1
$\begingroup$

Question, pretty much says it. Is there a reliable place where this data can be found or, if not, is there a reliable place where the underlying data needed to calculate the constant maturity price could be found?

Many thanks.

$\endgroup$
  • $\begingroup$ You have to linearly interpolate between two futures, one with maturity less than a month (the nearby VIX future) and one with maturity greater than a month (the second nearby). Documents about VIX ETFs explain this calculation in detail with examples. The Vix futures trade on the CFE/CBOE exchange. $\endgroup$ – Alex C Feb 18 '16 at 3:42
  • $\begingroup$ It is all explained [here](us.spindices.com/documents/methodologies/methodology-sp-vix-future-index.pdf?force_download=true) $\endgroup$ – user189035 Sep 21 '16 at 13:29

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.