests of the expectations hypothesis reveal that the slope of the VIX futures term structure predicts the direction but not the magnitude of the evolution of thSocial Science Electronic Publishing...
The mean reverting nature of volatility has been a key driver of the shape of the VIX futures term structure and the way it can move in response to changes in perceived risk. With multiple monthly contracts, there may be a wide variety of potential calendar spreading opportunities with Mini ...
one of the most commonly repeated strategy ideas i hear for investing in volatility etps such as the ipath s&p 500 vix short-term futures etn ( bats: vxx ) is to base trade decisions on the shape of the vix futures term structure, sometimes just referred to as "the vix board...
fromthispresentationrequiresthewrittenapprovalofS&PDowJonesIndices.UGLYTERMSTRUCTUREINREALITY5Source:S&PDowJonesIndices,Bloomberg.•VIX futures term structure is not always 100% in contangoor 100% in backwardation.•Rolling from shorter term VIX futures to longer term futures may have positive carry in...
到了快交割的时候一般spot都比交割价便宜很多所以这时候卖方受益。如果遇到短期的波动率高峰，VIX futures...
Assuming the shape of the VIX term structure will remain constant over the next three-month period, the trader decides to implement a trade that would profit from the VIX carry roll down. She will most likely purchase the: 选项: A. VIX and sell the VIX second- month futures. B. VIX...
第二,因为VIX期货的term structure非常陡峭,与其直接short VIX期货,不如做VIX futures spread,做spread实际上相当于用一个远期beta小而且decay也小的期货多头对冲了短端的期货空头,通过spread赚取短端basis扩大这一alpha。下图是MS做了一个历史回测,我们可以看到在2004年到2011年这段历史时期,做空1个月的VIX期货的同时...