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Strategies & Market Trends : The Epic American Credit and Bond Bubble Laboratory
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To: Win-Lose-Draw who wrote (43452)10/14/2005 2:39:17 AM
From: mishedlo  Read Replies (2) of 110194
 
converging with VIX, which is always looking 30 days ahead

$VIX always looks 30 days ahead too?
So... at rollover time the new Future will be reflecting some sort of cash time value (90 days out) or whatever in adddition to looking 30 days ahead. (Is there more to it than that)? Then as we get closer and closer to expiry they (the future and the $VIX) start to converge. Should they be nearly the same for the last 30 days and identical at expiry (assuming no change in volatility overnight)?

Thanks

Mish
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