VIX futures calendar spreads
研究了VIX期货日历价差交易，发现投机而非波动率期限结构信息是其主要驱动因素，平均成本约100美元，43%的价差在日终结算时盈利。
A VIX futures calendar spread involves buying a futures contract maturing in 1 month and selling another one maturing in a different month. VIX futures calendar spreads represent a daily turnover above 500 million dollars, or roughly 20% of the total VIX futures trading volume. Speculation, rather than information about changes in the slope of the volatility term structure, is the main driving force behind calendar spread trades. On average, a calendar spread costs a little less than $100 (about 15 basis points). If settled at the end of the trading day, 43% of the calendar spreads are profitable.