
Please forgive my ignorance but what exactly do they mean by forward variance curve when referring to SPX/VIX for instance? Can I derive this from the futures term structure (prices) ?
I guess so since VIX futures are the expected value of the VIX index at a future date. They are also the expected value of the price of a onemonth variance swap on this same date. The risk profile of a VIX futures position is similar to a onemonth forward starting variance swap with a start date of the VIX expiration.
Yes, its proved in
http://www2.rotman.utoronto.ca/~hull/TechnicalNotes/TechnicalNote24.pdf
that they are identical when the interest rate is constant. works better for short durations



