VIX futures decoupled from underlying around the end of March?

  • the VIX is by definition the square root of the variance swap rate implied by SPX options
  • current VIX futures (with maturity T) prices are between the forward volatility swap rate and the forward-variance swap rate over the period (T,T+30/365).
  • The instantaneous variance of SPX , V(t), is a linear function of the square of VIX.
 
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stochastix said:
At the risk of giving myself more competition (yeah right, who here is gonna implement this?)

http://cermics.enpc.fr/~guyon/docum...nPuzzleSolved_Slides_QuantMinds_15May2019.pdf

https://poseidon01.ssrn.com/deliver...3118106107066080074103087120090119024&EXT=pdf

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3397382

More...

I cant handle the high-resolution video. Too many damn pixels that arent porn freaks me out.

https://arxiv.org/abs/2001.01789

The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem
Jim Gatheral, Paul Jusselin, Mathieu Rosenbaum
Fitting simultaneously SPX and VIX smiles is known to be one of the most challenging problems in volatility modeling. A long-standing conjecture due to Julien Guyon is that it may not be possible to calibrate jointly these two quantities with a model with continuous sample-paths. We present the quadratic rough Heston model as a counterexample to this conjecture. The key idea is the combination of rough volatility together with a price-feedback (Zumbach) effect.
 
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