How to calculate the time weighted Vega applicable for a 3 month future contract (Expiring in 82 days)? Vega with S&P500 as base

  • $\begingroup$ I am not sure what you mean by "time weighted" in reference to vega. Where does this term occur? In general 1 VIX future = \$1000 vega, If VIX future goes up 1 point you make \$1000. $\endgroup$ – Alex C May 17 '19 at 17:56
  • $\begingroup$ In order to adjust vega exposure based on expiry the time weighting is done (Nothing but multiplying the same with sqrt(30/expiry) for options) $\endgroup$ – Deepak Ram May 19 '19 at 4:22

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