New answers tagged vix
0
OK, so PHYSICAL commodities typically have a term structure for one of two basic reasons:
(1) that commodity is seasonal in nature. Take a look at the NatGas strip for the next 5 years. Ditto vagaries in the harvest of Brazilian coffee, Iowa wheat, or Florida FCOJ (a la Trading Places).
(2) sometimes, that term structure is not purely seasonal. NatGas ...
0
Here is a library vix_utils that might be useful for pre-processing the term structure to one with a constant maturity.
3
It is the at the money forward (ATMF) contract rather the at the money (ATM) contract that has roughly 0.5 delta. For stocks the difference is not so big between the ATMF and ATM contract since
$F = Se^{(r-d)t}$. However, this is not the case for VIX. For example, the forward (future) of VIX is now around 30 for the April contract (which has 63 days to ...
Top 50 recent answers are included
