Author Archives: Berlinda Liu

Contango and Roll Cost

  Although VIX spot is generally mean reverting, the S&P 500 VIX Futures indices are return generating time series that trend down for the majority of their history. This downward trend is particularly obvious in the Short Term index. This is because the price received from the sale of the shorter term contract is generally less than […]

VIX futures indices only track a fraction of VIX spot return

It has been widely observed that the S&P 500 VIX Short Term and Mid Term Futures indices track only a fraction of the VIX spot return. For example, on 8/8/2011, in response to the US Teasuries downgrade, the S&P 500 fell 6.88%, the biggest drop in 2011 (fingers crossed!). On the same day. VIX spot […]

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