10 Questions about Mid-Term Volatility

Why is mid or medium term volatility defined as being 4 to 7 months out? In January 2009 Barclays introduced VXZ, the first medium term volatility Exchange Traded Product (ETP).  Its tracking index (SPVXMP) relies on 4 to 7 month VIX futures.  I suspect that range was selected because historically (2004 through 2008) the term structure on the 4th through 7th month VIX futures was …

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