VIX futures roll
Definition · Level 5 · Greeks & volatility
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Holding VIX futures means rolling from one month to the next. In contango each future converges down to spot, so with spot unchanged the holder loses the gap, which is why products that hold them tend to drift down in calm markets.
Example
Buy the front month at 16 with spot at 14: −2 points, $2,000 per contract.
Rules and market figures change: check the current ones before relying on this.
Where Tradecraft teaches it
Level 5 · Greeks & volatility, in the lesson “The VIX and its futures curve”: How the VIX is built, what it says about the next month, and why its futures usually slope up.
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