VIX futures and a fair value

Discussion in 'Index Futures' started by SoCalOptionsWriter, May 13, 2023.

  1. I assume someone out there does a fair value on VIX futures and the spot in the morning before the market opens, no? Or is it of less relevance than the FVs on the major equity indexes? If there is a VIX fair value, who publishes it?
  2. Robert Morse

    Robert Morse Sponsor

    Attached is the Volatility Index®Methodology: Cboe Volatility Index White paper with the math. If you do a search for the formula, there are some posted online in Python. I was reluctant to post those links because I can't verify the code is safe to download.
    SoCalOptionsWriter likes this.
  3. Wondering, too, if anyone ever directionally trades with it at the open, a la the SP 500/SP 500 futures.