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Total Posts: 15
Joined: Aug 2012
Posted: 2012-10-04 18:57
jgillsny (at) would be great. I will take whatever you've got available. thanks


Total Posts: 140
Joined: Apr 2007
Posted: 2012-11-27 23:58
Just started to look at vix futures so forgive me if I say something stupid. It was tempting to throw some fi-style models at it. First thing came to mind was Nelson-Siegel just because it's probably the simplest. Backtest (b-fly) was not good. Maybe it's just too simple a model. I mean the first factor is a flat line which shouldn't be as front contracts are more volatile.
Looked at vxx options but thought its liquidity was very limited (I think open interest was a few thousands, I could be wrong).

Steve Castle

Total Posts: 306
Joined: Sep 2010
Posted: 2012-11-30 02:01
Daily VIX commentary

I've been reading it, I find it interesting and insightful. Maybe some of you will as well.

I found his ideas about inter-vol arbitrage really interesting, FWIW.

in the words of one such quant ‘were on the whole either less quanted or not quanted at all’.


Total Posts: 15
Joined: Aug 2012
Posted: 2013-01-11 04:23
huge inflow of volume has been leaving january (more than typical for front month position closing) and going into the march vix fut contract. does anyone have any opinion on this?

do you think it is solely fears on debt ceiling? has anyone seen inflow/outflow like this before?


Total Posts: 186
Joined: Mar 2018
Posted: 2018-05-12 20:54
how do you go about thinking rv in VIX vs SPX options?
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