What is the Arbitrage Driven Range for VIX Futures?
The VIX style calculation for the March 22nd SPX options closed today at 17.06. The data is from the CBOE’s VIX Term Structure website. The CBOE will use the March SPX options to compute the settlement value for the February VIX Futures when they expire on February 19th. February VIX futures, on the other hand closed at 16.25, a 5% discount to the March SPX …
