VarSwaps - VIX etc.

Y

Ykroxor

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 replication of the VIX Futures with options ? How would you do it ?

Thanks a lot,

Ykroxor
 
atticus is the resident expert on this stuff so hopefully he will drop by, otherwise, VIX options are priced off VIX futures so replicating them is pretty straight-forward.
 
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