Constant Expiry VIX Futures (Using Publi


Constant Expiry VIX Futures (Using Public Data) – (This article was first published on R – QuantStrat TradeR, and kindly contributed to R-bloggers) This post will be about creating constant expiry (E.G. a rolling 30-day contract) using VIX settlement data from the CBOE and the spot VIX calculation (from Yahoo finance, or wherever else). Although these may be able to be traded under certain circumstances, this is not always the case (where the desired expiry is shorter t… http://ow.ly/aBN050bzQjs

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