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VIXM - The Relationship Between Short-Term And Mid-Term Volatility
ProShares VIX Mid-Term Futures ETF
In my first article I mentioned that it’s possible to use mid-term volatility to hedge positions in short-term volatility. It means that you can hedge your exposure to VXX, VIXY or UVXY with VXZ or VIXM.
Today I’d like to explore the relationship between short and mid-term volatility more in depth. To analyze the relationship I’ll statistically evaluate the historical data of index SPVIXSTR and SPVIXMTR. These two indexes serve as underlyings for the most short and mid-term volatility ETPs. I am using these two indexes because there are some issues with historical data of