VIX Futures

VIX Futures Implied Volatility is one of the most important financial indicators to monitor financial risk. VIX Futures Implied volatility is monitored using the VIX and VIX futures term structure slope daily.

VIX Futures Chart

VIX futures

VIX Futures Data

VIX Futures MacroVar Model

VIX Futures Implied Volatility is one of the most important financial indicators to monitor financial risk. VIX Futures Imnplied volatility is monitored using the VIX and VIX futures term structure slope daily.

VIX futures

MacroVar monitors the VIX futures slope using the following process:

  • MacroVar uses end of day prices for VIX spot and VIX futures of 1 monthm, 2 months, 3 months, 4 months, 5 months and 6 months.
  • For each date and for a specific back month the difference between the specific contract and the contracts before it are calculated and averaged. For example the 2 month future contract slope is estimated by calculating the difference between the 2-month future contract and the 1-month future contract, the 2-month future contract and VIX spot, and both are averaged.
  • Once averages for all future back months are calculated, the average is estimated

VIX futures is one of the financial risk indicators used by MacroVar Risk Management model.
Feedback
Feedback
How would you rate your experience?
Do you have any additional comment?
Next
Enter your email if you'd like us to contact you regarding with your feedback.
Back
Submit
Thank you for submitting your feedback!