How to compute greeks of vix futures

[bologeorge]

Suppose vix spot is the underlying. The vix futures move as the vix spot moves.They could be considered as a non-linear derivative of vix index. And they have some similarity with an ATM option: the time decay becomes faster and faster as it comes to expiration, and the delta also becomes bigger.

I just want to know, if there are any mathematical method to compute the delta and theta of vix futures?

 

[1245]

Quote from bologeorge:

Suppose vix spot is the underlying. The vix futures move as the vix spot moves.They could be considered as a non-linear derivative of vix index. And they have some similarity with an ATM option: the time decay becomes faster and faster as it comes to expiration, and the delta also becomes bigger.

I just want to know, if there are any mathematical method to compute the delta and theta of vix futures?

The VIX future is the underlying, not the cash. You have to make an adjustment if you platform does not.

 

[cdcaveman]

Vix futures would trade at a slight premium to a basket of options of the same expiration.... Therefore one could conclude that a vix future would erode similar to a basket of options at the same expiry always maintaining a premium... The premium comes from the extra costs of extracting vol from the options... IE delta hedging slippage commissions etc... So my first guess would be look at the theta of the ATM straddle of spx for a corresponding expiration... Use that roughly...