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Sorry, I should have though more before posting this question. By the way, the payoff of a call option on VIX index, priced at time $t$, with maturity at time $T$, is \begin{equation} (VIX_{T} - K)^+ \end{equation} and since the time $t$ strike of a VIX futures with same maturity $T$ is \begin{equation} F_{t,T} = E^{Q}[VIX_T \big| \mathcal{F}_t] ...



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