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Use the data in https:// cfe.cboe.com/cfe-products/vx-cboe-volatility-index-vix-futures. Plot the current term structure of volatility using VIX future contracts. From this table only use the spot (^VIX)
- Use the data in https://
cfe.cboe.com/cfe-products/vx-cboe-volatility-index-vix-futures.
- Plot the current term structure of volatility using VIX future contracts. From this table only use the spot (^VIX) and the monthly contracts (those with 5 letter symbols) to plot the term structure.
- What type of information can we infer from this graph?
- Although the volatility term structure takes any shape, it is usually upward sloping. How do you interpret this empirical finding?
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CFIN
Authors: Scott Besley, Eugene Brigham
5th edition
978-1305666870
