Compute the roll yield from holding short VIX futures in contango. When VIX futures trade above spot VIX, rolling short positions from near to next contract generates positive carry.
Compute the roll yield from holding short VIX futures in contango. When VIX futures trade above spot VIX, rolling short positions from near to next contract generates positive carry
Each component has a specific meaning:
Note: Interpret the vix contango roll result against the thresholds and context described above.
Enter the holding short VIX futures in contango for the scenario you are assessing. Compute the roll yield from holding short VIX futures in contango. When VIX futures trade above spot VIX, rolling short positions from near to next contract generates positive carry. Use the vix contango roll result to inform your calculation.