Tagged Questions
5
votes
1answer
273 views
What are VIX back-month futures based on?
The VIX calculation is a weighted average of prices for front-month out-the-money options on the S&P index.
So for VIX futures, this makes sense for the front month vix futures (being based on a ...
5
votes
1answer
503 views
What is the market standard for pricing VIX futures?
Pricing of VIX futures is complicated, because it is not possible to use a standard
hedging argument to get a value similar to stock futures.
What different approaches for pricing VIX futures exist? ...
8
votes
3answers
836 views
How can one compute the Greeks on VIX Futures
I am guessing the short answer to this question is "use the chain rule and linearity of the derivative," but I am looking for more specific advice on how to compute the derivatives of a VIX futures ...
