# Tag Info

### Pricing VIX Futures

Heston - Change of measure Consider the following Heston dynamics written under the real world measure $\Bbb{P}$ \begin{gather} \frac{dS_t}{S_t} = \mu_t dt + \sqrt{v_t} dW_S^{\Bbb{P}}(t),\ S(0) = S_0 \...
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### Derivation of VIX Formula

The piece you are missing is an approximation via the Taylor formula of the logarithm: $$\ln(1+x) \approx x-\frac{x^2}{2} \; .$$ Apply this to the first term in the final formula of the technical ...
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### Is the VIX more similar to a volatility swap or a variance swap?

The price/value of the VIX index is more akin to the strike/price of a variance swap expressed in vol units than to the strike/price of a vol swap. However, if you are to trade a VIX future (i.e. a ...
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### How was the old VIX calculated?

There were two changes to the VIX; the first change in 2003 that switched from S&P 100 options to S&P 500, and from implied volatility to variance swap method. The second change was in 2014 ...
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### What does the VIX formula measure and how does it work?

The other answers have given a good qualitative description of what the VIX measures. In this answer, I will try to give a comprehensive quantitative overview of how the VIX formula works. What is the ...
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### What is the appropriate benchmark for a Long/Short VIX futures strategy?

If your strategy truly has no directional bias, then the benchmark should be cash (ie whatever you would earn using the capital in your trading account and taking no risk).
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### Why not just be long VIX and wait for the next volatile period?

Put simply, VIX is a spot index (fair value to a variance swap on SPX of constant maturity) that you cannot own as a security. Market participants create futures for you to trade. Futures trade higher ...
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### Futures short interests vs open interests

The Bloomberg ticker "CVXCTNCS Index" is the CFTC commitments of traders report for short positions of non-commercial traders, i.e. traders categorized by the CFTC as not having a commercial interest ...
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### Correlation Gold and SPX in BBG

I do not think that you were terribly wrong thinking that gold and SPX (or equity market in general) are negatively correlated. The reason behind this is that gold and stocks are in fact negatively ...
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### Relationship between VIX and Vega

Vega is the option's price sensitivity to the volatility (i.e. IV). In the graph below, vega is shown to be a strictly positive function in volatility, which means that at any point in the graph (i.e. ...
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