VIX Futures Return Decomposition

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https://hdl.handle.net/11299/206143

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VIX Futures Return Decomposition

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Ruetz , Michael

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2019-06

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Thesis or Dissertation

Abstract

VIX futures contracts have produced negative returns. I develop a method to decompose the daily returns of VIX futures contracts in to the return components of roll down and level. I show that roll down is the largest contributor to the negative returns. The return decomposition analysis is carried out across the VIX futures term structure which includes the one- to six-month VIX futures contracts. I use time series regressions to estimate the beta coefficients of the return components relative to the VIX. The results of the regression analyses are used to create a VIX curve strategy that is combined with the S&P 500 Index.

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Derivatives

Implied Volatility

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VIX

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University of Minnesota M.S. thesis. June 2019. Major: Applied Economics. Advisor: Glenn Pederson. 1 computer file (PDF); iv, 76 pages.

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Ruetz , Michael. (2019). VIX Futures Return Decomposition. Retrieved from the University Digital Conservancy, https://hdl.handle.net/11299/206143.

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