The VIX Futures Basis: Evidence and Trading Strategies
David P. Simon*
Professor of Finance
Bentley University
Waltham, MA 02452
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2094510
VIX White Paper-VIX Structure, Formula, Sample Calculations
This is what no one at CNBC has read, but what everyone in investments should inherently know, especially hedgers, option traders, and volatility product users. The nuances of this formula befuddle those in the financial media regularly.
http://www.cboe.com/micro/vix/vixwhite.pdf
VXX Prospectus-
iPath® S&P 500 VIX Short-Term Futures™ ETN
I’ve never met anyone who has actually read this. Imperative to know how this works if you are trading or hedging with futures-based ETNs.
http://www.ipathetn.com/static/pdf/vix-prospectus.pdf
The Volatility Surface – a Practioner’s Guide
by Dr. Jim Gatheral
An in-depth examination of implied volatility.
