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 Data
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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.
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.