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On the Term Structure of VIX Futures’ Implied Convexity

David H. Annis and Damian F. Abasto
The Journal of Derivatives Spring 2023, 30 (3) 10-25; DOI: https://doi.org/10.3905/jod.2022.1.170
David H. Annis
is the principal, Strategy & Investment at Vernon Capital Partners in Charlotte, NC
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Damian F. Abasto
is a visiting research fellow at Vernon Capital Partners in Charlotte, NC
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Article Information

vol. 30 no. 3 10-25
DOI 
https://doi.org/10.3905/jod.2022.1.170

Published By 
Pageant Media Ltd
Print ISSN 
1074-1240
Online ISSN 
2168-8524
History 
  • Published online March 1, 2023.

Article Versions

  • Latest version (August 30, 2022 - 05:30).
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© 2023 Pageant Media Ltd

Author Information

  1. David H. Annis
    1. is the principal, Strategy & Investment at Vernon Capital Partners in Charlotte, NC. (david.annis{at}vernoncapitalpartners.com)
  2. Damian F. Abasto
    1. is a visiting research fellow at Vernon Capital Partners in Charlotte, NC. (damian.abasto{at}vernoncapitalpartners.com)
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The Journal of Derivatives: 30 (3)
The Journal of Derivatives
Vol. 30, Issue 3
Spring 2023
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On the Term Structure of VIX Futures’ Implied Convexity
David H. Annis, Damian F. Abasto
The Journal of Derivatives Feb 2023, 30 (3) 10-25; DOI: 10.3905/jod.2022.1.170

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On the Term Structure of VIX Futures’ Implied Convexity
David H. Annis, Damian F. Abasto
The Journal of Derivatives Feb 2023, 30 (3) 10-25; DOI: 10.3905/jod.2022.1.170
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  • Article
    • Abstract
    • VIX INDEX AND FUTURES
    • LITERATURE REVIEW
    • METHODOLOGY
    • IMPLIED CONVEXITY
    • CONSISTENT VARIANCE INTERPOLATION
    • TERM STRUCTURE OF VOLATILITY
    • NEGATIVE IMPLIED VARIANCE
    • CHOOSING INTERPOLANTS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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