A fair value of futures on the TYVIXSM Index (“TYVIX futures”), ticker VXTY, based on option prices gives the market a point of reference for traded futures prices. The first link below is to a macro-free Microsoft Excel spreadsheet that uses Bloomberg dynamic data links for calculating non-parametric estimates for the fair value of near- and next-month futures contracts on the CBOE/CBOT 10-Year U.S. Treasury Note Volatility Index (TYVIX Index). The second link below is to an adobe acrobat pdf document that discusses the methodology employed to determine the fair value of TYVIX futures.
LEGAL DISCLAIMER: The TYVIX futures fair value calculator is a reference tool that provides data to the user to facilitate the user's own investment decisions. The calculator is not intended to provide, and should not be relied on for investment advice or recommendations. Use of this calculator is subject to the Terms and Conditions for Use of CBOE Websites.