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A Note Of Trading The Term Structure Of Vix Futures
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Book Synopsis A Note of Trading the Term Structure of VIX Futures by : Anusar Farooqui
Download or read book A Note of Trading the Term Structure of VIX Futures written by Anusar Farooqui and published by . This book was released on 2020 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Trading Volatility Using Correlation, Term Structure and Skew by : Seth Goldman
Download or read book Trading Volatility Using Correlation, Term Structure and Skew written by Seth Goldman and published by Stanfordpub.com. This book was released on 2019-03-04 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Stochastic Behavior, Term Structure and Margin Adequacy in VIX Futures Market by : Chen Yang
Download or read book Stochastic Behavior, Term Structure and Margin Adequacy in VIX Futures Market written by Chen Yang and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Trading Volatility by : Colin Bennett
Download or read book Trading Volatility written by Colin Bennett and published by . This book was released on 2014-08-17 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Book Synopsis Trading VIX Derivatives by : Russell Rhoads
Download or read book Trading VIX Derivatives written by Russell Rhoads and published by John Wiley & Sons. This book was released on 2011-07-11 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis The Market for Volatility Trading; Vix Futures by : Menachem Brenner
Download or read book The Market for Volatility Trading; Vix Futures written by Menachem Brenner and published by . This book was released on 2008 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis The VIX Trader's Handbook by : Russell Rhoads
Download or read book The VIX Trader's Handbook written by Russell Rhoads and published by Harriman House Limited. This book was released on 2020-10-27 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Variance Term Structure and VIX Futures Pricing by : Yingzi Zhu
Download or read book Variance Term Structure and VIX Futures Pricing written by Yingzi Zhu and published by . This book was released on 2005 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis The VIX Index and Volatility-Based Global Indexes and Trading Instruments: A Guide to Investment and Trading Features by : Matthew T. Moran
Download or read book The VIX Index and Volatility-Based Global Indexes and Trading Instruments: A Guide to Investment and Trading Features written by Matthew T. Moran and published by CFA Institute Research Foundation. This book was released on 2020-04-28 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis VIX Futures Calendar Spreads by : Ai Jun Hou
Download or read book VIX Futures Calendar Spreads written by Ai Jun Hou and published by . This book was released on 2017 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: A VIX futures calendar spread involves buying a futures contract maturing in one month and selling another one maturing in a different month. VIX futures calendar spreads represent a daily turnover above 500 million dollars, or roughly 20% of the total VIX futures trading volume. A calendar spread trade is a bet on the change in the slope of the volatility term structure. We find that speculation, rather than information about changes in the slope of the volatility term structure, is driving calendar spread trades. On average, a calendar spread costs a little less than $100 (about 15 basis points). If settled at the end of the trading day, 43% of the calendar spreads are profitable.
Book Synopsis Volatility Components by : Zhongjin Lu
Download or read book Volatility Components written by Zhongjin Lu and published by . This book was released on 2008 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we analyze CBOE VIX futures price time series data from Mar. 2004 to Feb. 2008. We derive a new pricing framework for VIX futures that is convenient to study variance term structure dynamics. Our main contribution to existing literature is the identification of the number of factors implicit in VIX futures term structure. We find that three-factor model is ideal to characterize the variance term structure. We further construct and estimate structured two- and three-factor models to identify the components and find similar results.
Book Synopsis A Complete Guide to the Futures Market by : Jack D. Schwager
Download or read book A Complete Guide to the Futures Market written by Jack D. Schwager and published by John Wiley & Sons. This book was released on 2017-01-03 with total page 723 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essential futures market reference guide A Complete Guide to the Futures Market is the comprehensive resource for futures traders and analysts. Spanning everything from technical analysis, trading systems, and fundamental analysis to options, spreads, and practical trading principles, A Complete Guide is required reading for any trader or investor who wants to successfully navigate the futures market. Clear, concise, and to the point, this fully revised and updated second edition provides a solid foundation in futures market basics, details key analysis and forecasting techniques, explores advanced trading concepts, and illustrates the practical application of these ideas with hundreds of market examples. A Complete Guide to the Futures Market: Details different trading and analytical approaches, including chart analysis, technical indicators and trading systems, regression analysis, and fundamental market models. Separates misleading market myths from reality. Gives step-by-step instruction for developing and testing original trading ideas and systems. Illustrates a wide range of option strategies, and explains the trading implications of each. Details a wealth of practical trading guidelines and market insights from a recognized trading authority. Trading futures without a firm grasp of this market’s realities and nuances is a recipe for losing money. A Complete Guide to the Futures Market offers serious traders and investors the tools to keep themselves on the right side of the ledger.
Book Synopsis Performance of Selected Volatility Trading Strategies by : Francesco Ferrari
Download or read book Performance of Selected Volatility Trading Strategies written by Francesco Ferrari and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis examines the performance and the return characteristics of several volatility trading strategies which involve short positions in SPX options and VIX futures. In a rst step, the CBOE Volatility Index VIX as well as the relationship between VIX futures prices and the index itself is analyzed through the use of market data. It is observed that the VIX has an inverse and asymmetrical relationship with the S & P 500 index; the implied volatility, as represented by the VIX, has historically exceeded subsequent realized volatility; and that the term structure of VIX futures prices is typically upward sloping. Secondly, the trading strategies are back- tested using MATLAB in order to assess their performance and conduct an empirical analysis. This study nds that writing SPX puts, straddles and strangles over a portfolio of three-month Treasury bills generates higher returns than the S & P 500 with lower volatility. It is further observed that selling volatility through short VIX futures positions generates attractive risk- adjusted performances. The results also demonstrate the pro tability of shorting VIX futures when they are in contango and buying VIX futures when the term structure is in normal backwardation. Generally, the study exposes how the returns distributions of the strategies are far from normal, but rather exhibit negative skewness and excess kurtosis. Moreover, an analysis of VIX related ETNs con rms the bene ts of being short volatility. Overall, the ndings of this thesis correspond to the wide empirical evidence of a negative volatility risk premium for volatility buyers.
Book Synopsis The VIX Trader's Handbook by : Russell Rhoads
Download or read book The VIX Trader's Handbook written by Russell Rhoads and published by Harriman House Limited. This book was released on 2020-10-27 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Statistics of VIX Futures and Their Applications to Trading Volatility Exchange-Traded Products by : Marco Avellaneda
Download or read book Statistics of VIX Futures and Their Applications to Trading Volatility Exchange-Traded Products written by Marco Avellaneda and published by . This book was released on 2018 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the dynamics of VIX futures and ETNs/ETFs. We find that contrary to classical commodities, VIX and VIX futures exhibit large volatility and skewness, consistent with the absence of cash-and-carry arbitrage. The constant-maturity futures (CMF) term-structure can be modeled as a stationary stochastic process in which the most likely state is a contango with VIX ≈ 12% and a long-term futures price V∞ ≈ 20%. We analyze the behavior of ETFs and ETNs based on constant-maturity rolling futures strategies, such as VXX, XIV and VXZ, assuming stationarity and through a multi-factor model calibrated to historical data. We find that buy-and-hold strategies consisting of shorting ETNs that roll long futures, or buying ETNs that roll short futures, will produce theoretically-sure profits if it is assumed that CMFs are stationary and ergodic (see Proposition 3.1). To quantify further, we estimate a 2-factor lognormal model with mean-reverting factors to VIX and CMF historical data from 2011 to 2016. The results confirm the profitability of buy-and-hold strategies, but also indicate that the latter have modest Sharpe ratios, of the order of SR = 0.5 or less, and high variability over 1-year horizon simulations. This is due to the surges in VIX and CMF backwardations which are experienced sporadically, but also inevitably, in the volatility futures market.
Download or read book VIX Vs VXX written by Martino Grasselli and published by . This book was released on 2018 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a framework for modeling in a consistent manner the VIX index and the VXX, an exchange-traded note written on the VIX. Our study enables to link the properties of VXX to those of the VIX in a tractable way. In particular, we quantify the systematic loss observed empirically for VXX when the VIX futures term-structure is in contango and we derive option prices, implied volatilities and skews of VXX from those of VIX in infinitesimal developments. We also perform a calibration on real data which highlights the flexibility of our model in fitting the futures and the vanilla options market of VIX and VXX. Our framework can be used to model other exchange-traded notes on the VIX as well as any market where exchange-traded notes have been introduced on a reference index, hence providing tools to better anticipate and quantify systematic behavior of an exchange-traded note with respect to the underlying index.
Book Synopsis Option Pricing, Interest Rates and Risk Management by : Elyès Jouini
Download or read book Option Pricing, Interest Rates and Risk Management written by Elyès Jouini and published by Cambridge University Press. This book was released on 2001 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2001 handbook surveys the state of practice, method and understanding in the field of mathematical finance. Every chapter has been written by leading researchers and each starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with an indication of what needs to be done in order to solve them. The primary audiences for the book are doctoral students, researchers and practitioners who already have some basic knowledge of mathematical finance. In sum, this is a comprehensive reference work for mathematical finance and will be indispensable to readers who need to find a quick introduction or reference to a specific topic, leading all the way to cutting edge material.
