Johnson, Travis L. - 2018
The shape of the VIX term structure conveys information about the price of variance risk rather than expected changes … in the VIX, a rejection of the expectations hypothesis. A single principal component, Slope, summarizes nearly all this … information, predicting the excess returns of S&P 500 variance swaps, VIX futures, and S&P 500 straddles for all maturities and to …
