When VIX futures expire, there's exactly 30 days to the next option maturity, ie at expiry, there's only one strip to trade. I assume that exchange for physical is the contract settlement at maturity (the strip the vix settlement is based on), and that you can't convert it into fwd var at any time during its life.
Efps aren't a form of settlement. I don't understand your comment about the forward var. Anyway its moot. As I think about it I'm pretty sure an efp here is with respect to an etn like vxx. Otherwise you would see more open interest in extremely deep otm options.
I was having a look at this: http://communities.cboe.com/t5/What...n-VIX-and-VXN-by-Russell-Rhoads-CFA/ba-p/3589 I am struck by how the curve actually does not shift up when the VIX spot raises. If, a week ago, I had been long sep12 short dec12 I would have made a profit because of the curve changing shape. That sounds interesting to me! So, not only the VIX spot, but also the curve should be paid attention.
I think investors just didn't believe that sub 15 VIX spot for any length of time. Futures did not follow it down and it indeed came back up like the futures expected.
I bought some SVXY shares 2 years ago which I'm still holding. Is it reasonable to expect them to keep performing as well as they have in the past? Here you can download a simulation of how they would have fared since 2004: http://investing.kuchita.com/2014/0...g-model-since-vix-futures-are-available-2004/. If the simulation is correct, the returns from 2004 have been a geometric 27% per year. I know drawdowns are terrifying (I have already experienced some big ones, like this August), but to me it's worth suffering them if I can expect to keep getting those gigantic returns (from the point of view of a value investor). I have also been wondering if there's any more efficient way for a retail trader to just exploit what this ETF exploits (shorting VIX futures). In the past I have also bought UVXY puts, but it didn't work well (I honestly think I was very unlucky) and I rarely find them cheap enough nowadays.
Eh, I think 10 is really the absolute floor for the VIX. You had futures bidding in the low teens in 2014 and i think VRO in July of 2014 was around 12 or so. In anything but the absolute lowest vol environments, 15 is probably going to provide some form of support but futures can certainly be bid below it.