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VIX futures calendar spreads
Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.ORCID iD: 0000-0003-1216-1381
2018 (English)In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 38, no 7, p. 822-838Article in journal (Refereed) Published
Abstract [en]

A VIX futures calendar spread involves buying a futures contract maturing in 1 month and selling another one maturing in a different month. VIX futures calendar spreads represent a daily turnover above 500 million dollars, or roughly 20% of the total VIX futures trading volume. Speculation, rather than information about changes in the slope of the volatility term structure, is the main driving force behind calendar spread trades. On average, a calendar spread costs a little less than $100 (about 15 basis points). If settled at the end of the trading day, 43% of the calendar spreads are profitable.

Place, publisher, year, edition, pages
2018. Vol. 38, no 7, p. 822-838
Keywords [en]
calender spread, term structure slope, VIX futures, volatility
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-157090DOI: 10.1002/fut.21886ISI: 000434416800006OAI: oai:DiVA.org:su-157090DiVA, id: diva2:1215568
Conference
2017 Auckland Derivatives Market Conference, Auckland, New Zealand, 10-11 August, 2018
Available from: 2018-06-08 Created: 2018-06-08 Last updated: 2018-06-25Bibliographically approved

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Hou, Ai JunNordén, Lars L.
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