VIX futures calendar spreads

Ai Jun Hou and Lars L. Nordén

Journal of Futures Markets, 2018, vol. 38, issue 7, 822-838

Abstract: A VIX futures calendar spread involves buying a futures contract maturing in 1 month and selling another one maturing in a different month. VIX futures calendar spreads represent a daily turnover above 500 million dollars, or roughly 20% of the total VIX futures trading volume. Speculation, rather than information about changes in the slope of the volatility term structure, is the main driving force behind calendar spread trades. On average, a calendar spread costs a little less than $100 (about 15 basis points). If settled at the end of the trading day, 43% of the calendar spreads are profitable.

Date: 2018
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