10 Questions about Mid-Term Volatility
Why is mid or medium-term volatility defined as being 4 to 7 months out? In January 2009 Barclays introduced VXZ, the first medium-term volatility Exchange Traded Product (ETP). Its tracking index (SPVXMP) relies on 4 to 7-month VIX futures. I suspect that range was selected because historically (2004 through 2008) the term structure on the 4th through 7th-month VIX futures was relatively flat but still tracked …
