STRATEGY 201 | U.S. Identifying the Differences Between ...

the S&P 500 VIX Short-Term Futures Index (see Exhibit 5). VIX spot exhibits a mean-reverting return pattern, while the S&P 500 VIX Short-Term Futures Index trends down over the long term. Identifying the Differences Between VIX Spot and Futures February 2014 4 Exhibit 4: Decomposition of S&P 500 VIX Short-Term Futures Index Total Return ... ................
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