Volatility Trading and Arbitrage Strategies › Key Parameters
Michael BrenndoerferDecember 30, 20251 min read
Quantitative FinanceAll chapters Part 11 of 15Quantitative Trading Strategies
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The key parameters for VIX products are:
- Spot VIX: The current level of the VIX index, representing 30-day implied volatility.
- Roll Yield: The cost incurred from rolling futures contracts. Negative in contango, positive in backwardation.
- Term Structure: The curve of futures prices across maturities. Shape determines the cost of carry.
- Contango: Market condition where futures prices exceed spot prices, typical for VIX.