tag:blogger.com,1999:blog-8608774547701042310.post1869850194518027702..comments2024-02-03T19:12:57.201-05:00Comments on Volatility Futures & Options: Interesting VIX articleonlyvix.blogspot.comhttp://www.blogger.com/profile/13947069891082111297noreply@blogger.comBlogger1125tag:blogger.com,1999:blog-8608774547701042310.post-78635693101246036412011-07-04T00:57:32.879-04:002011-07-04T00:57:32.879-04:00It is puzzling to consider the conclusion that bot...It is puzzling to consider the conclusion that both the long VIX and short strategies beat the market. For the period in Tables 2 and 4, SPX was -12%. The long VIX call hedger had -0.9%. The short VIX call risk-insurer had 2%. They swapped the same front-month ATM calls. Both sides benefited from the trades. Where was the money from?Kenny Yuhttps://www.blogger.com/profile/14725335830903907908noreply@blogger.com