​CBOE RMC Europe: Low Vol Impacting VIX ETP Roll Down Costs

Low S&P 500 realized volatility over the last year has dragged short-dated at-the-money implied volatility lower for the benchmark, steepening its term structure and skew. This has directly impacted both the roll-cost and the convexity within volatility exchange-traded products, attendees heard at the sixth annual CBOE Europe Risk Management Conference at the Grove Hotel in Hertfordshire on Tuesday.