Take the tour ×  Forward volatility implied by SPX options, and
that of VIX futures get out of line. If there existed VIX
SQUARED futures they could easily be replicated (and arbitraged)
with a strip of SPX options. However replicating VIX futures
would theoretically require dynamic trading in options (all
strikes) and is also would depend on the model for distribution
of vol of vol.  Question for traders: have you or someone you
know ever traded SPX options (variance) vs VIX futures, and if
yes then please provide some clues. Please don't write that
there is an academic article about this; I'm asking if someone
did this is practice.  share|improve this question Are you
asking for help in developing a strategy? Those kinds of
questions are not in the scope of Quant SE. –  chrisaycock Feb 8
'11 at 2:58 add comment  2 Answers  up vote 5 down vote accepted
Short answer: yes. Long answer: the challenge in trading these
things, like you mentioned, is that each contract is not
perfectly hedgable. This is an intent