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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?


marked as duplicate by Quantuple, Bob Jansen Mar 30 '17 at 15:10

This question has been asked before and already has an answer. If those answers do not fully address your question, please ask a new question.

  • $\begingroup$ 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. $\endgroup$ – RockScience May 25 '11 at 1:45
  • 3
    $\begingroup$ How is this different than Trading a synthetic replication of the VIX index? $\endgroup$ – Joshua Ulrich May 25 '11 at 22:50
  • $\begingroup$ Agree with Josh. This is an exact duplicate. Voting to close. $\endgroup$ – Louis Marascio Sep 9 '11 at 13:45

Here are some older answers:

Trading a synthetic replication of the VIX index

SPX options vs VIX futures trading


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