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Statistiche › Opzioni, short e posizionamento › VIX basis

The VIX futures basis predicted VIX futures, and never predicted spot VIX

Predicting VIX futures changes: 9.5%+9.5%Predicting VIXfutures changesPredicting spot VIX changes: -0.5%-0.5%Predicting spotVIX changes

Adjusted R squared from regressing the one-month change on the basis, January 2006 to December 2011, 71 observations. The futures regression coefficient is minus 0.791 with a standard error of 0.276, significant at 1%. The spot regression coefficient is 0.231 with a standard error of 0.279, which is nothing.

The daily roll between spot VIX and the front future predicted where the future would go, with an adjusted R squared of 9.5%. The same signal has no power at all over spot VIX, where the adjusted R squared is negative.

9.5%Adjusted R squared predicting one-month changes in VIX futures
-0.005The same regression predicting spot VIX changes
$792Average P&L per hedged short trade, bootstrap p = 0.003
About $140Average round-trip transaction cost per trade

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