RT Journal Article SR Electronic T1 A Note on the Premiums and Discounts Embedded in VIX Futures Prices JF The Journal of Investing FD Institutional Investor Journals SP 69 OP 73 DO 10.3905/joi.2015.24.2.069 VO 24 IS 2 A1 Travis L. Jones A1 Marcus T. Allen YR 2015 UL https://pm-research.com/content/24/2/69.abstract AB This article illustrates the volatile nature of the premiums and discounts embedded in the prices of VIX (Chicago Board Options Exchange Market Volatility Index) futures contracts. The fact that the underlying VIX index cannot be traded leads VIX futures to be priced more on expectations of market participants than on a typical cost-of-carry relationship. As they near expiration, VIX futures, in the aggregate, tend to trade at an increased premium, when trading in contango, and at an increased discount, when trading in backwardation. In addition, the premium in these contracts tends to peak as the VIX index nears a low, and the discount in the contracts tends to bottom as the index nears a high.TOPICS: Mutual funds/passive investing/indexing, futures and forward contracts, analysis of individual factors/risk premia