Posts tagged ‘Persistence’
Sunday, August 2nd, 2009
Why do VIX Futures Remain High?

For several weeks now in our Volatility Tracker we’ve noted the persistence of a premium in longer-dated VIX futures versus the front-month contract and especially the spot VIX. Historically, divergences like these have resolved in favor of the futures price rather than the spot VIX price, which has tended to correlate with a decline in [...]