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countblessings
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Joined: June 7th, 2012, 11:05 am

VIX Options Term Structure

June 7th, 2012, 7:55 pm

Please refer to this chart that shows the term structure of VIX Futures:http://www.cboe.com/data/volatilityinde ... s.aspx.Can anyone explain what this indicates?My interpretation is that the market expects future volatility to go up in the coming months.P.S. Separately, the above is the Options term structure. Does anyone know where the VIX Futures Term structure may be found?
 
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mdubuque
Posts: 2411
Joined: July 22nd, 2004, 9:04 pm

VIX Options Term Structure

June 9th, 2012, 2:57 am

I'm really hesitant to comment deeply without knowing how they are differentially weighting the values of in the money and out of the money options here.Theoretically, aren't the out of the moneys more interesting but less accurate due to larger bid/ask spreads?Also, time should be discounted differentially, unlike the formula used to calculate these indices; we are all social mammals, after all.
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