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I would like to calculate the term structure of the VVIX index.

Only way I have found so far is forecasting historical prices N months out.

Any other idea?

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    $\begingroup$ Cboe calculates VVIX term structure values for all VIX option expirations. $\endgroup$
    – AKdemy
    Feb 8, 2022 at 0:59
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    $\begingroup$ From CBOE web site: "Does Cboe calculate a term structure of the VVIX? Cboe calculates VVIX term structure values for all VIX option expirations. The VVIX term structure value associated with a specific expiration, e.g. April 2012, measures the expected volatility of the price of April 2012 VIX futures. The term structure of VVIX is usually downward sloping. How often is [it] published? The Cboe publishes the VVIX every 15 seconds and its term structure daily at the close" cboe.com/us/indices/dashboard/vvix $\endgroup$
    – nbbo2
    Feb 8, 2022 at 10:21
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    $\begingroup$ In summary: at S&P option dates you can calculate points on the S&P vol term structure and at VIX option dates you can calculate data points of the VVIX term structure, using the respective option prices. $\endgroup$
    – nbbo2
    Feb 8, 2022 at 10:25

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