VarSwaps - VIX etc.

Hi all,

Could someone please help me understand how the VIX works and how it is linked to VarSwaps?

As far as I can understand it now, it is a constant maturity varswap (30 days). To me this would imply that there is no decay in it...but not sure about this statement.

What about the replication of the VIX Futures with options ? How would you do it ?

Thanks a lot,

Ykroxor

 

Any chance anybody would have an answer on this pls ?

Thanks a lot,

Jerome

 

atticus is the resident expert on this stuff so hopefully he will drop by, otherwise, VIX options are priced off VIX futures so replicating them is pretty straight-forward.

 

What I meant was much more, how to replicate vix futures using sp500 options !

Thanks for help

 

Sorry mate, that's out of my league.

 

anybody has an idea pls guys ?

Thanks a lot

 

Hi,

Some informations here :

http://www.classiccmp.org/transpute...y Derivatives - New Advances in Modelling.pdf

http://math.uchicago.edu/~sbossu/VarSwaps.pdf

Hope it helps.

Masteratwork