VIX futures expiry on 21 Aug.
VIX curve in very steep contango up to October.
Is there any evidence of this providing a market timing tool of any worth?
Thanks
1 Answer
$\begingroup$
$\endgroup$
0
VIX futures is the market pricing where the next 30-day realized volatility will be at that expiry. So for example,
VIV24 the Oct 16 2024 VIX contract is at ~18.16, significantly higher than near term (VIU24 the Sep 18 2024 future at 15.68, the almost expired VIQ24 with 2 days left at 15.26, the spot VIX at 14.80) because it covers S&P 500 RV in the period Oct 16 to Nov 15 and this 30 day period includes the US election happening on Nov. 5, 2024.
