The term-structure of VIX futures contains interesting information on broker-dealer risk appetite. This is because, during risk-offs, dealers bid up the price of insurance against market volatility (which is what the VIX measures) but they only do so at the short end. That is, they bid up VIX futures with short tenors. This is why the term-structure inverts (called backwardation) when volatility spikes. This is clear from the surface plot of VIX futures prices (x is date, y is tenor and z is price).
Pricing the Term Structure of VIX Futures
Pricing the Term Structure of VIX Futures
Pricing the Term Structure of VIX Futures
The term-structure of VIX futures contains interesting information on broker-dealer risk appetite. This is because, during risk-offs, dealers bid up the price of insurance against market volatility (which is what the VIX measures) but they only do so at the short end. That is, they bid up VIX futures with short tenors. This is why the term-structure inverts (called backwardation) when volatility spikes. This is clear from the surface plot of VIX futures prices (x is date, y is tenor and z is price).