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Strategies & Market Trends : The Epic American Credit and Bond Bubble Laboratory -- Ignore unavailable to you. Want to Upgrade?

To: mishedlo who wrote (43051)	10/13/2005 10:50:42 AM
From: Win-Lose-Draw	Respond to of 110194

There is nothing wrong with the way VIX futures are constructed. The way it is behaving is exactly as one should expect it to behave: like all futures, it is anticipating the value at (its) expiry, not the value 15 minutes from now. The effect is more pronounced with VIX futures than with, say, the Dow Mini because it is easy to replicate Dow futures using other instruments while it is impossible to replicate the VIX future without incurring (relatively) huge slippage and transaction costs. More liquidity sure would be nice, but other than narrowing the spreads a bit (which would certainly be nice) it won't make any difference to how the thing moves relative to spot.