vxfutures

NaughtyPines NaughtyPines VIX, D,
VIX: WHAT VIX, /VX, AND VIX RELATIVE TO /VX TELLS AND DOESN'T TELL US
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VIX, D
WHAT VIX, /VX, AND VIX RELATIVE TO /VX TELLS AND DOESN'T TELL US

I frequently look at VIX pricing relative to /VX futures front month pricing to determine whether "local volatility" (i.e., volatility on time frames less than /VX futures back months) is "overpriced." So, what do VIX, /VX futures, and VIX pricing relative to the futures tell us? VIX was 16.19 at Friday market close vs. /VX Nov futures priced at 16.64; Dec at ...

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