What you refer to "out of line" isnt necessarily a divergence from fairval. VIX curvature isnt always linear whether in backwardation or contango. I've seen \_/ curves, /\/\ curves, \/\/ curves, \_ curves, you name it. Even if we assume that "fairval" is model independent, many factors influence the exact shape of the curve i.e. proximity to cash, FOMC meeting, supply/demand(illiquid months), etc. There are sometimes divergences that are tradable but this isnt one of them. The Nov contract is the front month contract and given the distance to cash and the fact that we have an important FOMC date before expiry it is pricing "expected" vols accordingly. There is no arb here, nor is there any edge present anywhere on the current VIX curve.
You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Strange Vix Futures values?
- Thread starter fisho
- Start date
What you refer to "out of line" isnt necessarily a divergence from fairval. VIX curvature isnt always linear whether in backwardation or contango. I've seen \_/ curves, /\/\ curves, \/\/ curves, \_ curves, you name it. Even if we assume that "fairval" is model independent, many factors influence the exact shape of the curve i.e. proximity to cash, FOMC meeting, supply/demand(illiquid months), etc. There are sometimes divergences that are tradable but this isnt one of them. The Nov contract is the front month contract and given the distance to cash and the fact that we have an important FOMC date before expiry it is pricing "expected" vols accordingly. There is no arb here, nor is there any edge present anywhere on the current VIX curve.
Quote from MTE:
I doubt the market makers and all the institutions that trade VIX futures have just out of the goodness of their hearts decided to leave some free lunch for you.
MTE market makers and institutions are on every market so why do you trade at all ? I agree that there are not ARBITRAGE opportunities but all other strategies try to get a probabilistic edge ...
ciao a tutti
Quote from fisho:
MTE market makers and institutions are on every market so why do you trade at all ? I agree that there are not ARBITRAGE opportunities but all other strategies try to get a probabilistic edge ...
ciao a tutti
Hold on a sec. First you claim it to be an arb and now you're saying it's not!? You said it yourself in the intial post:
Quote from fisho:
VIX: 18.51
VIX NOV: 21.32
VIX DEC: 20.98
Is it normal ? There are dividends or what?
There are srategies to take an edge on this behaviour if it is not the fair values.
Fisho
"not fair value" is defined as ARB, unless you have some other definition for it!?
My point was regarding no ARB, nothing else!