How to get futures & options roll return data

zeusu.sato · 2019-10-22T22:34:49+00:00

How can I get futures & options roll return data, that is , to get futures roll yield? Total Return ≈ Spot Price Return + Futures Roll Yield. For example, I'd like to calculate return when I invest VIX futures from 2000/1/1 to 2019/9/30. Unlike spot price, my equity curve should be strongly down shoulder because of its…

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