Strategy #0000000040 · Volatility and term structure
VIX futures basis and term structure
Separate term structure and roll direction; the curve does not dictate spot VIX.
VIX futures reference a future VIX settlement, not spot VIX. Near futures below deferred contracts is contango and can create negative roll pressure for long exposure; backwardation can reverse it. Product returns also include futures-price moves, collateral yield, fees and roll rules.
The near/deferred gap describes two futures quotes; realised roll also depends on spot VIX and curve changes.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
How does the near-to-deferred VIX futures spread affect a long-roll scenario?
Rose sees the deferred future at 20 and near future at 18. Rolling a long position linearly from the cheaper near future toward the more expensive deferred contract creates negative roll arithmetic.
Jack treats this as a forecast that spot VIX will fall. Rose explains that the curve reflects risk premia and supply/demand; it does not independently predict spot VIX.
The scenario calculates only the assumed term-gap roll component. It does not replay futures, spot VIX, collateral return or an actual product path.
- Near future assumptionMultiply term spread by a linear-roll fraction to estimate long/short roll component.
- Deferred future assumptionExcludes spot VIX, daily futures moves, curve reshaping, collateral yield and actual index-roll rules.
- Ten-day assumed long rollIllustrative expiry outcome.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
Roll_{long}\approx-(F_{far}-F_{near})\cdot days/Horizon
Fnear and Ffar are near and deferred futures at one time. Horizon is a linear-roll scenario denominator, not a contract rule. Short exposure reverses the sign.
Greeks: the directional intuition
- 期限基差
- Measures sensitivity to implied volatility.
- 展期規則
- Measures sensitivity to implied volatility.
- 跳升風險
- Measures sensitivity to implied volatility.
Roll_{long}\approx-(F_{far}-F_{near})\cdot days/Horizon
Practical context · published observations
VIX futures basis and term structure: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
未計 spot VIX、每日期貨變動、曲線重塑、抵押品收益或實際指數展期規則。 Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Related methods change their signal or exposure.
Each entry states the mechanism and trade-off.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Fixed-maturity VIX future | Single contract | Holds one tenor rather than continuously rolling. | Expiry convergence and roll need management. |
| VIX futures calendar spread | Relative maturity | Long near and short deferred, or vice versa. | Leg sensitivities and margin differ. |
| VIX ETP | Rules-based roll | Tracks a constant-maturity futures basket. | Fees, collateral and tracking error accumulate. |
Excludes spot VIX, daily futures moves, curve reshaping, collateral yield and actual index-roll rules.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.
- 01Cboe, VIX Futures.primary
- 02Cboe, VIX Index Methodology.primary