• TIME TO 2024 UK RANKINGS

Search results

  1. Does anyone know how to replicate VIX using S&P options or futures?

    Thank you all; It was helpful. @ Joy: Could you elaborate a bit more about shorting a strip of SPY options to replicate long VIX futures in words (business way)? I read your paper, but quite not understanding an equation. (not sure which part of an equation indicating 'short' spy).

  2. Does anyone know how to replicate VIX using S&P options or futures?

    Don't think it's too quantitative. I need a logical way (buy,sell) to replicate if there is one. Thank you for any input.
Back
Top