VIX Futures & Term Structure II

I didn’t realize or forgot that Bloomberg actually performs automatically roll for the SPG function. This makes life much easier as I was afraid I would have to manually organize and calculate data. Here are the Spreads for 1-2 months and 1-3 months:

VIX 1-2 Futures

1 Month - 2 Month

1 Month - 3 Month

1 Month - 3 Month

Conclusions:

  • The term structure shows a tendency for contango that converges to spot exponentially.
  • Max/Min of the discount/premium has defined limitations as shown on chart in Part I.
  • The front end has the potential to show massive volatility especially with large movements in the underlying VIX as seen in large shock or events (08 being the largest)
  • In most cases however the spreads are nicely bounded around the term structure.
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~ by largecaptrader on August 26, 2009.

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