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Quantitative Finance · Begrippenlijst

Wat is Term-structure trade?

Definition 3.2 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Hoofdstuk 3 — Skew and Term-Structure Relative Value

A term-structure trade buys volatility at one maturity and sells it at another on the same underlying, sized so that the position has no net vega and is delta-hedged, in order to profit from a change in the slope of the term structure rather than from the level.

The slope of the VIX term structure: Cboe’s three-month volatility index (VIX3M) minus VIX, monthly means, September 2009 to September 2026. Below zero the curve is inverted: near-dated vol stands above far-dated vol. Derived from Cboe’s index histories; the raw series are not redistributed. Data: s2_fetch_term.
Figure 3.1. The slope of the VIX term structure: Cboe’s three-month volatility index (VIX3M) minus VIX, monthly means, September 2009 to September 2026. Below zero the curve is inverted: near-dated vol stands above far-dated vol. Derived from Cboe’s index histories; the raw series are not redistributed. Data: s2_fetch_term.
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