Implied volatility is a theoretical measure which comes from option pricing models such as Black-Scholes, rather than using historical data and it is affected by the option’s strike price, the riskless rate of return, the time to maturity and the price of the option. Options are wonderfully powerful tools for managing risk. When used in a prudent, risk-controlled fashion, they can reduce portfolio volatility. So, this measure is important as it allows funds to develop trading and hedging strategies based upon it. Many studies have tried to model implied volatility indices in order to produce useful forecasts for the traders. In this paper, in an effort to differentiate, we are going to explore the dynamics of the implied volatility spread, meaning the difference between two implied volatility indices, by studying two US implied volatility indices, the CBOE VIX and VXD. We will see the predictable power of two models- an economic variables model and an AR(1) model-, form point and interval forecasts and counting on these forecasts of the models we will employ trading strategies based on VIX and VXD volatility futures. The trading rule will concern the simultaneously taking position in VIX and VXD volatility futures.