tag:blogger.com,1999:blog-8608774547701042310.post3631470484794237581..comments2024-02-03T19:12:57.201-05:00Comments on Volatility Futures & Options: De-constructing XVIXonlyvix.blogspot.comhttp://www.blogger.com/profile/13947069891082111297noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-8608774547701042310.post-33098216430221124142011-06-25T08:00:52.499-04:002011-06-25T08:00:52.499-04:00I've done a similar analysis myself, which is ...I've done a similar analysis myself, which is consistent with yours. Thanks for posting it in detail. <br />I have also found that correlation between VIX and VXX/VXZ pair is almost zero for -2:1 ratio. For other ratios the combo is not market-neutral.sjevhttps://www.blogger.com/profile/17452562180989360928noreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-81360090441136665572011-06-05T17:54:40.745-04:002011-06-05T17:54:40.745-04:00Excellent question coleman! If we're to derive...Excellent question coleman! If we're to derive a model, the expected pl would be dependent on assumptions that go into the model. To get any sensible result the model would have to be robust and parsimonious, probably time-homogeneous process that has stochastic vol of vol and jump components. That's all I can say for now.onlyvix.blogspot.comhttps://www.blogger.com/profile/13947069891082111297noreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-11935852254184753172011-06-05T16:59:36.018-04:002011-06-05T16:59:36.018-04:00Very interesting/helpful analysis. Aside from hist...Very interesting/helpful analysis. Aside from historical backtesting, is there a theoretical expected return based on the slope of the futures curve?colemanhttps://www.blogger.com/profile/07564530303451289242noreply@blogger.com