A Note of Trading the Term Structure of VIX Futures
A Note of Trading the Term Structure of VIX Futures

Author: Anusar Farooqui

Publisher:

Published: 2020

Total Pages: 11

ISBN-13:

DOWNLOAD EBOOK

The term structure of VIX futures contains a very strong signal of dealer risk appetite. Unlike balance sheet quantities, this feature is available at very high frequencies. Here we exhibit two systematic strategies to mine the attendant risk premium from the term structure of expected volatility. We optimize our two hyper-parameters by OOS cross-validation. We compare our strategies to holding the S&P 500, selling short-term vol un-hedged, and a portfolio that sells short-term vol and hedges by going long on medium-term vol. We find that our strategies allow us to harvest a considerable portion of the risk premium associated with the balance sheet management of market-based intermediaries. Both in-sample and OOS, the risk-adjusted returns on our strategies are at least twice as high as the three benchmarks.

Trading Volatility Using Correlation, Term Structure and Skew
Trading Volatility Using Correlation, Term Structure and Skew

Author: Seth Goldman

Publisher: Stanfordpub.com

Published: 2019-03-04

Total Pages: 72

ISBN-13: 9789563101232

DOWNLOAD EBOOK

Trading Volatility Using Correlation, Term Structure and Skew: Learn to successfully trade VIX, UVXY, TVIX, VXXB & SVXY If you wanted to learn more about Trading Volatility - tickers like UVXY, TVIX, VXXB & SVXY then this book is for you. The book discusses how the VIX related ETFs/ETNs are priced and introduces you to an innovative & logical strategy of portfolio carrying UVXY, VXXB & TVIX shorts long-term, and credit spreads with options. The book discusses why going long volatility is generally unwise. The book explains "risk management". One of the best resources out there for the volatility community. About the Author Seth Goldman is a portfolio manager within the Multi-Asset Strategy Group at Interactive Investment. Goldman has previously worked at Banco Santander as Head of Quantitative and Derivative Strategy, and Barclays Capital. Goldman studied Mathematics and Electrical Engineering and Finances at Stanford University.

Trading Volatility
Trading Volatility

Author: Colin Bennett

Publisher:

Published: 2014-08-17

Total Pages: 316

ISBN-13: 9781461108757

DOWNLOAD EBOOK

This publication aims to fill the void between books providing an introduction to derivatives, and advanced books whose target audience are members of quantitative modelling community. In order to appeal to the widest audience, this publication tries to assume the least amount of prior knowledge. The content quickly moves onto more advanced subjects in order to concentrate on more practical and advanced topics. "A master piece to learn in a nutshell all the essentials about volatility with a practical and lively approach. A must read!" Carole Bernard, Equity Derivatives Specialist at Bloomberg "This book could be seen as the 'volatility bible'!" Markus-Alexander Flesch, Head of Sales & Marketing at Eurex "I highly recommend this book both for those new to the equity derivatives business, and for more advanced readers. The balance between theory and practice is struck At-The-Money" Paul Stephens, Head of Institutional Marketing at CBOE "One of the best resources out there for the volatility community" Paul Britton, CEO and Founder of Capstone Investment Advisors "Colin has managed to convey often complex derivative and volatility concepts with an admirable simplicity, a welcome change from the all-too-dense tomes one usually finds on the subject" Edmund Shing PhD, former Proprietary Trader at BNP Paribas "In a crowded space, Colin has supplied a useful and concise guide" Gary Delany, Director Europe at the Options Industry Council

Trading VIX Derivatives
Trading VIX Derivatives

Author: Russell Rhoads

Publisher: John Wiley & Sons

Published: 2011-08-09

Total Pages: 293

ISBN-13: 0470933089

DOWNLOAD EBOOK

A guide to using the VIX to forecast and trade markets Known as the fear index, the VIX provides a snapshot of expectations about future stock market volatility and generally moves inversely to the overall stock market. Trading VIX Derivatives will show you how to use the Chicago Board Options Exchange's S&P 500 volatility index to gauge fear and greed in the market, use market volatility to your advantage, and hedge stock portfolios. Engaging and informative, this book skillfully explains the mechanics and strategies associated with trading VIX options, futures, exchange traded notes, and options on exchange traded notes. Many market participants look at the VIX to help understand market sentiment and predict turning points. With a slew of VIX index trading products now available, traders can use a variety of strategies to speculate outright on the direction of market volatility, but they can also utilize these products in conjunction with other instruments to create spread trades or hedge their overall risk. Reviews how to use the VIX to forecast market turning points, as well as reveals what it takes to implement trading strategies using VIX options, futures, and ETNs Accessible to active individual traders, but sufficiently sophisticated for professional traders Offers insights on how volatility-based strategies can be used to provide diversification and enhance returns Written by Russell Rhoads, a top instructor at the CBOE's Options Institute, this book reflects on the wide range of uses associated with the VIX and will interest anyone looking for profitable new forecasting and trading techniques.

Trading VIX Derivatives
Trading VIX Derivatives

Author: Russell Rhoads

Publisher: John Wiley & Sons

Published: 2011-07-11

Total Pages: 293

ISBN-13: 1118118480

DOWNLOAD EBOOK

A guide to using the VIX to forecast and trade markets Known as the fear index, the VIX provides a snapshot of expectations about future stock market volatility and generally moves inversely to the overall stock market. Trading VIX Derivatives will show you how to use the Chicago Board Options Exchange's S&P 500 volatility index to gauge fear and greed in the market, use market volatility to your advantage, and hedge stock portfolios. Engaging and informative, this book skillfully explains the mechanics and strategies associated with trading VIX options, futures, exchange traded notes, and options on exchange traded notes. Many market participants look at the VIX to help understand market sentiment and predict turning points. With a slew of VIX index trading products now available, traders can use a variety of strategies to speculate outright on the direction of market volatility, but they can also utilize these products in conjunction with other instruments to create spread trades or hedge their overall risk. Reviews how to use the VIX to forecast market turning points, as well as reveals what it takes to implement trading strategies using VIX options, futures, and ETNs Accessible to active individual traders, but sufficiently sophisticated for professional traders Offers insights on how volatility-based strategies can be used to provide diversification and enhance returns Written by Russell Rhoads, a top instructor at the CBOE's Options Institute, this book reflects on the wide range of uses associated with the VIX and will interest anyone looking for profitable new forecasting and trading techniques.

The Market for Volatility Trading; Vix Futures
The Market for Volatility Trading; Vix Futures

Author: Menachem Brenner

Publisher:

Published: 2008

Total Pages: 30

ISBN-13:

DOWNLOAD EBOOK

This paper analyses the new market for trading volatility; VIX futures. We first use market data to establish the relationship between VIX futures prices and the index itself. We observe that VIX futures and VIX are highly correlated; the term structure of VIX futures price is upward sloping while the term structure of VIX futures volatility is downward sloping. To establish a theoretical relationship between VIX futures and VIX, we model the instantaneous variance using a simple square root mean-reverting process. Using daily calibrated variance parameters and VIX, the model gives good predictions of VIX futures prices. These parameter estimates could be used to price VIX options.

The VIX Trader's Handbook
The VIX Trader's Handbook

Author: Russell Rhoads

Publisher: Harriman House Limited

Published: 2020-10-27

Total Pages: 206

ISBN-13: 0857197118

DOWNLOAD EBOOK

Russell Rhoads is one of America’s leading experts on VIX, the Volatility Index. In The VIX Trader’s Handbook he takes a deep dive into all things associated with volatility indexes and related trading vehicles. The handbook begins with an explanation of what VIX is, how it is calculated, and why it behaves the way it does in various market environments. It also explains the various methods of getting exposure to volatility through listed markets. The focus then moves on to demonstrate how traders take advantage of various scenarios using futures, options, or ETPs linked to the performance of VIX. Finally, a comprehensive review is presented of volatility events that shook the markets, including the 1987 crash, Great Financial Crisis, 2010 flash crash, and the 2020 pandemic. By understanding how VIX behaved leading up to these market shocks, and reacted afterwards, traders can better equip themselves ahead of future events. A wide variety of strategies that are implemented in both bearish and bullish equity markets are introduced and covered extensively throughout. The VIX Trader’s Handbook is essential reading for all those who are intending to trade volatility—from those who wish to gain an understanding of how VIX and the related trading products behave, to those intending to hedge equity exposure or take advantage of the persistent overpricing of option volatility. You won’t want to trade volatility without it.

Variance Term Structure and VIX Futures Pricing
Variance Term Structure and VIX Futures Pricing

Author: Yingzi Zhu

Publisher:

Published: 2005

Total Pages: 24

ISBN-13:

DOWNLOAD EBOOK

Using no arbitrage principle, we derive a relationship between the drift term of risk-neutral dynamics for instantaneous variance and the term structure of forward variance curve. We show that the forward variance curve can be derived from options market. Based on the variance term structure, we derive a no arbitrage pricing model for VIX futures pricing. The model is the first no arbitrage model combining options market and VIX futures market. The model can be easily generalized to price other volatility derivatives.

The VIX Index and Volatility-Based Global Indexes and Trading Instruments: A Guide to Investment and Trading Features
The VIX Index and Volatility-Based Global Indexes and Trading Instruments: A Guide to Investment and Trading Features

Author: Matthew T. Moran

Publisher: CFA Institute Research Foundation

Published: 2020-04-28

Total Pages: 49

ISBN-13: 1944960961

DOWNLOAD EBOOK

During the past two decades, the Cboe Volatility Index (VIX® Index), a key measure of investor sentiment and 30-day future volatility expectations, has generated much investor attention because of its unique and powerful features. The introduction of VIX futures in 2004, VIX options in 2006, and other volatility-related trading instruments provided traders and investors access to exchange-traded vehicles for taking long and short exposures to expected S&P 500 Index volatility for a particular time frame. Certain VIX-related tradable products may provide benefits when used as tools for tail-risk hedging, diversification, risk management, or alpha generation. Gauges of expected stock market volatility for various regions include the VIX Index (United States), AXVI Index (Australia), VHSI Index (Hong Kong), NVIX Index (India) and VSTOXX Index (Europe). All five of these volatility indexes had negative correlations with their related stock indexes price movements, and all five volatility indexes rose more than 50% in 2008. Although the five volatility indexes are not investable, investors can explore VIX-based benchmark indexes that show the performance of hypothetical investment strategies using VIX futures or options. Before investing in volatility-related products, investors should closely study the pricing, roll cost, and volatility features of the tradable products and read the applicable prospectuses and risk disclosure statements.