-arbitrage restrictions, the prices of VIX futures exhibit significant deviations relative to their option-implied upper bounds. Static … arbitrage opportunities occur when the prices of VIX futures violate their bounds. The deviations widen during periods of market … stress and predict the returns of VIX futures. A relative value trading strategy based on the deviation measure earns a large …

that they can use the VIX futures term structure not only as a proxy of market expectations on forward volatility, but also …Our work relates to the literature supporting that the VIX also mirrors investor sentiment and, thus, contains useful … information regarding future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility …