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椰子皮 · 2022年08月20日

VIX roll down的问题

  1. CFA III
  2. Derivative

NO.PZ2017121101000010

问题如下：

A volatility trader observes that the VIX term structure is upward sloping. In particular, the VIX is at 13.50, the front-month futures contract trades at 14.10, and the second-month futures contract trades at 15.40. Assuming the shape of the VIX term structure will remain constant over the next three-month period, the trader decides to implement a trade that would profit from the VIX carry roll down. She will most likely purchase the:

选项：

A.

VIX and sell the VIX second- month futures.

B.

VIX and sell the VIX front- month futures.

C.

VIX front- month futures and sell the VIX second- month futures.

解释：

C is correct.

VIX futures converge to the spot VIX as expiration approaches, and the two must be equal at expiration. When the VIX futures curve is in contango and assuming volatility remains stable, the VIX futures will get “pulled” closer to the spot VIX, and they will decrease in price as they approach expiration. Traders calculate the difference between the front-month VIX futures price and the VIX as 0.60, and the spread between the front-month and the second-month futures is 1.30. Assuming that the spread declines linearly until settlement, the trader would realize roll-down gains as the spread decreases from 1.30 to 0.60 as the front-month futures approaches its expiration. At expiration, VIX futures are equal to the VIX, and the spread with the old second-month (and now the front- month) futures contract will be 0.60. Finally, since one cannot directly invest in the VIX, trades focusing on the VIX term structure must be implemented using either VIX futures or VIX options, so Answers A and B are not feasible.

中文解析：

这里考察的是“The VIX carry roll down”的知识点

首先我们需要注意的一点是，VIX是不能直接进行买卖的，所以A选项和B选项中说直接 purchase VIX直接排除掉。（考试的时候也是，看到这种直接买卖VIX的表述，不用思考直接pass）

选项C对应的是purchase VIX front- month futures and sell the VIX second- month futures.是说买一个月的VIX期货，卖出2个月的VIX期货。一个月后买入一个月的期货价格有14.1降到了13.5,亏了0.6。卖出的2个月的期货，由15.4降到了14.1，赚了1.3。一买一卖合计赚了0.7。所以选C。

  1. 这道题很奇怪，已知VIX是斜向上了，为何还要买一个月的future?为何要亏这笔钱？
  2. VIX future是怎么结算的？到期时，看签订时定好的执行价格和现货VIX的价差结算吗？
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已采纳答案

Hertz_品职助教 · 2022年08月22日

嗨，爱思考的PZer你好：


同学你好

1.     我明白同学的疑惑哈，同学的意思是既然long VIX futures在这种情况下会有亏损，那么就不要做long的头寸了，做short 头寸就可以了。

其实这里既做long又做short是基于对冲的理念的。

因为对期货合约在接下来三个月价格不变的预期只是假设的（原文表述为 remain constant），万一实际情况没有按照我们预期的发展，而是背道而驰，我们一买一卖不至于亏得太惨，这也就是一个对冲风险的想法。

2.     期货合约是有现金结算和实物结算两种方式的。由于VIX现货没有办法直接交易的，所以可以知道VIX期货采用的是现金结算。即空方不需要交付标的，多方不需要交付合约的总价值。只需要计算双方的盈亏，在盈利方和亏损方的保证金账户之间进行资金的划转即可了结交易。

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相关问题

NO.PZ2017121101000010 问题如下 A volatility trar observes ththe VIX term structure is upwarsloping. In particular, the VIX is 13.50, the front-month futures contratras 14.10, anthe seconmonth futures contratras 15.40. Assuming the shape of the VIX term structure will remain constant over the next three-month perio the trar cis to implement a tra thwoulprofit from the VIX carry roll wn. She will most likely purchase the: A.VIX ansell the VIX secon month futures. B.VIX ansell the VIX front- month futures. C.VIX front- month futures ansell the VIX secon month futures. C is correct. VIX futures converge to the spot VIX expiration approaches, anthe two must equexpiration. When the VIX futures curve is in contango anassuming volatility remains stable, the VIX futures will get “pulle closer to the spot VIX, anthey will crease in prithey approaexpiration. Trars calculate the fferenbetween the front-month VIX futures prianthe VIX 0.60, anthe sprebetween the front-month anthe seconmonth futures is 1.30. Assuming ththe spreclines linearly until settlement, the trar woulrealize roll-wn gains the sprecreases from 1.30 to 0.60 the front-month futures approaches its expiration. expiration, VIX futures are equto the VIX, anthe sprewith the olseconmonth (annow the front- month) futures contrawill 0.60. Finally, sinone cannot rectly invest in the VIX, tras focusing on the VIX term structure must implementeusing either VIX futures or VIX options, so Answers A anB are not feasible.中文解析这里考察的是“The VIX carry roll wn”的知识点 首先我们需要注意的一点是，VIX是不能直接进行买卖的，所以A和B中说直接purchase VIX直接排除掉。（考试的时候也是，看到这种直接买卖VIX的表述，不用思考直接pass）C对应的是purchase VIX front- month futures ansell theVIX secon month futures.是说买一个月的VIX期货，卖出2个月的VIX期货。一个月后买入一个月的期货价格有14.1降到了13.5,亏了0.6。卖出的2个月的期货，由15.4降到了14.1，赚了1.3。一买一卖合计赚了0.7。所以选 老师你好，这里有点不明白“C对应的是purchase VIX front- month futures ansell the VIX secon month futures.是说买一个月的VIX期货，卖出2个月的VIX期货。一个月后买入一个月的期货价格有14.1降到了13.5,亏了0.6。卖出的2个月的期货，由15.4降到了14.1，赚了1.3。一买一卖合计赚了0.7。\"中说”一个月后买入一个月的期货价格有14.1降到了13.5,亏了0.6“，但是C没有提到13.5 VIX的事情呀，C不是只有”front VIX和seconVIX吗，应该只有“由15.4降到了14.1，赚了1.3”呀谢谢老师

2022-06-04 23:08 1 · 回答

NO.PZ2017121101000010 我记得是不是说过contango的情况下， 应该short futures但是为了防止volatility变大，我们就long VIX现货， 那这题为什么不选A呢？

2021-09-27 16:57 2 · 回答

NO.PZ2017121101000010 请问，front-month和seconmonth分别是几月呢?为什么3个月以后赚钱，不是一个月或者两个月？

2021-09-17 13:44 1 · 回答

NO.PZ2017121101000010 VIX ansell the VIX front- month futures. VIX front- month futures ansell the VIX secon month futures. C is correct. VIX futures converge to the spot VIX expiration approaches, anthe two must equexpiration. When the VIX futures curve is in contango anassuming volatility remains stable, the VIX futures will get “pulle closer to the spot VIX, anthey will crease in prithey approaexpiration. Trars calculate the fferenbetween the front-month VIX futures prianthe VIX 0.60, anthe sprebetween the front-month anthe seconmonth futures is 1.30. Assuming ththe spreclines linearly until settlement, the trar woulrealize roll-wn gains the sprecreases from 1.30 to 0.60 the front-month futures approaches its expiration. expiration, VIX futures are equto the VIX, anthe sprewith the olseconmonth (annow the front- month) futures contrawill 0.60. Finally, sinone cannot rectly invest in the VIX, tras focusing on the VIX term structure must implementeusing either VIX futures or VIX options, so Answers A anB are not feasible.买现在，卖两个月的futures价差最大啊，为什么不行？

2021-07-28 03:19 1 · 回答