VIX Above Average Contango

[draft730]

Front month VIX is trading 27% above spot VIX. Is this normal? What is the average premium 25 days before expiration?

 

[sle]

do the tests - historical data is on the CBOE website

 

[stepandfetchit]

VIXcentral may be easier to extract the info you seek. "http://vixcentral.com/"

 

[draft730]

thanks a lot...

 

[El OchoCinco]

contracts just rolled over on wednesday, look at where AUgust was trading on Tuesday

 

[draft730]

What I basically need is a hypothetical constant maturity (30 days) contract against spot. That would be really useful. I need a combination between front month and second month. This is similar to the way VXX is trading

 

[stepandfetchit]

While not a 60 days value (my guess at what you mean by constant maturity 30 day contract against spot), have you considered looking at VXST (9D), VXV (90Day), VXMT (6Mo) etc, for fixed days to maturity IV data? These are not futures, but may give "constant maturity" reference points that may be helpful.
Below is from a study I use in tos for an example:

 

[draft730]

my goal is to assess whether a VIX future contract is relatively "over/undervalued" based on the premium it is trading over VIX. VXST,VXV and VXMT are indices calculated from implied volatilities of options, exactly like VIX. So, I guess they are not helping much.

 

[El OchoCinco]

VX moves independantly from VIX because VIX is actually calculated from options priced in the market while VX is based on expectations of volatility. If VIX spikes and expectation is vols will pull back, VX will not move really.

 

[cdcaveman]

a low over all curve, and market holding oct over front contracts...