How to get futures & options roll return data

zeusu.sato
zeusu.sato Newcomer
in Eikon Data APIs

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 negative carry.

However, VXc1, VIX future continuation month1, seems to be future's spot price not including roll cost.

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  • chavalit-jintamalit
    chavalit-jintamalit admin
    Answer ✓

    Hi @zeusu.sato


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