8
$\begingroup$

VIX (spot) has very nice features, including mean reversion. We all know that we can't trade VIX (spot). The closest we can get is using front-month future contracts. The problem I have with that is that, in practice, VIX futures are not great at tracking VIX. Is there a way to replicate tradable VIX?

$\endgroup$
3
  • $\begingroup$ By trading the future contracts, you loose the long term mean reversion property. Each time you roll from one future to another, you break the mean reversion. $\endgroup$ May 25, 2011 at 1:45
  • 3
    $\begingroup$ How is this different than Trading a synthetic replication of the VIX index? $\endgroup$ May 25, 2011 at 22:50
  • $\begingroup$ Agree with Josh. This is an exact duplicate. Voting to close. $\endgroup$ Sep 9, 2011 at 13:45

1 Answer 1

4
$\begingroup$

Here are some older answers:

Trading a synthetic replication of the VIX index

SPX options vs VIX futures trading

$\endgroup$

Not the answer you're looking for? Browse other questions tagged or ask your own question.