New answers tagged vix
Remember that VXX is built from options on the SPX. The far-out future is generally more uncertain than the near future, so insurance for the far-out future is more expensive. So far this has been true ~4/5 of the time. The remaining ~1/5 of the time something crazy is going on right now and things are expected to be calmer in the far-out future. ...
I found a blog post that does a great job summarizing the mechanics behind them. Another great article on the relationship between the pair and the future.. Which may have an impact on linearizing the VIX Futures Term Structure?.
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