Feel like I should put some more quant finance content up so ... here is the *absolute minimum* you need to know if you are considering trading VIX futures (or something basically equivalent like VXX or VXZ which are basically a basket of futures)
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Replying to @macrocephalopod @nope_its_lily
What about Oil futures options??? Does this apply also??
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Replying to @TheNOPEScalper @macrocephalopod
I don't think oil futures are particularly mean reverting, in general you'd want to create a mixed effects model to model the constant maturity forward.
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Replying to @nope_its_lily @TheNOPEScalper
Yeah exactly. Physical oil is tradable (kind of) which introduces an arb relation between spot and futures prices that needs to be satisfied, and means that the constant maturity oil curve is less predictable than constant maturity VIX curve.
3:51 PM - 1 Mar 2021
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