Recent content by Ykroxor

anybody has an idea pls guys ? Thanks a lot

What I meant was much more, how to replicate vix futures using sp500 options ! Thanks for help :)

Any chance anybody would have an answer on this pls ? Thanks a lot, Jerome

Hi all, Could someone please help me understand how the VIX works and how it is linked to VarSwaps? As far as I can understand it now, it is a constant maturity varswap (30 days). To me this would imply that there is no decay in it...but not sure about this statement. What about the...