vix futures term structure

Upload: alex-bernal

Post on 07-Aug-2018

221 views

Category:

Documents


0 download

TRANSCRIPT

  • 8/20/2019 VIX Futures Term Structure

    1/450

    Expiration Date -->

    Trade Date   5/19/04 6/16/04 7/14/04 8/18/04 9/15/04 10/13/04 11/17/04

    3/26/04 203.2 201.6 201.1 209.4

    3/29/04 198 197.7 196.8 209.8

    3/30/04 196.2 197.9 199.1 210.2

    3/31/04 197.5 198.5 201.5 210.8

    4/1/04 196.2 196.1 202 211.7

    4/2/04 188.9 191.6 200.5 210

    4/5/04 185.3 186.2 199.7 210.4

    4/6/04 187.9 187.9 202.8 211.6

    4/7/04 190.9 191.2 205.4 215.7

    4/8/04 190.5 190 205.1 214.3

    4/12/04 186.7 189 203.4 213.2

    4/13/04 193 192.9 207.4 216.8

    4/14/04 194.6 194.7 202.7 215.9

    4/15/04 193.5 194.7 204.3 216.7

    4/16/04 190 194.3 202.6 216.2

    4/19/04 188.7 196.8 203.7 216.6

    4/20/04 191.5 199.6 205.2 218.8

    4/21/04 186.8 197 202.2 215.8

    4/22/04 173.5 187.7 196.7 211

    4/23/04 173.4 190.9 198.1 212.2

    4/26/04 171.3 189.6 198.1 212

    4/27/04 168 187.7 198 212

    4/28/04 173.7 192.7 202.6 212.6

    4/29/04 177.7 196.4 206.8 213.8

    4/30/04 182.2 198.5 209.3 214.2

    5/3/04 176.9 192.7 206.1 211.3

    5/4/04 173.1 192 204.5 211.35/5/04 166.2 187.9 202.6 209.5

    5/6/04 174.8 194.1 206.8 212.3

    5/7/04 183.1 198.7 211.9 213.9

    5/10/04 193.5 204.3 216.2 217.1

    5/11/04 183.8 199.7 210.6 214.5

    5/12/04 182 196.1 209.8 212.2

    5/13/04 183.8 195.8 204.3 211.2

    5/14/04 185.5 196.7 205.6 211.5

    5/17/04 193.7 202.1 210.5 212.9

    5/18/04 192.5 200.7 210.4 212.5

    5/19/04 183.55 191.7 207 211.5

    5/20/04 193.4 206.7 210.8

    5/21/04 191.7 208.6 211

    5/24/04 187.7 190.4 205.3 210

    5/25/04 175 180 198 206.3

    5/26/04 176.1 180.9 198.6 206.7

    5/27/04 173.5 179 197.3 207.4

    5/28/04 175.8 180.6 196.8 207.5

    6/1/04 176 181.6 197.4 207.7

  • 8/20/2019 VIX Futures Term Structure

    2/450

    6/2/04 176.5 181 195.9 206.7

    6/3/04 176 183.3 199.2 207.4

    6/4/04 172.8 185.1 199.9 208.5

    6/7/04 165.8 180.7 195.5 206.2

    6/8/04 161.8 177.3 194.2 204.9

    6/9/04 162 178.6 197.1 206.5

    6/10/04 157.1 175.7 197.5 206.3

    6/14/04 157.1 175.7 197.5 206.3

    6/15/04 150.3 172.3 198.2 206.5

    6/16/04 139.97 171 192.2 200.6

    6/17/04 171.4 191.7 200.4

    6/18/04 170 191.8 200.4

    6/21/04 172.6 191.2 201

    6/22/04 167.7 186.8 197.7

    6/23/04 157.9 178.7 191.4

    6/24/04 160.2 182.5 193.8

    6/25/04 162.3 183.6 196.6

    6/28/04 163.7 184.6 198.8

    6/29/04 159.8 183.2 198.1

    6/30/04 153.8 181.4 197.4

    7/1/04 156.7 182.8 200.4

    7/2/04 155.6 182.7 200.4

    7/6/04 162.2 187.2 201.6

    7/7/04 156.7 184.4 199.9

    7/8/04 159.4 188.2 201.6

    7/9/04 157.4 190.3 202.9

    7/12/04 150.9 190.3 203.6

    7/13/04 143.1 187.9 203

    7/14/04 131.34 187.4 204

    7/15/04 188.3 201.8

    7/16/04 189.5 203.9

    7/19/04 189.8 199.1 205.7

    7/20/04 184.6 196.1 202.7

    7/21/04 191.4 205.8 206.6

    7/22/04 184.2 202.4 204.4

    7/23/04 183.9 205.9 209.1

    7/26/04 185.5 206.6 210.3

    7/27/04 178.8 202.5 207.7

    7/28/04 175 200.5 205.4

    7/29/04 168.6 200.6 205.9

    7/30/04 166.8 200.6 205

    8/2/04 164.1 197.8 203.8

    8/3/04 165.8 197.2 205.7

    8/4/04 167.3 194.8 206.4

    8/5/04 176.1 199.1 212.1

    8/6/04 183.7 203.4 214.9

    8/9/04 180 199.1 211.5

    8/10/04 174.3 191.7 206.6

  • 8/20/2019 VIX Futures Term Structure

    3/450

    8/11/04 174.9 193.5 207

    8/12/04 181.2 193.2 207.9

    8/13/04 178.7 190.2 208.8

    8/16/04 172 185 206.7

    8/17/04 166 181.9 203.8

    8/18/04 174.89 178.1 201.9

    8/19/04 178.9 202.9

    8/20/04 176.5 200.9

    8/23/04 174.7 187.7 202.1

    8/24/04 171 184.2 199.6

    8/25/04 165 175.9 192.1

    8/26/04 164.1 175.9 192.2

    8/27/04 161.5 174.7 190.6

    8/30/04 164.4 175.8 190.9

    8/31/04 161.7 175.8 187.3

    9/1/04 160.2 173.3 185.2

    9/2/04 153.9 166 179.9

    9/3/04 152.6 165 179.5

    9/7/04 148.9 161.5 174.5

    9/8/04 145.9 161.7 173.7

    9/9/04 144.6 160.4 172.6

    9/10/04 142.9 158.5 172.5

    9/13/04 137.3 156 168.9

    9/14/04 135 152 163.9

    9/15/04 137.25 154.8 167.1

    9/16/04 155.1 167.6

    9/17/04 155.4 167.4

    9/20/04 156.6 169

    9/21/04 153.4 165.8

    9/22/04 156 168.8

    9/23/04 156.1 169.2

    9/24/04 153.5 167.7

    9/27/04 155.2 169.3

    9/28/04 149.5 165.6

    9/29/04 143.5 162.6

    9/30/04 142.3 160.5

    10/1/04 135.7 154

    10/4/04 138.2 155

    10/5/04 138.7 155

    10/6/04 135.5 152

    10/7/04 141.5 154.3

    10/8/04 147.3 156.5

    10/11/04 148.1 156.4

    10/12/04 150.2 159.7

    10/13/04 131.57 159.9

    10/14/04 163

    10/15/04 159.9

    10/18/04 154.7

  • 8/20/2019 VIX Futures Term Structure

    4/450

    10/19/04 156

    10/20/04 160.5

    10/21/04 153.2

    10/22/04 156.5

    10/25/04 161.1

    10/26/04 157.6

    10/27/04 158.1

    10/28/04 155.6

    10/29/04 156

    11/1/04 157.2

    11/2/04 152.2

    11/3/04 142.9

    11/4/04 137.2

    11/5/04 136.8

    11/8/04 138.4

    11/9/04 136.4

    11/10/04 131.2

    11/11/04 127.4

    11/12/04 128

    11/15/04 127.1

    11/16/04 125.8

    11/17/04 128.44

    11/18/04

    11/19/04

    11/22/04

    11/23/04

    11/24/04

    11/26/04

    11/29/04

    11/30/04

    12/1/04

    12/2/04

    12/3/04

    12/6/04

    12/7/04

    12/8/04

    12/9/04

    12/10/04

    12/13/04

    12/14/04

    12/15/04

    12/16/04

    12/17/04

    12/20/04

    12/21/04

    12/22/04

    12/23/04

    12/27/04

  • 8/20/2019 VIX Futures Term Structure

    5/450

    12/28/04

    12/29/04

    12/30/04

    12/31/04

    1/3/05

    1/4/05

    1/5/05

    1/6/05

    1/7/05

    1/10/05

    1/11/05

    1/12/05

    1/13/05

    1/14/05

    1/18/05

    1/19/05

    1/20/05

    1/21/05

    1/24/05

    1/25/05

    1/26/05

    1/27/05

    1/28/05

    1/31/05

    2/1/05

    2/2/05

    2/3/05

    2/4/05

    2/7/05

    2/8/05

    2/9/05

    2/10/05

    2/11/05

    2/14/05

    2/15/05

    2/16/05

    2/17/05

    2/18/05

    2/22/05

    2/23/05

    2/24/05

    2/25/05

    2/28/05

    3/1/05

    3/2/05

    3/3/05

    3/4/05

    3/7/05

  • 8/20/2019 VIX Futures Term Structure

    6/450

    3/8/05

    3/9/05

    3/10/05

    3/11/05

    3/14/05

    3/15/05

    3/16/05

    3/17/05

    3/18/05

    3/21/05

    3/22/05

    3/23/05

    3/24/05

    3/28/05

    3/29/05

    3/30/05

    3/31/05

    4/1/05

    4/4/05

    4/5/05

    4/6/05

    4/7/05

    4/8/05

    4/11/05

    4/12/05

    4/13/05

    4/14/05

    4/15/05

    4/18/05

    4/19/05

    4/20/05

    4/21/05

    4/22/05

    4/25/05

    4/26/05

    4/27/05

    4/28/05

    4/29/05

    5/2/05

    5/3/05

    5/4/05

    5/5/05

    5/6/05

    5/9/05

    5/10/05

    5/11/05

    5/12/05

    5/13/05

  • 8/20/2019 VIX Futures Term Structure

    7/450

    5/16/05

    5/17/05

    5/18/05

    5/19/05

    5/20/05

    5/23/05

    5/24/05

    5/25/05

    5/26/05

    5/27/05

    5/31/05

    6/1/05

    6/2/05

    6/3/05

    6/6/05

    6/7/05

    6/8/05

    6/9/05

    6/10/05

    6/13/05

    6/14/05

    6/15/05

    6/16/05

    6/17/05

    6/20/05

    6/21/05

    6/22/05

    6/23/05

    6/24/05

    6/27/05

    6/28/05

    6/29/05

    6/30/05

    7/1/05

    7/5/05

    7/6/05

    7/7/05

    7/8/05

    7/11/05

    7/12/05

    7/13/05

    7/14/05

    7/15/05

    7/18/05

    7/19/05

    7/20/05

    7/21/05

    7/22/05

  • 8/20/2019 VIX Futures Term Structure

    8/450

    7/25/05

    7/26/05

    7/27/05

    7/28/05

    7/29/05

    8/1/05

    8/2/05

    8/3/05

    8/4/05

    8/5/05

    8/8/05

    8/9/05

    8/10/05

    8/11/05

    8/12/05

    8/15/05

    8/16/05

    8/17/05

    8/18/05

    8/19/05

    8/22/05

    8/23/05

    8/24/05

    8/25/05

    8/26/05

    8/29/05

    8/30/05

    8/31/05

    9/1/05

    9/2/05

    9/6/05

    9/7/05

    9/8/05

    9/9/05

    9/12/05

    9/13/05

    9/14/05

    9/15/05

    9/16/05

    9/19/05

    9/20/05

    9/21/05

    9/22/05

    9/23/05

    9/26/05

    9/27/05

    9/28/05

    9/29/05

  • 8/20/2019 VIX Futures Term Structure

    9/450

    9/30/05

    10/3/05

    10/4/05

    10/5/05

    10/6/05

    10/7/05

    10/10/05

    10/11/05

    10/12/05

    10/13/05

    10/14/05

    10/17/05

    10/18/05

    10/19/05

    10/20/05

    10/21/05

    10/24/05

    10/25/05

    10/26/05

    10/27/05

    10/28/05

    10/31/05

    11/1/05

    11/2/05

    11/3/05

    11/4/05

    11/7/05

    11/8/05

    11/9/05

    11/10/05

    11/11/05

    11/14/05

    11/15/05

    11/16/05

    11/17/05

    11/18/05

    11/21/05

    11/22/05

    11/23/05

    11/25/05

    11/28/05

    11/29/05

    11/30/05

    12/1/05

    12/2/05

    12/5/05

    12/6/05

    12/7/05

  • 8/20/2019 VIX Futures Term Structure

    10/450

    12/8/05

    12/9/05

    12/12/05

    12/13/05

    12/14/05

    12/15/05

    12/16/05

    12/19/05

    12/20/05

    12/21/05

    12/22/05

    12/23/05

    12/27/05

    12/28/05

    12/29/05

    12/30/05

    1/3/06

    1/4/06

    1/5/06

    1/6/06

    1/9/06

    1/10/06

    1/11/06

    1/12/06

    1/13/06

    1/17/06

    1/18/06

    1/19/06

    1/20/06

    1/23/06

    1/24/06

    1/25/06

    1/26/06

    1/27/06

    1/30/06

    1/31/06

    2/1/06

    2/2/06

    2/3/06

    2/6/06

    2/7/06

    2/8/06

    2/9/06

    2/10/06

    2/13/06

    2/14/06

    2/15/06

    2/16/06

  • 8/20/2019 VIX Futures Term Structure

    11/450

    2/17/06

    2/21/06

    2/22/06

    2/23/06

    2/24/06

    2/27/06

    2/28/06

    3/1/06

    3/2/06

    3/3/06

    3/6/06

    3/7/06

    3/8/06

    3/9/06

    3/10/06

    3/13/06

    3/14/06

    3/15/06

    3/16/06

    3/17/06

    3/20/06

    3/21/06

    3/22/06

    3/23/06

    3/24/06

    3/27/06

    3/28/06

    3/29/06

    3/30/06

    3/31/06

    4/3/06

    4/4/06

    4/5/06

    4/6/06

    4/7/06

    4/10/06

    4/11/06

    4/12/06

    4/13/06

    4/17/06

    4/18/06

    4/19/06

    4/20/06

    4/21/06

    4/24/06

    4/25/06

    4/26/06

    4/27/06

  • 8/20/2019 VIX Futures Term Structure

    12/450

    4/28/06

    5/1/06

    5/2/06

    5/3/06

    5/4/06

    5/5/06

    5/8/06

    5/9/06

    5/10/06

    5/11/06

    5/12/06

    5/15/06

    5/16/06

    5/17/06

    5/18/06

    5/19/06

    5/22/06

    5/23/06

    5/24/06

    5/25/06

    5/26/06

    5/30/06

    5/31/06

    6/1/06

    6/2/06

    6/5/06

    6/6/06

    6/7/06

    6/8/06

    6/9/06

    6/12/06

    6/13/06

    6/14/06

    6/15/06

    6/16/06

    6/19/06

    6/20/06

    6/21/06

    6/22/06

    6/23/06

    6/26/06

    6/27/06

    6/28/06

    6/29/06

    6/30/06

    7/3/06

    7/5/06

    7/6/06

  • 8/20/2019 VIX Futures Term Structure

    13/450

    7/7/06

    7/10/06

    7/11/06

    7/12/06

    7/13/06

    7/14/06

    7/17/06

    7/18/06

    7/19/06

    7/20/06

    7/21/06

    7/24/06

    7/25/06

    7/26/06

    7/27/06

    7/28/06

    7/31/06

    8/1/06

    8/2/06

    8/3/06

    8/4/06

    8/7/06

    8/8/06

    8/9/06

    8/10/06

    8/11/06

    8/14/06

    8/15/06

    8/16/06

    8/17/06

    8/18/06

    8/21/06

    8/22/06

    8/23/06

    8/24/06

    8/25/06

    8/28/06

    8/29/06

    8/30/06

    8/31/06

    9/1/06

    9/5/06

    9/6/06

    9/7/06

    9/8/06

    9/11/06

    9/12/06

    9/13/06

  • 8/20/2019 VIX Futures Term Structure

    14/450

    9/14/06

    9/15/06

    9/18/06

    9/19/06

    9/20/06

    9/21/06

    9/22/06

    9/25/06

    9/26/06

    9/27/06

    9/28/06

    9/29/06

    10/2/06

    10/3/06

    10/4/06

    10/5/06

    10/6/06

    10/9/06

    10/10/06

    10/11/06

    10/12/06

    10/13/06

    10/16/06

    10/17/06

    10/18/06

    10/19/06

    10/20/06

    10/23/06

    10/24/06

    10/25/06

    10/26/06

    10/27/06

    10/30/06

    10/31/06

    11/1/06

    11/2/06

    11/3/06

    11/6/06

    11/7/06

    11/8/06

    11/9/06

    11/10/06

    11/13/06

    11/14/06

    11/15/06

    11/16/06

    11/17/06

    11/20/06

  • 8/20/2019 VIX Futures Term Structure

    15/450

    11/21/06

    11/22/06

    11/24/06

    11/27/06

    11/28/06

    11/29/06

    11/30/06

    12/1/06

    12/4/06

    12/5/06

    12/6/06

    12/7/06

    12/8/06

    12/11/06

    12/12/06

    12/13/06

    12/14/06

    12/15/06

    12/18/06

    12/19/06

    12/20/06

    12/21/06

    12/22/06

    12/26/06

    12/27/06

    12/28/06

    12/29/06

    1/3/07

    1/4/07

    1/5/07

    1/8/07

    1/9/07

    1/10/07

    1/11/07

    1/12/07

    1/16/07

    1/17/07

    1/18/07

    1/19/07

    1/22/07

    1/23/07

    1/24/07

    1/25/07

    1/26/07

    1/29/07

    1/30/07

    1/31/07

    2/1/07

  • 8/20/2019 VIX Futures Term Structure

    16/450

    2/2/07

    2/5/07

    2/6/07

    2/7/07

    2/8/07

    2/9/07

    2/12/07

    2/13/07

    2/14/07

    2/15/07

    2/16/07

    2/20/07

    2/21/07

    2/22/07

    2/23/07

    2/26/07

    2/27/07

    2/28/07

    3/1/07

    3/2/07

    3/5/07

    3/6/07

    3/7/07

    3/8/07

    3/9/07

    3/12/07

    3/13/07

    3/14/07

    3/15/07

    3/16/07

    3/19/07

    3/20/07

    3/21/07

    3/22/07

    3/23/07

    3/26/07

    3/27/07

    3/28/07

    3/29/07

    3/30/07

    4/2/07

    4/3/07

    4/4/07

    4/5/07

    4/9/07

    4/10/07

    4/11/07

    4/12/07

  • 8/20/2019 VIX Futures Term Structure

    17/450

    4/13/07

    4/16/07

    4/17/07

    4/18/07

    4/19/07

    4/20/07

    4/23/07

    4/24/07

    4/25/07

    4/26/07

    4/27/07

    4/30/07

    5/1/07

    5/2/07

    5/3/07

    5/4/07

    5/7/07

    5/8/07

    5/9/07

    5/10/07

    5/11/07

    5/14/07

    5/15/07

    5/16/07

    5/17/07

    5/18/07

    5/21/07

    5/22/07

    5/23/07

    5/24/07

    5/25/07

    5/29/07

    5/30/07

    5/31/07

    6/1/07

    6/4/07

    6/5/07

    6/6/07

    6/7/07

    6/8/07

    6/11/07

    6/12/07

    6/13/07

    6/14/07

    6/15/07

    6/18/07

    6/19/07

    6/20/07

  • 8/20/2019 VIX Futures Term Structure

    18/450

    6/21/07

    6/22/07

    6/25/07

    6/26/07

    6/27/07

    6/28/07

    6/29/07

    7/2/07

    7/3/07

    7/5/07

    7/6/07

    7/9/07

    7/10/07

    7/11/07

    7/12/07

    7/13/07

    7/16/07

    7/17/07

    7/18/07

    7/19/07

    7/20/07

    7/23/07

    7/24/07

    7/25/07

    7/26/07

    7/27/07

    7/30/07

    7/31/07

    8/1/07

    8/2/07

    8/3/07

    8/6/07

    8/7/07

    8/8/07

    8/9/07

    8/10/07

    8/13/07

    8/14/07

    8/15/07

    8/16/07

    8/17/07

    8/20/07

    8/21/07

    8/22/07

    8/23/07

    8/24/07

    8/27/07

    8/28/07

  • 8/20/2019 VIX Futures Term Structure

    19/450

    8/29/07

    8/30/07

    8/31/07

    9/4/07

    9/5/07

    9/6/07

    9/7/07

    9/10/07

    9/11/07

    9/12/07

    9/13/07

    9/14/07

    9/17/07

    9/18/07

    9/19/07

    9/20/07

    9/21/07

    9/24/07

    9/25/07

    9/26/07

    9/27/07

    9/28/07

    10/1/07

    10/2/07

    10/3/07

    10/4/07

    10/5/07

    10/8/07

    10/9/07

    10/10/07

    10/11/07

    10/12/07

    10/15/07

    10/16/07

    10/17/07

    10/18/07

    10/19/07

    10/22/07

    10/23/07

    10/24/07

    10/25/07

    10/26/07

    10/29/07

    10/30/07

    10/31/07

    11/1/07

    11/2/07

    11/5/07

  • 8/20/2019 VIX Futures Term Structure

    20/450

    11/6/07

    11/7/07

    11/8/07

    11/9/07

    11/12/07

    11/13/07

    11/14/07

    11/15/07

    11/16/07

    11/19/07

    11/20/07

    11/21/07

    11/23/07

    11/26/07

    11/27/07

    11/28/07

    11/29/07

    11/30/07

    12/3/07

    12/4/07

    12/5/07

    12/6/07

    12/7/07

    12/10/07

    12/11/07

    12/12/07

    12/13/07

    12/14/07

    12/17/07

    12/18/07

    12/19/07

    12/20/07

    12/21/07

    12/24/07

    12/26/07

    12/27/07

    12/28/07

    12/31/07

    1/2/08

    1/3/08

    1/4/08

    1/7/08

    1/8/08

    1/9/08

    1/10/08

    1/11/08

    1/14/08

    1/15/08

  • 8/20/2019 VIX Futures Term Structure

    21/450

    1/16/08

    1/17/08

    1/18/08

    1/22/08

    1/23/08

    1/24/08

    1/25/08

    1/28/08

    1/29/08

    1/30/08

    1/31/08

    2/1/08

    2/4/08

    2/5/08

    2/6/08

    2/7/08

    2/8/08

    2/11/08

    2/12/08

    2/13/08

    2/14/08

    2/15/08

    2/19/08

    2/20/08

    2/21/08

    2/22/08

    2/25/08

    2/26/08

    2/27/08

    2/28/08

    2/29/08

    3/3/08

    3/4/08

    3/5/08

    3/6/08

    3/7/08

    3/10/08

    3/11/08

    3/12/08

    3/13/08

    3/14/08

    3/17/08

    3/18/08

    3/19/08

    3/20/08

    3/24/08

    3/25/08

    3/26/08

  • 8/20/2019 VIX Futures Term Structure

    22/450

    3/27/08

    3/28/08

    3/31/08

    4/1/08

    4/2/08

    4/3/08

    4/4/08

    4/7/08

    4/8/08

    4/9/08

    4/10/08

    4/11/08

    4/14/08

    4/15/08

    4/16/08

    4/17/08

    4/18/08

    4/21/08

    4/22/08

    4/23/08

    4/24/08

    4/25/08

    4/28/08

    4/29/08

    4/30/08

    5/1/08

    5/2/08

    5/5/08

    5/6/08

    5/7/08

    5/8/08

    5/9/08

    5/12/08

    5/13/08

    5/14/08

    5/15/08

    5/16/08

    5/19/08

    5/20/08

    5/21/08

    5/22/08

    5/23/08

    5/27/08

    5/28/08

    5/29/08

    5/30/08

    6/2/08

    6/3/08

  • 8/20/2019 VIX Futures Term Structure

    23/450

    6/4/08

    6/5/08

    6/6/08

    6/9/08

    6/10/08

    6/11/08

    6/12/08

    6/13/08

    6/16/08

    6/17/08

    6/18/08

    6/19/08

    6/20/08

    6/23/08

    6/24/08

    6/25/08

    6/26/08

    6/27/08

    6/30/08

    7/1/08

    7/2/08

    7/3/08

    7/7/08

    7/8/08

    7/9/08

    7/10/08

    7/11/08

    7/14/08

    7/15/08

    7/16/08

    7/17/08

    7/18/08

    7/21/08

    7/22/08

    7/23/08

    7/24/08

    7/25/08

    7/28/08

    7/29/08

    7/30/08

    7/31/08

    8/1/08

    8/4/08

    8/5/08

    8/6/08

    8/7/08

    8/8/08

    8/11/08

  • 8/20/2019 VIX Futures Term Structure

    24/450

    8/12/08

    8/13/08

    8/14/08

    8/15/08

    8/18/08

    8/19/08

    8/20/08

    8/21/08

    8/22/08

    8/25/08

    8/26/08

    8/27/08

    8/28/08

    8/29/08

    9/2/08

    9/3/08

    9/4/08

    9/5/08

    9/8/08

    9/9/08

    9/10/08

    9/11/08

    9/12/08

    9/15/08

    9/16/08

    9/17/08

    9/18/08

    9/19/08

    9/22/08

    9/23/08

    9/24/08

    9/25/08

    9/26/08

    9/29/08

    9/30/08

    10/1/08

    10/2/08

    10/3/08

    10/6/08

    10/7/08

    10/8/08

    10/9/08

    10/10/08

    10/13/08

    10/14/08

    10/15/08

    10/16/08

    10/17/08

  • 8/20/2019 VIX Futures Term Structure

    25/450

    10/20/08

    10/21/08

    10/22/08

    10/23/08

    10/24/08

    10/27/08

    10/28/08

    10/29/08

    10/30/08

    10/31/08

    11/3/08

    11/4/08

    11/5/08

    11/6/08

    11/7/08

    11/10/08

    11/11/08

    11/12/08

    11/13/08

    11/14/08

    11/17/08

    11/18/08

    11/19/08

    11/20/08

    11/21/08

    11/24/08

    11/25/08

    11/26/08

    11/28/08

    12/1/08

    12/2/08

    12/3/08

    12/4/08

    12/5/08

    12/8/08

    12/9/08

    12/10/08

    12/11/08

    12/12/08

    12/15/08

    12/16/08

    12/17/08

    12/18/08

    12/19/08

    12/22/08

    12/23/08

    12/24/08

    12/26/08

  • 8/20/2019 VIX Futures Term Structure

    26/450

    12/29/08

    12/30/08

    12/31/08

    1/2/09

    1/5/09

    1/6/09

    1/7/09

    1/8/09

    1/9/09

    1/12/09

    1/13/09

    1/14/09

    1/15/09

    1/16/09

    1/20/09

    1/21/09

    1/22/09

    1/23/09

    1/26/09

    1/27/09

    1/28/09

    1/29/09

    1/30/09

    2/2/09

    2/3/09

    2/4/09

    2/5/09

    2/6/09

    2/9/09

    2/10/09

    2/11/09

    2/12/09

    2/13/09

    2/17/09

    2/18/09

    2/19/09

    2/20/09

    2/23/09

    2/24/09

    2/25/09

    2/26/09

    2/27/09

    3/2/09

    3/3/09

    3/4/09

    3/5/09

    3/6/09

    3/9/09

  • 8/20/2019 VIX Futures Term Structure

    27/450

    3/10/09

    3/11/09

    3/12/09

    3/13/09

    3/16/09

    3/17/09

    3/18/09

    3/19/09

    3/20/09

    3/23/09

    3/24/09

    3/25/09

    3/26/09

    3/27/09

    3/30/09

    3/31/09

    4/1/09

    4/2/09

    4/3/09

    4/6/09

    4/7/09

    4/8/09

    4/9/09

    4/13/09

    4/14/09

    4/15/09

    4/16/09

    4/17/09

    4/20/09

    4/21/09

    4/22/09

    4/23/09

    4/24/09

    4/27/09

    4/28/09

    4/29/09

    4/30/09

    5/1/09

    5/4/09

    5/5/09

    5/6/09

    5/7/09

    5/8/09

    5/11/09

    5/12/09

    5/13/09

    5/14/09

    5/15/09

  • 8/20/2019 VIX Futures Term Structure

    28/450

    5/18/09

    5/19/09

    5/20/09

    5/21/09

    5/22/09

    5/26/09

    5/27/09

    5/28/09

    5/29/09

    6/1/09

    6/2/09

    6/3/09

    6/4/09

    6/5/09

    6/8/09

    6/9/09

    6/10/09

    6/11/09

    6/12/09

    6/15/09

    6/16/09

    6/17/09

    6/18/09

    6/19/09

    6/22/09

    6/23/09

    6/24/09

    6/25/09

    6/26/09

    6/29/09

    6/30/09

    7/1/09

    7/2/09

    7/6/09

    7/7/09

    7/8/09

    7/9/09

    7/10/09

    7/13/09

    7/14/09

    7/15/09

    7/16/09

    7/17/09

    7/20/09

    7/21/09

    7/22/09

    7/23/09

    7/24/09

  • 8/20/2019 VIX Futures Term Structure

    29/450

    7/27/09

    7/28/09

    7/29/09

    7/30/09

    7/31/09

    8/3/09

    8/4/09

    8/5/09

    8/6/09

    8/7/09

    8/10/09

    8/11/09

    8/12/09

    8/13/09

    8/14/09

    8/17/09

    8/18/09

    8/19/09

    8/20/09

    8/21/09

    8/24/09

    8/25/09

    8/26/09

    8/27/09

    8/28/09

    8/31/09

    9/1/09

    9/2/09

    9/3/09

    9/4/09

    9/8/09

    9/9/09

    9/10/09

    9/11/09

    9/14/09

    9/15/09

    9/16/09

    9/17/09

    9/18/09

    9/21/09

    9/22/09

    9/23/09

    9/24/09

    9/25/09

    9/28/09

    9/29/09

    9/30/09

    10/1/09

  • 8/20/2019 VIX Futures Term Structure

    30/450

    10/2/09

    10/5/09

    10/6/09

    10/7/09

    10/8/09

    10/9/09

    10/12/09

    10/13/09

    10/14/09

    10/15/09

    10/16/09

    10/19/09

    10/20/09

    10/21/09

    10/22/09

    10/23/09

    10/26/09

    10/27/09

    10/28/09

    10/29/09

    10/30/09

    11/2/09

    11/3/09

    11/4/09

    11/5/09

    11/6/09

    11/9/09

    11/10/09

    11/11/09

    11/12/09

    11/13/09

    11/16/09

    11/17/09

    11/18/09

    11/19/09

    11/20/09

    11/23/09

    11/24/09

    11/25/09

    11/27/09

    11/30/09

    12/1/09

    12/2/09

    12/3/09

    12/4/09

    12/7/09

    12/8/09

    12/9/09

  • 8/20/2019 VIX Futures Term Structure

    31/450

    12/10/09

    12/11/09

    12/14/09

    12/15/09

    12/16/09

    12/17/09

    12/18/09

    12/21/09

    12/22/09

    12/23/09

    12/24/09

    12/28/09

    12/29/09

    12/30/09

    12/31/09

    1/4/10

    1/5/10

    1/6/10

    1/7/10

    1/8/10

    1/11/10

    1/12/10

    1/13/10

    1/14/10

    1/15/10

    1/19/10

    1/20/10

    1/21/10

    1/22/10

    1/25/10

    1/26/10

    1/27/10

    1/28/10

    1/29/10

    2/1/10

    2/2/10

    2/3/10

    2/4/10

    2/5/10

    2/8/10

    2/9/10

    2/10/10

    2/11/10

    2/12/10

    2/16/10

    2/17/10

    2/18/10

    2/19/10

  • 8/20/2019 VIX Futures Term Structure

    32/450

    2/22/10

    2/23/10

    2/24/10

    2/25/10

    2/26/10

    3/1/10

    3/2/10

    3/3/10

    3/4/10

    3/5/10

    3/8/10

    3/9/10

    3/10/10

    3/11/10

    3/12/10

    3/15/10

    3/16/10

    3/17/10

    3/18/10

    3/19/10

    3/22/10

    3/23/10

    3/24/10

    3/25/10

    3/26/10

    3/29/10

    3/30/10

    3/31/10

    4/1/10

    4/5/10

    4/6/10

    4/7/10

    4/8/10

    4/9/10

    4/12/10

    4/13/10

    4/14/10

    4/15/10

    4/16/10

    4/19/10

    4/20/10

    4/21/10

    4/22/10

    4/23/10

    4/26/10

    4/27/10

    4/28/10

    4/29/10

  • 8/20/2019 VIX Futures Term Structure

    33/450

    4/30/10

    5/3/10

    5/4/10

    5/5/10

    5/6/10

    5/7/10

    5/10/10

    5/11/10

    5/12/10

    5/13/10

    5/14/10

    5/17/10

    5/18/10

    5/19/10

    5/20/10

    5/21/10

    5/24/10

    5/25/10

    5/26/10

    5/27/10

    5/28/10

    6/1/10

    6/2/10

    6/3/10

    6/4/10

    6/7/10

    6/8/10

    6/9/10

    6/10/10

    6/11/10

    6/14/10

    6/15/10

    6/16/10

    6/17/10

    6/18/10

    6/21/10

    6/22/10

    6/23/10

    6/24/10

    6/25/10

    6/28/10

    6/29/10

    6/30/10

    7/1/10

    7/2/10

    7/6/10

    7/7/10

    7/8/10

  • 8/20/2019 VIX Futures Term Structure

    34/450

    7/9/10

    7/12/10

    7/13/10

    7/14/10

    7/15/10

    7/16/10

    7/19/10

    7/20/10

    7/21/10

    7/22/10

    7/23/10

    7/26/10

    7/27/10

    7/28/10

    7/29/10

    7/30/10

    8/2/10

    8/3/10

    8/4/10

    8/5/10

    8/6/10

    8/9/10

    8/10/10

    8/11/10

    8/12/10

    8/13/10

    8/16/10

    8/17/10

    8/18/10

    8/19/10

    8/20/10

    8/23/10

    8/24/10

    8/25/10

    8/26/10

    8/27/10

    8/30/10

    8/31/10

    9/1/10

    9/2/10

    9/3/10

    9/7/10

    9/8/10

    9/9/10

    9/10/10

    9/13/10

    9/14/10

    9/15/10

  • 8/20/2019 VIX Futures Term Structure

    35/450

  • 8/20/2019 VIX Futures Term Structure

    36/450

    11/23/10

    11/24/10

    11/26/10

    11/29/10

    11/30/10

    12/1/10

    12/2/10

    12/3/10

    12/6/10

    12/7/10

    12/8/10

    12/9/10

    12/10/10

    12/13/10

    12/14/10

    12/15/10

    12/16/10

    12/17/10

    12/20/10

    12/21/10

    12/22/10

    12/23/10

    12/27/10

    12/28/10

    12/29/10

    12/30/10

    12/31/10

    1/3/11

    1/4/11

    1/5/11

    1/6/11

    1/7/11

    1/10/11

    1/11/11

    1/12/11

    1/13/11

    1/14/11

    1/18/11

    1/19/11

    1/20/11

    1/21/11

    1/24/11

    1/25/11

    1/26/11

    1/27/11

    1/28/11

    1/31/11

    2/1/11

  • 8/20/2019 VIX Futures Term Structure

    37/450

    2/2/11

    2/3/11

    2/4/11

    2/7/11

    2/8/11

    2/9/11

    2/10/11

    2/11/11

    2/14/11

    2/15/11

    2/16/11

    2/17/11

    2/18/11

    2/22/11

    2/23/11

    2/24/11

    2/25/11

    2/28/11

    3/1/11

    3/2/11

    3/3/11

    3/4/11

    3/7/11

    3/8/11

    3/9/11

    3/10/11

    3/11/11

    3/14/11

    3/15/11

    3/16/11

    3/17/11

    3/18/11

    3/21/11

    3/22/11

    3/23/11

    3/24/11

    3/25/11

    3/28/11

    3/29/11

    3/30/11

    3/31/11

    4/1/11

    4/4/11

    4/5/11

    4/6/11

    4/7/11

    4/8/11

    4/11/11

  • 8/20/2019 VIX Futures Term Structure

    38/450

    4/12/11

    4/13/11

    4/14/11

    4/15/11

    4/18/11

    4/19/11

    4/20/11

    4/21/11

    4/25/11

    4/26/11

    4/27/11

    4/28/11

    4/29/11

    5/2/11

    5/3/11

    5/4/11

    5/5/11

    5/6/11

    5/9/11

    5/10/11

    5/11/11

    5/12/11

    5/13/11

    5/16/11

    5/17/11

    5/18/11

    5/19/11

    5/20/11

    5/23/11

    5/24/11

    5/25/11

    5/26/11

    5/27/11

    5/31/11

    6/1/11

    6/2/11

    6/3/11

    6/6/11

    6/7/11

    6/8/11

    6/9/11

    6/10/11

    6/13/11

    6/14/11

    6/15/11

    6/16/11

    6/17/11

    6/20/11

  • 8/20/2019 VIX Futures Term Structure

    39/450

    6/21/11

    6/22/11

    6/23/11

    6/24/11

    6/27/11

    6/28/11

    6/29/11

    6/30/11

    7/1/11

    7/5/11

    7/6/11

    7/7/11

    7/8/11

    7/11/11

    7/12/11

    7/13/11

    7/14/11

    7/15/11

    7/18/11

    7/19/11

    7/20/11

    7/21/11

    7/22/11

    7/25/11

    7/26/11

    7/27/11

    7/28/11

    7/29/11

    8/1/11

    8/2/11

    8/3/11

    8/4/11

    8/5/11

    8/8/11

    8/9/11

    8/10/11

    8/11/11

    8/12/11

    8/15/11

    8/16/11

    8/17/11

    8/18/11

    8/19/11

    8/22/11

    8/23/11

    8/24/11

    8/25/11

    8/26/11

  • 8/20/2019 VIX Futures Term Structure

    40/450

    8/29/11

    8/30/11

    8/31/11

    9/1/11

    9/2/11

    9/6/11

    9/7/11

    9/8/11

    9/9/11

    9/12/11

    9/13/11

    9/14/11

    9/15/11

    9/16/11

    9/19/11

    9/20/11

    9/21/11

    9/22/11

    9/23/11

    9/26/11

    9/27/11

    9/28/11

    9/29/11

    9/30/11

    10/3/11

    10/4/11

    10/5/11

    10/6/11

    10/7/11

    10/10/11

    10/11/11

    10/12/11

    10/13/11

    10/14/11

    10/17/11

    10/18/11

    10/19/11

    10/20/11

    10/21/11

    10/24/11

    10/25/11

    10/26/11

    10/27/11

    10/28/11

    10/31/11

    11/1/11

    11/2/11

    11/3/11

  • 8/20/2019 VIX Futures Term Structure

    41/450

    11/4/11

    11/7/11

    11/8/11

    11/9/11

    11/10/11

    11/11/11

    11/14/11

    11/15/11

    11/16/11

    11/17/11

  • 8/20/2019 VIX Futures Term Structure

    42/450

    1/19/05 2/16/05 3/16/05 5/18/05 6/15/05 8/17/05 10/19/05 11/16/05 12/21/05

  • 8/20/2019 VIX Futures Term Structure

    43/450

    200.5

    200.1

    194.1

    196.7

    197.3

    199.8

    200.7

    199.3

    200.6

    201.2

    203.5

    202.6

    203.8

    204

    205.3

    204.8

    205

    205.1

    206.1

    207.8

    206.9

    210.4

    209.5

    211.6

    214.7

    212.3

    215.4

    217

    216.3

    214.9

    216

    216.5

    216.9

    219.5

    218.4

    216

  • 8/20/2019 VIX Futures Term Structure

    44/450

    215.8

    217.3

    216.9

    215.6

    216.1

    213.6

    214

    213.5

    214.4

    213.4

    202.7

    201.6

    199.3

    201.1

    199.4

    198.7

    194.1

    191.8

    189.1

    189.5

    186.9

    186.1

    179.3

    179.3

    181

    181.4

    177.7

    180.4 184.4

    174.8 186.6

    178.9 188

    180.5 188.4

    179.8 187.5

    181.3 189.4

    176.3 188.2

    174.6 186.7

    172.5 186.2

    167.5 181.9

    166 181.4

    165.7 179.4

    160.9 177

    164.2 177.9

    166.7 178.9

    167.1 177.9

    166.3 178.9

    168.7 178.9

    172 180.1

    170 179.3

    168 177.3

  • 8/20/2019 VIX Futures Term Structure

    45/450

    170.7 178.7

    173.4 180.4

    167 172.1 179.5

    169.4 174 180.5

    171.9 179.2 183.8

    168.5 174.8 182.6

    167.6 173.5 182.1

    166.5 171.5 180.7

    165.7 170.8 180.5

    166.3 171.2 181

    162.8 169.1 178.2

    157.9 162.5 173.9

    152.9 156.6 170.5

    151.4 158.1 169.5

    152.3 157.9 169.9

    151.8 157.7 168.6

    149.8 156.2 167.9

    148 154.3 165.9

    147.7 153.9 164.6

    148.8 155.1 165.7

    151.6 158.4 168.6

    151.2 157.7 168.8

    151.2 157.7 168.3

    154.5 163.7 172.1

    152.2 162.8 172.3 173.6

    151.5 161.3 170.8 177

    150.3 160.2 170 176.8

    150.1 162.7 169.8 176.6

    150.6 161.5 170.9 177.8

    150.8 160.7 171 177.9

    148.8 158.5 169 177.5

    148.2 157.5 168.4 177.5

    148.1 154.8 168 177.2

    142.4 152.8 167.1 177.2

    144.7 153.2 167.6 178.3

    143 153.5 166.7 174.5

    142.2 154 165.7 171.5

    141.6 153.6 165.2 171.8

    138.7 151.1 160.6 169.3

    138.9 150.5 159.6 167.1

    139.3 149.9 158.6 165.6

    137.7 147.6 158.5 166.6

    138 148.6 159.5 166.9

    137.7 148.2 159.4 165.5

    135 145.5 157.8 166.5

    135.3 145.9 158.3 167.2

    134.5 145.1 158.6 167.2

    134.7 145 159.2 167.5

  • 8/20/2019 VIX Futures Term Structure

    46/450

    134.3 147 158.9 167.6

    134.2 147.3 159.5 168

    134.8 148.1 159.9 168.1

    135.2 148.1 160 169.4

    138.3 149.5 162.6 170.7

    139.2 152.3 164.7 171.4

    139.9 150.8 164.9 171.4

    137.4 147.6 161.8 172

    136.7 146.6 161 173.1

    135.9 144.7 158.8 171.6

    137.2 146 157.6 170.8

    132.4 141.6 155.6 168.2

    130.5 142.3 154.5 166.4

    129.3 140.6 153.7 165.8

    123.2 136.2 149.4 162.5

    127.72 137.8 150.6 164.8

    139.3 151.7 165.2

    142.2 153.8 166.6

    141.5 144.5 153.9 166.4

    140.1 144.9 154.7 166.2

    137.1 144 153.6 165.2

    135.5 141.8 149.3 159.2

    133.8 141.4 149.5 158.4

    132.6 139.1 147.4 155.5

    128.3 134.6 143.1 152.7

    121.9 129.1 139.4 148.5

    122.9 126.8 139.6 146.5

    114.8 122.2 131.6 144.3

    115.9 122 132.9 144.2

    115.4 123.1 132.5 140.8

    118.8 123.3 133.5 142.3

    116.5 121.3 131.8 142.1

    113.7 118.2 128 137

    113.7 119.5 128 137.1

    112.5 119.8 127.5 136.6

    112.93 119.3 125.3 135.2

    120.4 128.1 137.3

    120.5 127.8 137.7

    125 132.8 141.6 147

    124.3 133 139.9 146.8

    122.7 130.7 137.7 147.4

    120.4 129.5 135.6 145.8

    122.9 131.2 137.7 146.7

    122 131.6 137.8 146.4

    124.6 133.7 140.2 147.7

    128.2 135.4 140.9 149.4

    123.3 131.8 139.6 147.3

    122.8 131.3 138.1 147.6

  • 8/20/2019 VIX Futures Term Structure

    47/450

    125 132.9 139.8 148.2

    127.2 135.2 139.4 149.1

    126.5 135.1 140.6 149.1

    127.2 136.2 141.8 149.7

    127 136.4 142.6 149.5

    130.8 138.9 143.8 151.2

    136.26 140.8 146.4 152.1

    141.3 147.8 152.9

    141.3 148.6 153.7

    142.5 146.1 150.3 155.9

    145.6 149.7 154.9 158.8

    146.4 150.4 156.1 160.7

    144.4 148.6 153.7 158.9

    145.5 149.5 154.3 159.3

    150.2 151.8 155.3 159.5

    145.6 150.3 154.8 158.3

    145.5 150.4 154 157.9

    147.8 152 156.3 161.2

    150 152 155.4 160.5

    148.8 152 155 159.8

    143.5 150.4 153 158.1

    140.5 146.5 150.7 154.7

    140.4 146.9 149.7 155.9

    139.5 146.2 150.7 157.3

    136.1 142.7 147.5 156.1

    141.2 145.1 151 158.5

    149.3 152.4 157.5 163.3

    156 159.5 163.2 170.1

    156 159.7 164.1 169.1

    150.1 156 158.5 166.8

    154 158.5 164.8 169.2

    145.7 149.1 153.6 159.8

    150.3 151.4 155.6 162.1

    144.2 149.6 153.2 160.4

    147.6 150.5 154.6 161.9

    147.8 149.9 155 161.6

    155.5 156.8 160.9 165.3

    154 155.8 158.9 165.6

    149.5 151.1 155.4 163

    148.4 149.4 154.2 161.1

    142.1 144 150.5 158.2

    140.9 141.7 147.8 155.7

    141.9 142.1 148.7 156.7

    139.6 140.2 147.4 156.1

    144.2 145.7 152.7 158.6

    145.2 146.5 152.8 159.7

    154.1 154.3 160 164.2

    159.3 157.6 162.3 167.4

  • 8/20/2019 VIX Futures Term Structure

    48/450

    155.3 155.2 157.2 164.9

    146.5 149.7 153.5 161.4

    138.64 143.1 149.5 157.8

    140.5 147.9 156.5

    138.5 147.5 156.5

    135.5 145.7 153.4

    134.8 144.8 153.3

    136.1 145.3 153.1

    131 143.9 151.5

    131.7 143.7 152.2

    132.7 145.6 153

    130.1 143.4 152.2

    128.3 144.2 152.2

    128.2 144.3 153.4

    124.9 143.3 152.4

    121.4 143.4 151.7

    122.5 143.5 154.2

    122.3 141.8 152.9

    120.8 143.7 152.6

    114.5 141.1 152.4

    111.6 140.7 151.9

    110.12 139.5 151.7

    138.7 150.8

    139.7 151

    140 148.3 151.1

    138.8 149.1 151.4

    138.8 148.6 151.7

    139.6 151.2 153.2

    142.6 152.7 153.7

    141.2 152.3 153.7

    138.7 150.2 150.9

    140.5 151.3 154.1

    140.8 151 153.9

    140.6 150.7 153.8

    138.4 149.2 151.8

    139.6 150 152.8

    140.6 151.1 153.7

    136.9 148.7 151.8

    135.3 149 150.5

    133.9 149.3 150.3

    131.8 149 150.4

    130.1 148 149.5

    128.9 146.2 149

    128.5 145.3 149.2

    126.4 144.9 146.4

    125.3 144 146

    124.5 143.3 146.2

    122.6 142.1 144

  • 8/20/2019 VIX Futures Term Structure

    49/450

    123.5 141.5 145.9

    124.4 141.2 145.5

    123.1 140.1 145.5

    121.2 139.2 145.1

    123.1 140.1 145.4

    124.5 141.8 146.7

    124 140.8 145.9

    124.2 141.1 146.6

    127 141.9 147.8

    127.8 142.9 149.9

    128.8 144.3 151.3

    124 140.5 148.6

    120.9 141.9 148.8

    119.8 140.3 149.4

    120.5 144.1 150.7

    118.2 143.1 149.7

    126.1 146.1 152.2

    128.19 144.9 148.9

    143.8 149

    142.7 147.9

    142.4 147.3

    142.5 148

    142.6 149.6

    142.8 150

    143.6 151

    142 150.7

    143 151.7

    141.1 150.8

    141.8 150.5

    142.3 153

    140.9 150.2

    139.2 148.9

    139.4 148.3

    137.1 147.5

    136.5 147

    137.8 147.1

    137.7 148

    137.1 147.7

    135.1 146.5

    135.9 147.1

    136.6 147.1

    139.8 150.4

    141.8 150.1

    139.5 149.1

    137.5 148.4

    136.3 147.4

    134.3 145.1

    131.5 142.3

  • 8/20/2019 VIX Futures Term Structure

    50/450

    129.4 140.4

    128.6 140.2

    131.8 140.3

    138 143.3

    141 148.4

    140.5 148.3

    145.6 151.8

    146.3 150.9

    147.7 152.8

    153.6 152.8

    147.7 147.6

    143 147.8

    145.7 148.3

    151.72 146.6

    151.7

    151.1

    146.6 151.4

    145.4 149.2

    143.7 147

    149.5 149.4

    145.1 148.5

    144.7 145.3

    143.2 145.8

    138.9 141.8

    132.9 136.5

    132.1 135.6

    131.2 135

    131.8 135.6

    129 133.5

    123.9 131

    118.9 127

    119.4 128.7

    118.7 128

    123.06 127.6

    124.2

    120.5

    120.8

    120.1

    119.4

    119.6

    120.6

    121.1

    121.9

    120.3

    117.7

    118.3

    118.1

    121.5

  • 8/20/2019 VIX Futures Term Structure

    51/450

    121.5

    120.1

    119.6

    116.8

    113.3

    111.6

    110.2

    111.1

    111.5

    101.75

  • 8/20/2019 VIX Futures Term Structure

    52/450

  • 8/20/2019 VIX Futures Term Structure

    53/450

  • 8/20/2019 VIX Futures Term Structure

    54/450

  • 8/20/2019 VIX Futures Term Structure

    55/450

  • 8/20/2019 VIX Futures Term Structure

    56/450

  • 8/20/2019 VIX Futures Term Structure

    57/450

  • 8/20/2019 VIX Futures Term Structure

    58/450

  • 8/20/2019 VIX Futures Term Structure

    59/450

  • 8/20/2019 VIX Futures Term Structure

    60/450

  • 8/20/2019 VIX Futures Term Structure

    61/450

  • 8/20/2019 VIX Futures Term Structure

    62/450

  • 8/20/2019 VIX Futures Term Structure

    63/450

  • 8/20/2019 VIX Futures Term Structure

    64/450

  • 8/20/2019 VIX Futures Term Structure

    65/450

  • 8/20/2019 VIX Futures Term Structure

    66/450

  • 8/20/2019 VIX Futures Term Structure

    67/450

  • 8/20/2019 VIX Futures Term Structure

    68/450

  • 8/20/2019 VIX Futures Term Structure

    69/450

  • 8/20/2019 VIX Futures Term Structure

    70/450

  • 8/20/2019 VIX Futures Term Structure

    71/450

  • 8/20/2019 VIX Futures Term Structure

    72/450

  • 8/20/2019 VIX Futures Term Structure

    73/450

  • 8/20/2019 VIX Futures Term Structure

    74/450

  • 8/20/2019 VIX Futures Term Structure

    75/450

  • 8/20/2019 VIX Futures Term Structure

    76/450

  • 8/20/2019 VIX Futures Term Structure

    77/450

  • 8/20/2019 VIX Futures Term Structure

    78/450

  • 8/20/2019 VIX Futures Term Structure

    79/450

  • 8/20/2019 VIX Futures Term Structure

    80/450

  • 8/20/2019 VIX Futures Term Structure

    81/450

  • 8/20/2019 VIX Futures Term Structure

    82/450

  • 8/20/2019 VIX Futures Term Structure

    83/450

    1/18/06 2/15/06 3/22/06 4/19/06 5/17/06 6/21/06 7/19/06 8/16/06 9/20/06

  • 8/20/2019 VIX Futures Term Structure

    84/450

  • 8/20/2019 VIX Futures Term Structure

    85/450

  • 8/20/2019 VIX Futures Term Structure

    86/450

  • 8/20/2019 VIX Futures Term Structure

    87/450

  • 8/20/2019 VIX Futures Term Structure

    88/450

  • 8/20/2019 VIX Futures Term Structure

    89/450

    158.7

    159

    159.2

    158.9

    158.8

    159.4

    158.7

    157.7

    159.7

    159.2

    157.3

    159.3

    158.6

    158.6

    157.1

    156.5

    156.3

    155.3

    156.9

    157.2

    156.6

    157.3

    158.1

    160.1

    160.2

    158

    159.7

    159.9

    159.9

    159.1

    158.9

    159.8

    158.4

    157.9

    157.5

    157

    156

    155.6

    156.1

    153.3

    153.3

    153.6

    152.6

  • 8/20/2019 VIX Futures Term Structure

    90/450

    153.2

    153.7

    154.3

    152.6

    154.9

    156

    156.2

    156.3

    157.6

    160.9

    160.8

    158.6

    157.7

    158.6

    159.8

    159.9

    161.9

    158.9

    159.6

    158.3

    159.3 165.4

    159.5 167

    162.5 169.4

    163.8 171.5

    164.7 172.7

    165.1 172.6

    165.5 173.1

    165.2 173.2

    164.8 174.1

    165.5 174.9

    164.8 173.8

    163.9 172.8

    163 173

    161.9 170.5

    160.9 169.8

    160.6 168.6

    161.9 169.5

    161.1 169.5

    160.8 169.6

    161.4 169.5

    160.1 168.3

    160.7 168.5

    160.2 168.6

    159.7 167.8

    159.4 168.1

    158.1 167.5

    156.7 167

    153.3 163.1

  • 8/20/2019 VIX Futures Term Structure

    91/450

    151.6 163.1

    152.2 162.1

    153.5 162.8

    155 164.4

    158.7 166.1

    156 164.2

    158.7 166.2

    159.7 167.3

    161.2 167.2

    162.1 168.9

    159.1 167.8

    159.2 167.2

    160.2 168.2

    158.9 167.2

    162.5 171.1

    161.7 170.4

    159.3 167.3

    159.2 167.2

    158 165.9

    160.2 167.6

    158 165.8

    157 165.2

    156.3 165

    153.3 161.9

    149.7 159.6

    149.2 158.3

    147.8 158

    147.9 158.4

    147 156.2

    145.9 154.2

    144.7 152.9

    145.5 153.5

    145.3 154.1

    145.6 153.7

    143.7 152

    143 151.7

    134.5 143.3 152.5

    131.9 142 152.1

    131.3 142.4 151.8

    131.1 144.4 153.1

    133.1 143.9 154.5

    132.1 144.1 154.4

    132.2 144.8 155.7

    131.1 144.4 155.3

    130.4 142.7 154.4

    130.2 143.2 154.6

    130.2 142.3 154.7

    129.4 142.4 154.8

  • 8/20/2019 VIX Futures Term Structure

    92/450

    129.2 142.7 155.6

    128.6 141.8 154.5

    129 142 154.5

    129.2 141 152.7

    128.1 141.1 153.7

    127.8 141.7 154.1

    129.3 142.3 155.1

    128.8 144.7 156

    127.6 145.3 156.4

    125.9 143.3 155.4

    124.8 141.8 154.8 161.9

    122.1 141.1 154.1 162.5

    124.5 142 155.4 163.9

    123.2 141.1 154.6 164

    123.2 141 154.2 163.8

    124.5 140.9 154.6 164.7

    120.2 138.8 153.8 163

    118.4 138.4 152.5 162.2

    118.3 137.3 152.8 162.1

    115.6 135.3 151.6 161.8

    113.3 132.9 150.9 160.1

    112.2 130.4 150.2 160.3

    111.9 128.4 149.4 160

    113 129.9 149.8 160.7

    113.2 129.5 150.5 161.9

    117.1 130.9 151.1 161.5

    126.15 132.7 151.8 162.9

    131.1 150.9 162

    135.3 153 163.2

    137.4 142.8 151.4 162.8

    135.6 140.2 150.5 161.1

    133.2 138.2 150.1 159.5

    129.2 136.8 147.8 159.2

    127.2 133.5 146.2 156.1

    125.3 132.1 145.5 156.5

    127 131.9 145.4 157

    126.6 131.4 144.7 156.6

    128.6 132.3 146.3 157.9

    128.7 131.7 146.1 157.2

    128 132.3 146.4 157.7

    130.2 132.9 147 158.5

    124.7 130.5 145.4 157.6

    124.1 128.9 144.5 157.1

    123.7 128.5 145.4 157.1

    126.5 130.7 148.3 158.4

    119.5 129.3 146.4 156.8

    120.43 129.9 146 157

    127.4 143.6 155.7

  • 8/20/2019 VIX Futures Term Structure

    93/450

    126 143.2 154.2

    124.4 136.7 142 152.1

    121.9 129.9 140.4 152

    122 129.4 138.8 150.5

    121 127.6 138.6 149.6

    119.6 127.1 138.1 149.8

    121.9 128 138.3 150.1

    120.5 127.5 137.3 148.5

    120.7 127.8 136.5 148.4

    121.1 127.6 134.8 148

    123.4 128.5 135.3 147.6

    124.4 129.4 135.9 147.9

    122.5 128.5 135.2 146.6

    123.8 129 135.6 146.1

    122.1 128.1 134.9 145.5

    118.8 127.7 134.1 144.5

    115.1 126.6 133.3 143.6

    114.8 126.6 133.3 142.8

    114.5 124.5 132.9 142.6

    116.6 124.7 133.1 141.3

    115 125.6 132.9 141.8

    115.3 126.2 133.3 141.9

    111.45 124.3 130.5 141

    124.5 130.3 140.8

    123.6 130.2 139.9

    123.8 129.8 139.9

    123.5 130 139.3

    120.6 128.3 137.9

    120 127.5 137.8

    121.2 128.1 137.3

    120.9 127.6 137.4

    120 127.2 137

    119 125.6 136.5

    119.2 123.8 135.9

    120.7 126.4 136.7

    123 127.2 136.6

    126.1 128.7 137.8

    126.3 129.8 138.3

    125.7 129.5 138.1

    126.1 129.9 139.4

    114.8 126.2 137.5

    119.41 126.1 137.2

    124.4 136.5

    126.4 136.6

    125.9 129.1 137.9

    125.9 127.9 137.2

    124.2 126.6 136.5

    123.5 125.6 136.4

  • 8/20/2019 VIX Futures Term Structure

    94/450

    122.3 125.5 135.7

    125.3 126.5 137.3

    123.1 125.2 136.8

    124.1 126.7 137.5

    122.6 127 138.1

    121 125.5 136.6

    120.8 126 136.4

    119.6 125.3 134.3

    119.8 124.6 132.7

    123.6 127.8 136.4

    131.2 133.5 139.8

    131.7 132.7 138.3

    129.8 131.1 137.5

    140.25 144.2 143.4

    146.3 144.6

    148.6 146.7

    158.4 151.2 152.3

    157.1 149.1 150.4

    161.9 152.4 156

    154 150.5 153.9

    149 148.2 152.8

    163.4 160.4 161

    159 158.8 158.7

    151.3 153.5 156.7

    147.3 149.8 156.7

    158.7 155.9 161.6

    163.2 158.8 161.3

    166.7 163.5 164.3

    171.3 169.1 167.8

    174.3 170.2 169.5

    182.1 175.7 177.5

    207.8 186.9 187

    216.2 189.4 188

    161 162.4 166

    166.5 167.3 169.9

    169.9 168.8 169.5

    169.4 166.2 166.8

    172.85 156.7 159.9

    157.6 159.8

    156.9 157.5

    155.6 155.9

    159.3 160.4

    159.6 159.9

    143.4 152.1

    140.2 148.7

    137.2 146.3

    144 150.2

    141.6 152.4

  • 8/20/2019 VIX Futures Term Structure

    95/450

    143.6 153.9

    143.2 154.3

    139 152.2

    144.4 155.8

    163.6 166.9

    172.7 171.3

    173.5 169.6

    178.6 167

    170.05 158.1

    163.3

    167.1

    154.1 158

    149.9 153.4

    148.7 152.8

    151.3 155.2

    146.1 151.6

    147.1 153.6

    150.6 157.4

    147.3 154.6

    146 153.1

    148.4 155.2

    150.3 156.1

    149.8 155.6

    149.6 153.5

    147.7 155.2

    147.3 156.1

    139.5 150.4

    132.3 149.3

    122.85 141.9

    140.8

    138.5

    136.9

    136

    139.3

    138.6

    135.4

    133.1

    135.6

    134.6

    132.3

    129.5

    129.9

    136.9

    138.3

    136.8

    136

    125.7

    122.2

  • 8/20/2019 VIX Futures Term Structure

    96/450

    123

    120.9

    118.8

    118.2

    112.89

  • 8/20/2019 VIX Futures Term Structure

    97/450

  • 8/20/2019 VIX Futures Term Structure

    98/450

  • 8/20/2019 VIX Futures Term Structure

    99/450

  • 8/20/2019 VIX Futures Term Structure

    100/450

  • 8/20/2019 VIX Futures Term Structure

    101/450

  • 8/20/2019 VIX Futures Term Structure

    102/450

  • 8/20/2019 VIX Futures Term Structure

    103/450

  • 8/20/2019 VIX Futures Term Structure

    104/450

  • 8/20/2019 VIX Futures Term Structure

    105/450

  • 8/20/2019 VIX Futures Term Structure

    106/450

  • 8/20/2019 VIX Futures Term Structure

    107/450

  • 8/20/2019 VIX Futures Term Structure

    108/450

  • 8/20/2019 VIX Futures Term Structure

    109/450

  • 8/20/2019 VIX Futures Term Structure

    110/450

  • 8/20/2019 VIX Futures Term Structure

    111/450

  • 8/20/2019 VIX Futures Term Structure

    112/450

  • 8/20/2019 VIX Futures Term Structure

    113/450

  • 8/20/2019 VIX Futures Term Structure

    114/450

  • 8/20/2019 VIX Futures Term Structure

    115/450

  • 8/20/2019 VIX Futures Term Structure

    116/450

  • 8/20/2019 VIX Futures Term Structure

    117/450

  • 8/20/2019 VIX Futures Term Structure

    118/450

  • 8/20/2019 VIX Futures Term Structure

    119/450

  • 8/20/2019 VIX Futures Term Structure

    120/450

  • 8/20/2019 VIX Futures Term Structure

    121/450

  • 8/20/2019 VIX Futures Term Structure

    122/450

  • 8/20/2019 VIX Futures Term Structure

    123/450

  • 8/20/2019 VIX Futures Term Structure

    124/450

    10/18/06 11/15/06 12/20/06 1/17/07 2/14/07 3/21/07 4/18/07 5/16/07 6/20/07

  • 8/20/2019 VIX Futures Term Structure

    125/450

  • 8/20/2019 VIX Futures Term Structure

    126/450

  • 8/20/2019 VIX Futures Term Structure

    127/450

  • 8/20/2019 VIX Futures Term Structure

    128/450

  • 8/20/2019 VIX Futures Term Structure

    129/450

  • 8/20/2019 VIX Futures Term Structure

    130/450

  • 8/20/2019 VIX Futures Term Structure

    131/450

  • 8/20/2019 VIX Futures Term Structure

    132/450

  • 8/20/2019 VIX Futures Term Structure

    133/450

  • 8/20/2019 VIX Futures Term Structure

    134/450

    154.1 160.4

    153.1 161.3

    153.7 161.3

    153 161.1

    152.5 160.9

    153.4 161.7

    153.2 161.2

    152.8 160.6

    152.4 161.5

    152 161.1

    151.3 160.7 171.6

    150.6 160.7 170.1

    150.3 160.3 170

    149.6 160.1 170.1

    149.1 159.2 169.7

    148.6 158.1 168.8

    147.4 157.6 168.4

    147.2 157.4 168.8

    146.4 156.4 168.3

    146.2 157 168

    146 156.5 167.6

    146 155.1 166.6

    145.6 154.5 165.6

    145.9 155 163.7

    146.8 155 161.1

    146.9 155 160.2

    148.1 155 161

    147.8 153.8 160.2

    147.1 153.2 160.1

    145.8 152.3 159.9

    146.8 153.1 159.8

    147.4 153 159.2

    147 153.5 158.4

    146.4 152.5 158.2

    146 151.5 157.8

  • 8/20/2019 VIX Futures Term Structure

    135/450

    146.2 151.6 156.1

    145.8 151.4 155.1

    145.6 151.2 155.3

    146.5 152.6 156.3

    145.8 152.8 156.7

    145.9 152.7 157.5

    145 152.7 157.1

    144.3 153 157.2

    144.5 151.5 157.3

    145.9 152.3 157.5

    147.9 155.2 160.3

    146.9 155.5 160.8

    146.4 155.1 160.3

    149.9 155.6 160.9

    149.4 153.9 160.1

    151 154.6 159.3

    153.9 157.3 160.6

    152.6 156.7 158.9

    155.6 158.9 160.6

    153 157.4 160.5

    154.1 157.1 160.3

    161.4 161.3 162.6

    161.1 162.1 163.9

    158.4 161.4 162.9

    159.1 161.7 163.3

    161.6 162.7 163.6

    162.3 163.7 164.4

    163.6 163.9 165.3

    166 167.2 166.4

    167.3 166.3 166.9

    173.8 169.9 167.1

    181.3 174.6 170.4

    184.3 181.8 173.9

    167.1 173.2 173.3

    169.7 179.1 180.2

    169.7 176.5 178.2

    165.5 171.2 174.5

    159 160.2 163.4

    161.5 163.4 163.5

    160.6 163.6 164.3

    160.1 164.1 163.9

    161.3 165.3 164.2

    160.8 166.5 166.2

    156 159.8 160.4

    155.8 158.8 160.7

    155.6 158.7 160.4

    158.4 160.1 160.7

    159.2 161.1 161.2

  • 8/20/2019 VIX Futures Term Structure

    136/450

    162 162 162.3

    162.5 162.6 162.7

    161.3 161.6 162.1

    163.2 163.6 163.9

    169.5 168 167.6

    171.1 171.2 169.5

    169.9 171.7 169.4

    167.6 168 169.1

    157.2 161.5 163.4

    160.8 160.9 162.9

    163.4 163.3 164.2

    158.7 159.8 161.9

    155.8 159.8 161.9

    153.8 159.3 161.9

    157.3 160.1 161.9

    155.3 159.1 161.2

    158.2 159.5 161.8

    160.5 162.7 163.7

    158.4 161.2 162.2

    157.7 160.7 162.1

    159.9 161.6 162.4

    160.9 162.4 162.8

    162.4 162.8 163.9

    162.2 164.6 164.2

    162.6 163.9 164.3

    162.8 164 164.5

    161.8 162.8 164.3

    157.7 162.6 164.8

    156.1 161.8 164.9

    157 165.4 166.9

    158.3 165.3 167.2

    154.6 157.3 165.1 167.5

    151.7 155.9 165 167

    151.8 156.5 167 168.3

    148.3 155.3 165.8 167.5

    146.1 155 164.9 167.5

    144.7 153.9 165 167.6

    144.9 153.9 163.9 167

    144.1 151.9 162.4 166.1

    142.2 150.4 161 165

    139.4 149 160.1 164.5

    140.6 149.8 160.6 164.9

    145.3 151.9 164.1 166.7

    147 153.1 164.5 167.9

    146.3 152.2 161.2 164.8

    147.4 152.5 160 164.4

    140.7 149.9 159.9 164.3

    138.6 149.6 160.2 164.3

  • 8/20/2019 VIX Futures Term Structure

    137/450

    140.8 151.5 161.7 165

    140.5 149.9 162.2 166.4

    139.2 150.3 162.6 166.2

    138.6 148.4 163.9 166.8

    135.9 146.6 162.5 165.3

    139.6 149.9 153 163.1 166.1

    139.9 151.5 159.3 164 167.1

    135 148.1 156.3 162.7 166

    132.2 144.9 156.8 163.5 165.6

    132.1 146.9 157.1 164.1 166.4

    131.8 146.3 156.5 164.3 166.8

    131 146.3 156.2 165.5 168.1

    133.7 148.3 156.3 165.4 168.5

    134.9 147 155.7 164.6 168

    127.2 140.5 152.1 164.8 169

    125.8 139.5 150.6 163.8 169.4

    124.8 139.8 149.4 163.2 168.4

    122.3 137.3 148.2 162.3 167.3

    117.2 134.4 146.2 160.6 163

    116.2 132.4 144.4 159.9 163.5

    113.6 129.5 140.4 157.2 162.2

    111.8 127.8 138.4 154.6 161.8

    106.2 125.1 136.9 151.9 160.7

    112.3 126.5 137.2 153.4 161.5

    114.34 125.9 135.9 151.7 161.3

    125.2 134.8 148.8 158.7

    122.8 132.9 146.3 156.4

    119.5 131.6 140.8 146 150.3 155.3 156.5

    117.8 128.3 140.3 144.7 150.1 154.3 156.2

    114.9 125.2 137.9 145.2 149.9 153.8 155.8

    112.5 122.1 134.6 141.8 149.6 152.5 154.7

    113.1 122.6 134.6 142.4 148.5 151.5 154.2

    113.5 123 134 140.9 146.6 151 154

    113.1 121.6 132.3 139.9 146.1 150.4 152.2

    115.5 124.3 132.2 139.4 144.9 148.8 151.6

    116.5 124.9 132 138.6 145.1 148 150.6

    115 124.5 131.3 139 144.6 147.6 150.4

    111.2 120.2 129.1 137.6 142.8 146.9 149.6

    111.8 120.5 128.4 136.7 140.6 145.3 149.7

    109.2 118.5 128.1 133.9 139.4 144.3 148.6

    109.9 118.7 127.8 133.1 139.3 144.5 148.2

    109.9 119.8 127.2 131.6 137.5 143.9 147.8

    105.9 119.7 126.8 131.7 137 143.3 147.5

    102.5 117.2 125.4 130.6 136.5 142.7 147.1

    102.68 116.2 123.5 129.3 135.4 140.8 145.1

    115.8 122.9 129 133.8 139.8 145.1

    116.7 123.2 129.4 134.4 139.4 144.9

    114.3 123.6 130.9 134.3 139.6 145.5

  • 8/20/2019 VIX Futures Term Structure

    138/450

    115 124.8 133.1 135 139.7 145.9

    116.1 125.9 135 137.3 141.3 147.9

    117.1 128.4 135.2 140 142.7 149.2

    124.6 133.9 139.8 143.2 145.2 151.1

    120 129.6 136.8 141.5 144.8 149.4

    114.6 125.8 134.4 138.9 144.1 149.1

    113.7 125.2 132.8 138.3 143.8 149.4

    116.5 127.4 135 139.5 144.9 151.8

    114.9 125 132.2 138.1 143.7 150.9

    115.2 125.5 132.4 136.7 142.6 149.7

    115.5 126.9 132.6 136.8 142.1 147.9

    120 127.7 135.4 138.2 142.5 148.6

    119.8 128.1 133.2 137.3 141.3 147.6

    114.3 126 133.2 136.5 139.4 147.1

    111.8 125.1 133.3 140 141 147.7

    105.4 124.3 133.7 138.9 141 147.4

    103.7 125.3 134 138.5 142.1 149.8

    104.4 127.1 135.5 140.2 142.6 152.2

    105.6 127.4 136.2 140.2 143.6 151.7

    105.7 123.9 134.6 139 142.7 150.9

    100.53 123.5 133.9 139.2 143.1 150.4

    124.4 135 140.5 143.8 150.9

    126.2 136.8 142.5 144.4 151.6

    122.7 134 138.7 144.6 150.8

    119.5 130.8 137.9 144.4 150.7 153.1

    120.9 131.2 139.3 144.6 151.9 154.7

    123 131.1 140.6 145.3 152.5 154.8

    123 131.1 140.6 145.3 152.5 154.8

    121.1 131.6 136.6 143.6 151.2 154.5

    123.8 134.8 138.3 143.9 152 155

    122.5 133.3 139.3 143.4 149.8 154.6

    123.4 132.1 138.8 143.6 148.8 153.5

    119 131.6 139 143.2 147.9 153

    109.8 122.8 134.4 140.2 147.1 150.4

    106.6 120.8 131.8 138.2 144.5 148.6

    105.9 119 129.1 135.7 144.4 148.8

    107.06 119.1 129 135.7 143.1 147.8

    120.6 129 134.7 140.4 146.9

    116.9 127.8 133.2 139.9 145.4

    118.5 128.8 133.5 140.6 145.4

    114.7 125.8 133.3 139 143.3

    113.2 125.1 132.8 137.5 141.5

    118.3 127.8 134.5 139.1 142.1

    118.8 127.8 134.7 139 142

    118.1 128.1 134.5 139 142.1

    116 126.4 133.5 137.8 141.4

    115.1 123.5 131.7 137.6 140.6

    112.8 122.7 130.8 136.4 140.1

  • 8/20/2019 VIX Futures Term Structure

    139/450

    112 122.4 130.8 136.6 140.5

    111.6 122.8 130.5 137.1 140.5

    111.6 120.3 128.3 134.8 138.8

    109.5 118.9 128.3 134.9 138.2

    110.1 119.7 128.3 135.5 138.2

    112.3 122 131.7 137.4 141.4

    113.6 124.2 133.9 139.5 142.2

    104.3 119.9 131.4 137 140.3

    99.54 116.3 128 135.1 139.5

    115.5 126.1 133.9 138.1

    115.6 125.8 133.7 138.1

    113.7 123.1 132 137.5

    112.4 122.6 131.2 135.9

    111.5 122.1 130.8 135.2

    115.9 125.9 132.4 136.9

    114.4 125.4 132 136.8

    148.1 144.9 144.2 144.2

    135 135.5 138.8 139.9

    141.6 140.4 140.4 141.9

    151.9 145.9 146.9 146.7

    161.5 150.1 149.3 147.9

    150.3 141.2 141 143.1

    143.7 141.7 140.4 140.5

    137.5 137.1 137.5 140.1

    136 137.6 138.4 140

    131.4 136.2 138.1 138.4

    153.4 145.9 144.9 144.7

    158.1 151.5 148.2 145.7

    154 153.3 148.9 145.7

    159.9 157.9 152.2 149.5

    143.2 148.9 146.9 146.7

    130.6 143.8 144.6 148.6

    129.83 132.8 136 138.1

    133.6 137.2 138.5

    133.3 138.7 138.7

    13.38 13.79 13.86

    13.93 13.99 13.98

    14.72 14.59 14.39

    14.6 14.55 14.48

    14.49 14.39 14.5

    14.7 14.77 14.61

    14 14.28 14.21

    13.65 14.2 14.38

    13.53 14 14.26

    13.3 14.03 14.21

    12.71 13.59 14.11

    13.28 13.99 14.48

    12.87 13.73 14.28

  • 8/20/2019 VIX Futures Term Structure

    140/450

    12.39 13.57 14.02

    11.67 12.97 13.35

    11.87 13.14 13.3

    12.03 13.13 13.37

    13.02 13.53

    13.03 13.48

    13.22 13.73

    13.21 13.73

    13.1 13.51

    13.11 13.63

    13.02 13.54

    13.41 13.86

    13.43 13.85

    13.16 13.72

    13.08 13.61

    13.14 13.63

    13.22 13.72

    13.33 13.87

    12.94 13.78

    13.35 14.2

    12.77 13.94

    13.34 14.15

    13.96 14.2

    13.63 14.06

    14.16

    13.99

    13.78

    13.81

    13.75

    14.2

    13.96

    13.83

    13.56

    13.57

    13.41

    13.57

    13.71

    14.33

    15.82

    15.08

    14.69

    15.5

    14.78

    13.86

    13.64

    13.41

    12.88

    13.01

  • 8/20/2019 VIX Futures Term Structure

    141/450

  • 8/20/2019 VIX Futures Term Structure

    142/450

  • 8/20/2019 VIX Futures Term Structure

    143/450

  • 8/20/2019 VIX Futures Term Structure

    144/450

  • 8/20/2019 VIX Futures Term Structure

    145/450

  • 8/20/2019 VIX Futures Term Structure

    146/450

  • 8/20/2019 VIX Futures Term Structure

    147/450

  • 8/20/2019 VIX Futures Term Structure

    148/450

  • 8/20/2019 VIX Futures Term Structure

    149/450

  • 8/20/2019 VIX Futures Term Structure

    150/450

  • 8/20/2019 VIX Futures Term Structure

    151/450

  • 8/20/2019 VIX Futures Term Structure

    152/450

  • 8/20/2019 VIX Futures Term Structure

    153/450

  • 8/20/2019 VIX Futures Term Structure

    154/450

  • 8/20/2019 VIX Futures Term Structure

    155/450

  • 8/20/2019 VIX Futures Term Structure

    156/450

  • 8/20/2019 VIX Futures Term Structure

    157/450

  • 8/20/2019 VIX Futures Term Structure

    158/450

  • 8/20/2019 VIX Futures Term Structure

    159/450

  • 8/20/2019 VIX Futures Term Structure

    160/450

  • 8/20/2019 VIX Futures Term Structure

    161/450

  • 8/20/2019 VIX Futures Term Structure

    162/450

  • 8/20/2019 VIX Futures Term Structure

    163/450

  • 8/20/2019 VIX Futures Term Structure

    164/450

  • 8/20/2019 VIX Futures Term Structure

    165/450

    7/18/07 8/22/07 9/19/07 10/17/07 11/21/07 12/19/07 1/16/08 2/19/08 3/19/08

  • 8/20/2019 VIX Futures Term Structure

    166/450

  • 8/20/2019 VIX Futures Term Structure

    167/450

  • 8/20/2019 VIX Futures Term Structure

    168/450

  • 8/20/2019 VIX Futures Term Structure

    169/450

  • 8/20/2019 VIX Futures Term Structure

    170/450

  • 8/20/2019 VIX Futures Term Structure

    171/450

  • 8/20/2019 VIX Futures Term Structure

    172/450

  • 8/20/2019 VIX Futures Term Structure

    173/450

  • 8/20/2019 VIX Futures Term Structure

    174/450

  • 8/20/2019 VIX Futures Term Structure

    175/450

  • 8/20/2019 VIX Futures Term Structure

    176/450

    163.4

    164.9

    165.4

    164.7

    165.2

    165.9

    163.5

    163.3

    163.3

    163.3

    162.8

  • 8/20/2019 VIX Futures Term Structure

    177/450

    163.2

    163.3

    163.2

    164.4

    166.8

    167.9

    167.8

    168.2

    165.4

    165.5

    166.5

    164.2

    164.1

    163.8

    164.1

    163.3

    163.6

    164.7

    164.2

    163.7

    163.5

    165.1

    164.8

    165.3

    165.8

    165.4

    165.1

    164.9

    164.6

    167

    166.9

    167.4

    167.3

    167.9

    168.1

    167.3

    167.4

    167.8

    166.8

    166.3

    165.7

    165.3

    166.9

    168

    167.8

    167.4

    167.5

    167

  • 8/20/2019 VIX Futures Term Structure

    178/450

    167.3

    167.4

    167.1

    166.7

    166.5

    166.7

    167.2

    166.9

    167.1

    167.3

    168

    168.6

    168.5

    169

    169.8

    170

    168.9

    169.1

    166.1

    166.5

    165.5

    165.5

    165.4

    165.4

    165.5

    164.7

    162.7

    162.5

    163

    162.5

    161.4

    161.3

    160

    158.6

    157.1

    156.8

    156.5

    156.2

    155.8

    155.3

    155.3

    155.7

    155.7

    154.6

    154.5

    154.2

    153.8

    154.5

  • 8/20/2019 VIX Futures Term Structure

    179/450

    155.4 155.8

    155.9 158.7

    156.2 159.4

    157.1 161

    155.4 160

    154.8 159

    155.2 158.7

    155.7 158.6

    155.2 158.3

    155.5 158.6

    155.5 159.6

    155.9 160.3

    154.5 159.3

    153.9 158.9

    154.5 159.1

    153.8 158.6

    155 158.3

    156.8 159.1

    157.5 160.2

    157.3 160.2

    156.9 160.5

    157.4 160.7

    158.3 161.2

    158 161.1

    158 161.2

    159.1 162.5

    159.2 163.1

    159.2 163.1

    159 162.6

    159.4 163

    158.8 163.1

    158.9 162.3

    157.8 162.1

    156.3 160.5

    153.9 159.5

    153.9 159.2

    152.8 158.6

    151.2 157.5

    150.9 157

    147.4 150.4 156.7

    146.6 148.8 155.5

    143.5 148.2 154.6

    144.1 147.8 155.1

    144 147.7 155.3

    144 147.9 155.2

    144.1 147.8 154.9

    143.3 146.8 153.4

    143.1 146.2 153.1

  • 8/20/2019 VIX Futures Term Structure

    180/450

    142.6 146.5 152.8

    143 146.6 152.6

    142.2 145.8 151.9

    141.6 145.6 151.6

    141.3 146 151.7

    143.5 147 152.6

    145.2 147.7 152.8

    143.4 146.6 151

    142.1 147.3 151.6

    141.4 145.6 150.8

    140.8 145 150.4

    140.7 144.6 149.4 153.9

    139.5 141.9 146.3 153

    138.5 141.2 146 152.4

    139.2 143.3 147.2 153.8

    139.3 142.8 146.8 153.7

    145.6 151 151.5 155.9

    140.8 145.1 149.5 154.2

    143.9 146.6 150 153.4

    146.7 147.7 151.5 154

    146.4 147 150.3 153.8

    142.4 143.1 146.5 152.2

    140.6 142.8 145.6 150.7

    141.1 143.1 145.9 150

    140.8 142.2 144.4 149.3

    140.2 141.8 143.9 149.4

    145.2 145 145.6 150.5

    146.8 146.3 147.5 150.8

    144.7 145.5 146.7 150

    147.3 147.8 148.5 150.6

    145.6 146.6 148.2 150.5

    147.3 145.6 147.2 150

    141.7 142.7 145.5 150.2

    140.5 142.4 145.7 149.8

    140 141.7 145.2 150

    13.95 14.19 14.25 14.54 15.01

    14.05 14.3 14.28 14.59 15.04

    14.29 14.42 14.46 14.55 15.09

    14.29 14.33 14.43 14.4 14.9

    14.31 14.43 14.33 14.38 14.9

    14.41 14.42 14.39 14.42 14.9

    14.09 14.17 14.25 14.32 14.76

    14.42 14.44 14.38 14.62 14.78

    14.38 14.4 14.34 14.65 14.85

    14.24 14.31 14.4 14.57 14.84

    14.25 14.32 14.43 14.59 14.85

    14.5 14.66 14.58 14.77 15.07

    14.33 14.49 14.59 14.68 15.02

  • 8/20/2019 VIX Futures Term Structure

    181/450

    14.13 14.28 14.41 14.65 14.97

    13.48 13.98 14.29 14.55 14.94

    13.45 13.91 14.11 14.49 14.87

    13.54 13.98 14.13 14.48 14.88

    13.8 14.09 14.25 14.64 14.97

    13.71 13.98 14.17 14.6 14.9

    13.91 14.14 14.22 14.37 14.62 14.95

    13.97 14.06 14.27 14.38 14.69 14.95

    13.72 13.89 14.1 14.29 14.57 14.74

    13.9 14.11 14.21 14.31 14.53 14.82

    13.75 14.05 14.15 14.31 14.5 14.73

    14.09 14.1 14.22 14.24 14.56 14.76

    13.99 14.11 14.25 14.33 14.55 14.75

    13.97 14.03 14.16 14.33 14.51 14.77

    14.08 14.38 14.49 14.51 14.58 14.93

    14.03 14.47 14.59 14.62 14.74 15.02

    13.89 14.32 14.57 14.66 14.67 14.95

    14.01 14.44 14.55 14.67 14.68 14.98

    14.09 14.35 14.52 14.67 14.67 14.96

    14.38 14.55 14.65 14.65 14.75 15.06

    14.23 14.46 14.59 14.64 14.81 15.06

    14.46 14.64 14.77 14.75 14.78 15.13

    14.66 14.79 14.79 14.86 14.86 15.18

    14.5 14.86 14.97 15.01 15.05 15.31

    14.63 14.97 14.96 15.02 15.13 15.28

    14.45 14.82 14.9 14.97 15.1 15.25

    14.27 14.58 14.77 14.86 14.92 14.9 15.18

    14.35 14.68 14.81 14.89 14.89 14.99 15.19

    14.34 14.61 14.73 14.78 14.83 14.92 15.19

    14.71 14.97 15.03 15.08 15.07 15.05 15.34

    14.64 14.79 14.95 15.01 15.06 15.1 15.35

    14.43 14.7 14.83 14.93 14.97 15.01 15.28

    14.34 14.6 14.78 14.85 14.86 14.92 15.19

    14.26 14.62 14.81 14.8 14.86 14.86 15.14

    14.29 14.66 14.88 14.96 15.14 15.07 15.26

    14.34 14.7 14.97 15.04 15.11 15.17 15.28

    14.39 14.84 15.01 15.09 15.16 15.25 15.37

    14.76 14.97 15.06 15.18 15.29 15.34 15.45

    15.32 15.53 15.55 15.58 15.65 15.67 15.7

    15.14 15.46 15.52 15.54 15.66 15.72 15.81

    14.87 15.16 15.27 15.34 15.43 15.52 15.68

    15.27 15.34 15.46 15.53 15.59 15.61 15.71

    14.97 15.17 15.25 15.36 15.43 15.47 15.55

    14.65 15 15.08 15.1 15.24 15.33 15.5

    14.43 14.83 14.91 15 15.15 15.23 15.48

    14.48 14.86 14.98 15.02 15.19 15.29 15.49

    14.18 14.54 14.83 14.91 15.04 15.12 15.35

    15.03 15.13 15.31 15.35 15.58 15.62 15.67

  • 8/20/2019 VIX Futures Term Structure

    182/450

    15.07 15.38 15.5 15.57 15.75 15.75 15.8

    15.77 15.81 15.83 15.84 15.94 15.99 16.02

    15.99 16.05 16.1 16.07 16.1 16.11 16.14

    16.64 16.53 16.54 16.44 16.53 16.51 16.48

    15.61 15.7 15.79 15.84 15.86 15.91 16.01

    15.55 15.84 15.8 15.8 15.85 15.85 16.01

    16.19 16.16 16.38 16.41 16.33 16.34 16.31

    15.72 15.9 16 16.07 16.1 16.14 16.23

    15.44 15.73 15.78 16.02 16.06 16.07 16.2

    15.63 16.03 16.03 16.09 16.15 16.19 16.29

    15.3 15.73 15.8 15.91 15.98 16.08 16.2

    15.41 15.73 15.87 16.03 16.14 16.18 16.38

    16.67 16.72 16.7 16.68 16.69 16.71 16.73

    16.24 16.65 16.73 16.73 16.71 16.74 16.83

    15.47 16.42 16.45 16.58 16.62 16.64 16.79

    15.45 16.5 16.66 16.7 16.77 16.85 17.03

    15.67 16.7 16.8 16.97 16.99 17.05 17.2

    15.57 16.84 16.97 17.09 17.19 17.21 17.4

    16.87 17.37 17.42 17.45 17.53 17.61 17.76

    17.18 17.36 17.38 17.51 17.59 17.93

    17.72 17.76 17.82 17.88 17.94 18.29

    17.55 17.63 17.67 17.71 17.78 17.92 18.08

    18.18 18.14 18.26 18.4 18.7 18.87 18.88

    18.07 18.18 18.27 18.41 18.47 18.58 18.67

    19.37 19.4 19.37 19.33 19.52 19.81 19.88

    20.07 19.71 19.73 19.76 19.71 19.51 19.56

    19.44 19.35 19.34 19.31 19.3 19.2 19.36

    20.52 20.77 21.1 20.83 20.7 20.94 20.76

    21.8 21.45 21.16 20.98 20.75 20.8 21.03

    20.81 20.65 20.58 20.62 20.45 20.52 20.33

    22.61 22.29 22 21.94 21.75 21.57 21.49

    22.08 21.84 21.3 21.25 21.27 21.3 21.3

    20.71 20.27 20.26 20.28 20.32 20.27 20.39

    20.16 20.25 20.13 20.14 20.13 19.93 20.16

    23.26 22.95 22.55 22.35 22.26 22.28 22.39

    27.18 23.63 23.13 23.11 22.92 23.04 23.01

    26.1 23.2 21.71 21.56 21.66 21.63 21.87

    26.94 24.3 22.63 22.35 22.18 22.05 22.18

    28.81 25.18 22.81 22.65 22.15 22.43 22.31

    30.61 27.25 23.5 22.38 22.45 22.91 22.55

    30.07 26.47 23.89 22.6 22.64 22.66 22.65

    26.34 24.45 22.39 21.94 21.83 21.99 22

    25.24 23.85 22.2 21.58 21.48 21.63 21.61

    25.05 22.7 21.73 21.08 21.01 20.92 21.08

    23.1 22.07 21.04 21.01 20.96 21.06

    22.23 21.29 20.55 20.53 20.48 20.59

    23.28 22.29 20.95 20.78 20.8 20.78

    25.21 24.16 22.45 21.78 21.58 21.58

  • 8/20/2019 VIX Futures Term Structure

    183/450

    24.16 23.32 22.04 21.43 21.5 21.51

    24.45 23.41 22.36 21.75 21.63 21.68

    23.7 22.7 21.87 21.49 21.5 21.45

    22.78 21.87 21.34 21.03 20.98 21.03

    24.16 23.06 21.88 21.35 21.29 21.3

    23.98 22.89 21.72 21.25 21.27 21.2

    25.83 24.1 22.51 21.88 21.65 21.75

    26.72 24.67 22.95 22.1 21.86 21.8

    25.01 23.62 22.46 21.63 21.47 21.41

    24.94 23.88 22.7 21.77 21.54 21.53

    24.85 23.76 22.52 21.47 21.36 21.3

    24.8 23.78 22.45 21.49 21.35 21.38

    25.37 24.34 22.84 21.69 21.6 21.58

    20.18 21.39 21.06 20.48 20.59 20.82

    20.29 20.57 20.23 20.2 20.1 20.19

    20.82 20.75 20.38 20.16 20.28

    19.87 19.98 19.62 19.63 19.65

    19.71 19.91 19.56 19.55 19.61 19.5

    19.88 20.11 19.58 19.49 19.51 19.5

    19.03 19.56 19.28 19.24 19.28 19.22

    18.72 19.39 19.13 19.16 19.14 19.1

    18.92 19.79 19.58 19.48 19.53 19.33

    18.43 19.34 19.19 19.26 19.35 19.41

    18.92 19.69 19.66 19.62 19.61 19.53

    19.1 19.99 19.82 19.79 19.86 19.84

    19.26 20.15 19.89 19.86 19.93 19.87

    17.93 19.27 18.99 19.09 19.24 19.28

    18.2 19.51 19.17 19.28 19.42 19.46

    17.06 18.64 18.62 18.76 19.03 19.05

    17.31 18.62 18.64 18.92 19.11 19.35

    18.53 19.8 19.71 19.6 19.77 19.81

    17.95 19.45 19.42 19.55 19.76 19.79

    19.17 20.41 20.29 20.43 20.5 20.53

    20.03 21.33 21.02 21.08 21.02 21.15

    18.33 21.07 20.95 21.08 21.12 21.15

    21.09 20.92 21.01 21.01 21.06

    22.54 22.3 22.11 21.85 21.73

    22.27 21.74 21.82 21.83 21.71

    21.56 21.23 21.4 21.4 21.44

    22.01 21.57 21.66 21.63 21.62

    21.71 21.68 21.55 21.62 21.65

    20.73 21.04 21.18 21.25 21.28

    20.27 20.91 21.09 21.22 21.18

    20.96 21.64 21.92 21.77 21.74

    19.06 20.3 20.8 20.89 20.95

    22.33 22.46 22.48 22.37 22.18

    22.98 23.07 23.11 23.19 23.22

    23.94 23.91 23.83 23.8 23.69

  • 8/20/2019 VIX Futures Term Structure

    184/450

    22.45 22.92 23.2 23.18 23.2

    25.22 25.23 25.17 25.15 24.96

    25.24 25.05 25.1 24.97 24.8

    26.96 26.36 26.09 26.04 25.6

    27.64 26.64 26.26 26.21 25.69

    24.65 24.82 24.64 24.6 24.55

    25.3 25.15 25.03 24.81 24.46

    27.42 26.7 26.38 26.1 25.39

    26.04 26.45 26.18 25.98 25.77

    25.61 26.92 26.71 26.46 26.33

    25.08 26.18 26.42 26.28 26

    26.7 26.81 26.74 26.7 26.25

    25.86 25.98 26.06 25.91

    27.32 26.97 26.67 26.38

    26.65 26.53 26.39 26.07

    24.56 24.66 24.71 24.53

    24.86 24.77 24.75 24.61

    24.19 24.37 24.5 24.36

    24.29 24.56 24.55 24.29

    24.48 24.83 24.85 24.67

    23.06 23.95 24.11 24.01

    21.67 22.94 23.08 23.06

    21.97 23.27 23.39 23.21

    21.28 22.92 23.13 23.03

    22.92 23.91 23.99 23.79

    22.19 23.76 23.83 23.47

    22.04 23.95 24.06 23.91

    22.64 24.66 24.68 24.36

    23.75 25.45 25.44 25.09

    22.55 24.57 24.73 24.33

    22.08 24.42 24.38 24.29

    24.17 24.1 23.89

    23.1 23.29 23.15

    22.18 22.95 22.95

    22.02 22.79 22.97

    22.72 23.52 23.54

    22.81 23.72 23.74

    23.12 24.19 24.19

    23.86 24.49 24.34

    23.42 24.52 24.31

    24.68 25.3 25.01

    24.12 24.81 24.54

    25.54 25.9 25.52

    24.89 25.78 25.28

    24.07 24.95 24.51

    24.96 26.15 26.05

    23.36 25.1 25.07

    24.04 25.24 25.03

  • 8/20/2019 VIX Futures Term Structure

    185/450

    24.18 24.99 25.03

    26.97 26.62

    27.24 26.71

    27.73 26.38

    26.4 25.3

    26.43 25.34

    26.75 25.8

    26.16 25.37

    26.25 25.25

    26.14 25.56

    25.64 25.31

    24.95 24.66

    25.81 25.56

    27.39 26.92

    28.19 27.6

    27.62 27.25

    28.39 27.63

    27.88 26.97

    27.06 26.72

    26 25.81

    26.28 26.18

    26.07 25.93

    25.51 25.61

    25.45

    25.42

    24.87

    24.17

    23.71

    23.88

    24.58

    26.1

    26.16

    25.72

    24.83

    26.76

    26.91

    27.75

    26.11

    26.68

    26.75

    29.03

    30.57

    25.95

    25.67

  • 8/20/2019 VIX Futures Term Structure

    186/450

  • 8/20/2019 VIX Futures Term Structure

    187/450

  • 8/20/2019 VIX Futures Term Structure

    188/450

  • 8/20/2019 VIX Futures Term Structure

    189/450

  • 8/20/2019 VIX Futures Term Structure

    190/450

  • 8/20/2019 VIX Futures Term Structure

    191/450

  • 8/20/2019 VIX Futures Term Structure

    192/450

  • 8/20/2019 VIX Futures Term Structure

    193/450

  • 8/20/2019 VIX Futures Term Structure

    194/450

  • 8/20/2019 VIX Futures Term Structure

    195/450

  • 8/20/2019 VIX Futures Term Structure

    196/450

  • 8/20/2019 VIX Futures Term Structure

    197/450

  • 8/20/2019 VIX Futures Term Structure

    198/450

  • 8/20/2019 VIX Futures Term Structure

    199/450

  • 8/20/2019 VIX Futures Term Structure

    200/450

  • 8/20/2019 VIX Futures Term Structure

    201/450

  • 8/20/2019 VIX Futures Term Structure

    202/450

  • 8/20/2019 VIX Futures Term Structure

    203/450

  • 8/20/2019 VIX Futures Term Structure

    204/450

  • 8/20/2019 VIX Futures Term Structure

    205/450

  • 8/20/2019 VIX Futures Term Structure

    206/450

    4/16/08 5/21/08 6/18/08 7/16/08 8/20/08 9/17/08 10/22/08 11/19/08 12/17/08

  • 8/20/2019 VIX Futures Term Structure

    207/450

  • 8/20/2019 VIX Futures Term Structure

    208/450

  • 8/20/2019 VIX Futures Term Structure

    209/450

  • 8/20/2019 VIX Futures Term Structure

    210/450

  • 8/20/2019 VIX Futures Term Structure

    211/450

  • 8/20/2019 VIX Futures Term Structure

    212/450

  • 8/20/2019 VIX Futures Term Structure

    213/450

  • 8/20/2019 VIX Futures Term Structure

    214/450

  • 8/20/2019 VIX Futures Term Structure

    215/450

  • 8/20/2019 VIX Futures Term Structure

    216/450

    166.2

    166.6

    168.2

    168.9

  • 8/20/2019 VIX Futures Term Structure

    217/450

    169.8

    169.5

    170.8

    171.2

    171.1

    171.3

    171.4

    171.2

    171.1

    171.7

    173.6

    173.5

    173.6

    174.2

    174.3

    173.6

    172.4

    172.6

    173.5

    173.2

    172.8

    173.7

    174.6

    173.9

    173.8

    174.9

    175.3

    175.6

    176.3

    177.1

    175.9

    175.8

    176.6

    173.9

    178.9

    176.4

    175.8

    173.7

    173.1

    172.9

    173

    173.6

    173.9

    172

    172.3

    172.3

    173.2

    173.2

  • 8/20/2019 VIX Futures Term Structure

    218/450

    173.4

    173.4

    173.4

    173.6

    175

    175.6

    175.2

    175.2

    173.9

    173.9

    174.3

    172.8

    172.5

    172.4

    172.5

    172.1

    172.3

    173

    172.8

    172.7

    172.7

    172.7

    172.8

    173.1

    173.1

    173.4

    173.3

    173.1

    172.5

    172.4

    172.5

    172.3

    173.1

    173.7

    173.8

    173.2

    172.8

    173.2

    172.7

    172

    171.4

    171.7

    172.3

    172.5

    172.2

    172

    172.1

    171.6

  • 8/20/2019 VIX Futures Term Structure

    219/450

    171.8

    171.9

    172

    172.2

    172.2

    172.2

    172.1

    172.7

    172.4

    172.3

    172.2

    172.1

    172.1

    172.2

    172.4

    172.3

    172.1

    172.5

    171.4

    171.4

    171.1

    171.1

    171.4

    171.4

    171.5

    171.4

    171.1

    171

    171

    170.8

    170.2

    169.8

    169.9

    169.8

    168.6

    168.4

    167.4

    166.1

    165.1

    165.1

    164.5

    164.6

    164.6

    164.2

    162.1

    161.6

    162.7

    162.9

  • 8/20/2019 VIX Futures Term Structure

    220/450

    162.4

    163.1

    162.6

    163.5

    163.1

    163.4

    163.6

    164

    163.6

    163.6

    163.8

    164.8

    164.2

    163.7

    163.7

    163.1

    163

    163.2

    163.2

    163.7

    163.6

    163.9

    163.9

    163.7

    164

    165.4

    164.9

    164.9

    164.7

    165.4

    165.4

    165.4

    165.4

    165.4

    165.4

    164.2

    164.6

    164.2

    164.2

    163.9

    163.2

    161.9

    161.5

    161.4

    161.4

    161.4

    160.4

    159.8

  • 8/20/2019 VIX Futures Term Structure

    221/450

    160.3

    160.2

    160

    160.2

    160.4

    161.1

    161.1

    159.4

    159.4

    159.5

    159.8

    159.5

    158.2

    157.9

    160

    159.9

    160.9

    159.2

    159.5

    160.1

    159.1

    158.3

    157

    157.4

    157.3

    156.5

    157.4

    157.2

    156.1

    156.5

    156.5

    156

    155.4

    155.6

    155.2

    15.48

    15.58

    15.6

    15.36

    15.43

    15.36

    15.3

    15.21

    15.27

    15.26

    15.27

    15.26

    15.26

  • 8/20/2019 VIX Futures Term Structure

    222/450

    15.23

    15.2

    15.16

    15.19

    15.23

    15.19

    15.2

    15.06

    14.93

    14.99

    15.01

    15

    15.06

    15.02

    14.99

    15.12

    15.06

    15.07

    15.16

    15.25

    15.19

    15.26

    15.24

    15.35

    15.33

    15.37

    15.33

    15.34

    15.36

    15.47

    15.5

    15.45

    15.4

    15.31

    15.4

    15.44

    15.48

    15.56

    15.8

    15.87

    15.73

    15.78

    15.62

    15.61

    15.6

    15.63

    15.48

    15.87

  • 8/20/2019 VIX Futures Term Structure

    223/450

    15.9 15.81

    16.04 16.05

    16.16 16.07

    16.46 16.38

    16.12 16.15

    16.08 16.1

    16.35 16.37

    16.24 16.26

    16.26 16.28

    16.33 16.37

    16.28 16.36

    16.45 16.44

    16.7 16.71

    16.85 16.81

    16.81 16.77

    17.11 17.17

    17.24 17.34

    17.5 17.59

    17.81 17.97

    17.95 18.07

    18.43 18.57

    18.18 18.43

    19.01 19.31

    18.92 19.02

    20.11 20.19

    19.73 19.6

    19.29 19.29

    20.76 20.6

    21.01 20.69

    20.33 20.41

    21.65 21.45

    21.28 21.2

    20.41 20.47

    20.08 20.1

    22.27 22.33

    22.89 22.9

    21.72 22.03

    22.25 22.37

    22.36 22.48

    22.45 22.43

    22.66 22.71

    22.05 22.15

    21.8 22.04

    21.03 21.09

    21.13 21.24 21.29

    20.57 20.6 20.65

    20.83 20.85 20.87

    21.53 21.52 21.3

  • 8/20/2019 VIX Futures Term Structure

    224/450

    21.39 21.34 21.45

    21.61 21.64 21.61

    21.49 21.7 21.55

    21.02 21.07 21.08

    21.21 21.78 21.62

    21.23 21.31 21.43

    21.59 21.59 21.64

    21.8 21.81 21.8

    21.5 21.41 21.46

    21.6 21.59 21.55

    21.4 21.36 21.36

    21.44 21.35 21.36

    21.6 21.47 21.47

    20.85 20.67 20.75

    20.21 20.14 20.13

    20.24 20.2 20.18

    19.61 19.58 19.62

    19.56 19.49 19.51

    19.53 19.47 19.54

    19.33 19.3 19.34

    19.17 19.28 19.27

    19.46 19.5 19.54

    19.44 19.46 19.44

    19.54 19.56 19.55

    19.9 19.8 19.78

    19.86 19.88 19.91

    19.38 19.48 19.56

    19.55 19.