Dr. Benn Eifert - Bad Ideas (S3E3)
Flirting with Models
Using VIX Futures to Trade Volatility
The key thing that you have to realize here is that over any meaningful period of time, the products that you're talking about trading are VIXETPs. And when you buy the VIX CTP, it's going to have a weighted average basket of those two front month futures. Over time, if nothing happens, the price of those futures is going to go down. It's going to slide down the term structure down towards VIX spot.
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