How Synthetic Long-Term VIX3M Data Reveals Surprising Trends :: March 12, 2021
This article is an adaptation of Vance Harwood’s original article ‘Calculating a VIX3M Style Index Back to 1990 Reveals Surprising Trends’ published on the Six Figure Investing website
Vance Harwood, March 12, 2021
In this article Vance Harwood presents how a longer-term analysis of the CBOE’s VIX (30-day) and VIX3M (93-day) indexes back to 1990 enable us to better identify trends in the volatility term structure.
In November 2007, the CBOE introduced VIX3M, a volatility index that uses the same basic methodology as the VIX but with a 3…