VIX Spot And Forward Decoupling

22 Mar 2012

The VIX has collapsed quite spectacularly. This was explained by the mini sell-off on March 6 followed by a short-squeeze and the technical details of the VIX calculation.

The VIX has collapsed quite spectacularly. This was explained by the mini sell-off on March 6 followed by a short-squeeze and the technical details of the VIX calculation. The VIX is usually interpolated from the S&P500 fair variance using the next two S&P500 option expiries. However, those expiries ...

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