Short Term VIX Futures Growing 43% per Year—At Least
Last week the CBOE’s VIX futures set some new volume records. While volume is interesting, I think the real story is the open interest of VIX futures contracts. Is the volume just churn, or are VIX futures contracts being created or eliminated? Since raw volatility is tough to buy, VIX futures market makers must buy other things, like SPX options to hedge the …
