categories
Recent Comments
- Russell Rhoads on Record VIX Futures Volume
- Wednesday’s Best Of The Web | Options trading IQ on Technical Outlook: VIX Showing Complacency. Really?
- Mark on Record VIX Futures Volume
- Latest S&P 500 News | Wall Street Stocks on VIX Up 12.6%, as 20 Vol Indexes Rose Today
- Black Swan tail risk | Wall Street Stocks on Tail Risk Protection to be Discussed at 3-Day Conference in Ireland
tags
Berlinda Liu BXM CBOE equity volatility ETFs ETF Volatility Index ETNs ETPs Futures and Options GVZ Implied Volatility Matt Moran Options OVX S&P 500 S&P Dow Jones Indices S&P Indices SPX VIX VIX Futures Volatile Volatility VVIX VXAPL VXAZN VXEWZ
WP Cumulus Flash tag cloud by Roy Tanck requires Flash Player 9 or better.
subscribe to email updates
authors
Quick Links
Blogroll
Stay Connected
Archives
VIX futures indices only track a fraction of VIX spot return
It has been widely observed that the S&P 500 VIX Short Term and Mid Term Futures indices track only a fraction of the VIX spot return. For example, on 8/8/2011, in response to the US Teasuries downgrade, the S&P 500 fell 6.88%, the biggest drop in 2011 (fingers crossed!). On the same day. VIX spot [...]