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REX Monthly VIX Dashboard

3 Year VIX History & Averages

The VIX price level chart shows current spot VIX is below 75% of its 3-year historical levels.

Source: CBOE

VIX Futures Curve

The VIX term structure is in contango.  This means currently there is a cost to carry long volatility positions and an accrual for carrying short volatility positions.

Source: Bloomberg as of 11/30/17

Implied Daily Accrual

The daily decay/accrual for each futures contract is shown below.

Source: Bloomberg as of 11/30/17

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Graph 2 (VIX Term Structure), the VIX Futures Term Structure graph, illustrates the last settlement price for weekly and monthly VIX Futures contracts based on their number of days until expiration. The two nearest term weekly VIX Futures contracts along with monthly VIX Futures contracts with 200 days or less until expiration are included in the graph. Data Source: CBOE.

Graph 3 (Implied Daily Accrual) shows the daily implied decay by each VIX Futures contract if it were to decay linearly. Weekly and monthly VIX Futures contract prices are based on last settlement. The two nearest term weekly VIX Futures contracts along with monthly VIX Futures contracts with 200 days or less until expiration are included in the graph. ‘Daily implied decay’ is calculated by taking the difference between the stated VIX Futures contract and the VIX Futures contract with the next shortest duration, dividing it by the difference between the stated VIX Futures contract’s duration and the duration of the VIX Futures contract with the next shortest duration and, lastly, dividing by the stated VIX Futures contract’s last settlement price. Data Source: CBOE.