The VIX index is not traded on the spot market. Hence, in contrast to other futures markets, the VIX futures contract and spot index are not linked by a no-arbitrage condition. The authors examine (1) whether predictability in the VIX index carries over to the futures market and (2) whether there is independent time-series predictability in VIX futures prices. The answer to both questions is no. Samuelson was right: VIX futures prices properly anticipate predictability in volatility and are themselves unpredictable. TOPICS: Futures and forward contracts, volatility measures Key Findings • The authors examine (1) whether predictability in the VIX generates predictability in VIX futures and (2) whether time-series momentum in VIX futures is profitable. • Aside from the obvious importance for understanding price formation, these questions are important for practitioners given the recent spike in VIX, the large and active market in trading volatility and volatility insurance strategies, and the demand for investment advice on what to do. • The short answer to both questions is no, especially after adjusting for risk and realistic transactions costs.

中文翻译：

---

正确预期的价格会随机波动吗？VIX期货市场的证据

VIX指数不在现货市场上交易。因此，与其他期货市场相比，VIX期货合约和现货指数之间没有套利条件。作者检查（1）VIX指数的可预测性是否会延续到期货市场，以及（2）VIX期货价格是否存在独立的时间序列可预测性。这两个问题的答案是否定的。萨缪尔森说得对：VIX期货价格正确地预测了波动性的可预测性，并且本身也是不可预测的。主题：期货和远期合约，波动率度量主要发现•作者研究（1）VIX的可预测性是否在VIX期货中产生可预测性，以及（2）VIX期货的时间序列动量是否有利可图。•除了了解价格形成的重要性外，考虑到最近VIX的飙升，交易波动率和波动率保险策略的活跃市场以及对做什么的投资建议的需求，这些问题对于从业者来说非常重要。•对两个问题的简短回答都是“否”，尤其是在调整了风险和现实交易成本之后。