Measured by the S&P 500 VIX Mid-Term Futures Index, volatility has increased 10% in the last 3 days.
The S&P 500 VIX Mid-Term Futures Index is a tradable index that measures the return on a long position in mid-term VIX futures.
The fourth, fifth, sixth, and seventh VIX futures contract months are all months where long positions are kept.
It replicates a hypothetical VIX futures portfolio that holds the fourth-, fifth-, sixth-, and seventh-month VIX futures.
As the time to expiration of the futures gets shorter, the location in the fourth month is continuously rolled over to the seventh month, retaining a 5-month maturity.
The VIX futures curve is usually in contango, which means that short-term futures contracts are usually cheaper than long-term futures contracts.
As a result of roll costs (or, to borrow a word from commodity markets, “negative roll yield”), the S&P 500 VIX Mid-Term Futures Index has continued to fall over time.
The S&P 500 VIX Mid-Term Futures Index is a common benchmark for various long volatility strategies.