Futures discount to fair value
The fair value of the VIX futures cannot be computed using a similar relationship as there is no cost of carry between VIX and a position in the VIX Futures. The VIX futures fair value is, instead, calculated by pricing the forward 30-day variance which underlies the VIX Futures settlement price. The computation of fair value is fairly complicated. Voiceover: The fair value of a futures contract is the price of the contract at which a buyer of the stock would be neutral between buying it on in an actual stock exchange and actually buying the stock and agreeing to buy the …