Do properly anticipated prices fluctuate randomly? Evidence from VIX futures markets

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.