Conclusion: M1:M2 VIX futures contango is 15.23% on Apr 15, 2019, which is the 95th percentile of all previous values. All things being equal, this may be a tailwind for a short volatility position, such as long SVXY, short VXX, or long VXX puts. A detailed explanation of contango is available here: “VIX contango explained.” The VIX contango is currently around 10%. That's the price difference between today's VIX and next month's VIX. This means that volatility ETPs, like the iPath S&P 500 VIX Short-term Futures (VXX) VXX, -4.66% have to go up about 10% over the next month just to S&P 500 VIX Futures Overview. This page contains data on the CBOE VIX Index Futures CFDs. The Chicago Board Options Exchange Volatility Index is a popular measure of the implied volatility of S&P 500 index options. A high value corresponds to a more volatile market. The fact VIX has a very large contango (right now a % carry of 10%/month) has to do with rational risk premium. The net supply of stocks is 1, so on net investors are long the stock market. They want to hedge this risk by going short, so they buy VIX futures (which are correlated -0.7 with the stock market). VIX Futures Data. Chart data below is delayed 2 days. Viewing current data requires a Subscription or Day Pass. A view of the VIX Futures closing prices over the previous six months: Actual market volatility vs forward implied volatility.
15 May 2019 You can see in that chart out to the far right that current M1:M2 VIX futures contango isn't as high as it gets right now as the traditional method
16 Jul 2019 Such strategies work well during periods when volatility futures are in contango, i.e. when the longer dated futures contracts have higher prices than The chart of the compounded value of the VXX and VIX futures contract 29 Nov 2016 Contango: Upward-Sloping VIX Futures Curve. The following chart demonstrates what an upward-sloping (contango) VIX term structure looks 24 May 2019 What VIX Term Structure is; Key terms such as Contango and Most of the time financial futures, such as VIX Futures, are in Contango. The chart below shows the VIX Term Structure on August 9th (blue) and August 10th 2 Jun 2017 The VIX is a supposed “volatility index”, but it does not really Usually that works out well for XIV investors who get to harvest that “contango”. The price of the highest VIX futures contract is shown in the top chart on an
27 Feb 2020 iPath Series B S&P 500 VIX Short-Term Futures ETN(CBOE:VXX): the form of contango in which longer-dated futures trade at a premium to
29 Nov 2016 Contango: Upward-Sloping VIX Futures Curve. The following chart demonstrates what an upward-sloping (contango) VIX term structure looks 24 May 2019 What VIX Term Structure is; Key terms such as Contango and Most of the time financial futures, such as VIX Futures, are in Contango. The chart below shows the VIX Term Structure on August 9th (blue) and August 10th
1 May 2019 Contango / backwardation: The reason viewing VIX futures graphed on a chart is so useful is because it allows us to view at a quick glance the
Get VIX and VIX Futures live and historical data, analytics, trade alerts and other and help investors identify opportunities to exploit futures contango rollover in Unlocked Screener & Advanced Charts; 400+ uncommon trading strategy ideas; New When the VIX futures curve is upward sloped (in contango), the VIX is
1 Jul 2019 The difference between future and cash prices is often called roll yield, and it is positive when the VIX futures term structure is in contango
27 Nov 2012 The S&P 500 VIX Short-Term Futures™ Index TR is designed to provide access to as long as the CBOE VIX futures curve remains in “contango.” also provided comparison charts for each year respectively since 2009. vix