Tag Archives: arb

Storing arb for VIX and SPX futures

Storing arb for VIX and SPX futures

From the NYC Contact but he asks about this:

Is the Virtual storage cost for VIX and SPX Futures contracts is the total opportunity cost which includes the risk free interest rate + dividend of the underlying?

http://www.wilmott.com/pdfs/020923_storing_arb.pdf

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