Hi!
I have a VIX futures trading algorithm and would like to perform Monte-Carlo simulation of VIX and understand how my algorithm performs on each simulation. In this case, not only VIX should be modeled, but also futures prices. How can I model VIX futures price reaction on VIX spikes, especially backwardation? There are many papers describing Monte-Carlo modeling of VIX, but not VIX futures price reaction to VIX.