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
Damian F. Abasto
is a visiting research fellow at Vernon Capital Partners in Charlotte, NC
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In this issue
The Journal of Derivatives
Vol. 30, Issue 3
Spring 2023
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