RT Journal Article SR Electronic T1 Volatility ETFs and ETNs JF The Journal of Trading FD Institutional Investor Journals SP 43 OP 48 DO 10.3905/jot.2012.7.1.043 VO 7 IS 1 A1 Berlinda Liu A1 Srikant Dash YR 2011 UL https://pm-research.com/content/7/1/43.abstract AB The advent of ETFs and ETNs linked to the S&P 500 VIX Futures Indices has broadened access to volatility trading. But there still remain significant misconceptions about the relationship of these products with spot VIX and the volatility term structure. In this article, the authors distinguish between portfolio hedge and distributional properties of these S&P 500 VIX futures index based instruments versus those of a theoretical position in spot VIX. They also demonstrate the impact of the term structure and quantify how it manifests itself in roll loss.TOPICS: Exchange-traded funds and applications, volatility measures, futures and forward contracts