I have VIX futures trading algorithm and would like to perform Monte-Carlo simulation of VIX and understand how my algorithm performs on each simulation. In this case, not only VIX should be modeled, but also futures prices. How can I model VIX futures price reaction on VIX spikes, especially backwardation?

  • $\begingroup$ I think you should also ask this question at Wilmott forums, there's a very good chance you'll get a good answer on this one there. $\endgroup$
    – Yian Pap
    Jul 15 '18 at 20:46

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.