Vix Futures & Term Structure

An ongoing topic of research for me is analyzing the term structure of VIX futures and creating a trading model to profit from movements, similar to interest rate traders and commodity spread traders. My first project was to analyze the premium/discount over time. I compiled the average, maximum, and minimum values for the spread:

Vix Term Structure

We can conclude that the curve on average is in contango, with back months at a higher premium then near months, and that the premium decays exponentially. We can also see that a premium of 6 is maximum across duration however the discounted premiums are much wilder. The next process would be to identify the spreads and butterfly prices over time to find a pattern.

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~ by largecaptrader on August 23, 2009.

One Response to “Vix Futures & Term Structure”

  1. Good article. I definitely appreciate this website.
    Stick with it!

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