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|Trading VIX Derivatives
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Trading VIX Derivatives – Book
In addition to trading the VIX curve using VIX futures or VIX options, it is possible to combine the two instruments into a calendar spread. Taking a position VIX index options with one expiration date and VIX futures with a different expiration date could result in a more favorable risk profile than a spread using all one or another type of options contract.
Remember, VIX options and futures do not match up one for one. VIX options contracts represent $100 times the VIX index, while VIX futures contracts represent $1,000 times the index. This relationship will be covered before getting into a couple of strategies. Following this comparison, a variety of possible strategies using a combination of VIX options and futures will be introduced.
Trading VIX Derivatives – Book PDF
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