Volatility Index (VIX) Futures

REX Shares has announced it is closing the REX VolMAXX Long VIX Futures Strategy ETF (VMAX US), currently trading on Cboe BZX. In terms of the contracts available, weekly contracts have recently been created , but the volume and open interest in the weekly contracts are still extremely low, so trading the standard monthly contracts is far superior to the weekly contracts in terms of liquidity.
With respect to self-directed, individual retirement accounts (IRAs”), you should understand that trading futures or options on futures is speculative in nature and subject to risks that may be greater than those of other investment vehicles in which retirement funds may be invested.



The data and prices on the website are not necessarily provided by any market or exchange, but may be provided by market makers, and so prices may not be accurate and may differ from the actual price at any given market, meaning prices are indicative and not appropriate for trading purposes.
Mr. McCarty was previously the Chief Equity and Option Strategist at Meridian Equity Partners, where he was best known for pointing out the unusual options activity that preceded exceptional stock price moves in individual equities including Bear Stearns, Fannie Mae and Freddie Mac as well as identifying noteworthy call buying preceding the public announcement of takeovers for companies including Barr Labs and EDS.

There is also a possibility of an early assignment risk for American style options as the long holder of call options could exercise at any time prior to expiration, but most likely when the dividend is more than the excess premium over intrinsic value.
This is the result of mean-reversion; futures will move up more when the VIX is below its long-term average and less if it is above it. If the parameters indicate that futures are strongly mean-reverting, delta will be smaller because the current level matters less than its long-term level; if mean-reversion is weak, the delta will be greater because futures will be more sensitive to the current index level.
As trading in vix futures prices developed, the historical data generated unequivocally demonstrated the negative correlation observed between an asset (such as the equity market represented by the S&P 500 Index) and an asset's historical volatility extended to that asset's implied volatility as well (such as the VIX).