VIX as a Commodity

There is an excellent article on commodities modelling that limns many of common features between VIX derivatives and commodity derivatives:

VIX - underlying not tradable / not possible to practically replicate
Commodities - all liquidity in the forwards, not spot

VIX - no pure arbitrage plays between different months
Commodities - limited arbitrage opportunities depending on storage

VIX, Commodities - stable long maturities, volatile near maturities

VIX, Commodities - volatility is backwardated

VIX - call skew, dominated by consumers
Commodities - call skew in products like NG

VIX, Commodities - spiking behavior, difficult to model with markovian models, requires extreme mean-reversion (much greater than in historical data), or regime switching (VIX seem to be well-partitioned into 3 regimes)

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