Intraday Vix Futures

In previous posts I looked at systems for trading mean-reverting processes. I’d like to think that most people could agree that volatility is a mean-reverting process, though with occasional volatility clustering, so the thought process is why not combine 2 MR securities. Below is an intraday snapshot of front-month and near-month VIX future spread otherwise known as a ‘switch’:

sg2009093070187

The large gap is the result of the contract roll.

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~ by largecaptrader on October 1, 2009.

One Response to “Intraday Vix Futures”

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