VIX futures calendar spreads

被引：2
|
作者：
Hou, Ai Jun [1 ]
Norden, Lars L. [1 ]
机构：
[1] Stockholm Univ, Stockholm Business Sch, S-10691 Stockholm, Sweden
来源：
JOURNAL OF FUTURES MARKETS | 2018年 / 38卷 / 07期
关键词：
calendar spread; term structure slope; VIX futures; volatility; COVARIANCE-MATRIX; TERM STRUCTURE; OPTIONS; STOCK; STRATEGIES; VALUATION; MARKETS;
D O I：
10.1002/fut.21886
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：822 / 838
页数：17
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