Advanced VIX Calendar Spread Strategies for Volatility Traders
Sophisticated investors are turning to VIX calendar spreads as a systematic way to capture the term structure premium in volatility derivatives. The strategy involves selling near-term VIX futures while simultaneously buying longer-dated contracts, exploiting the persistent contango in VIX futures markets.
Professional traders avoid VIX options for these strategies due to their undefined risk profiles, instead focusing exclusively on VIX futures (VX) contracts. The approach requires precise timing and quantitative triggers based on volatility mean-reversion patterns and variance risk premium dynamics.
Key to the strategy is Rule Zero: strict avoidance of VIX options spreads in favor of defined-risk futures positions. Tactic One focuses on quantifying the basis through daily roll signals, providing traders with actionable entry and exit points.
