The Market For Volatility Trading Vix Futures

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Trading VIX Derivatives

Author : Russell Rhoads
Publisher : John Wiley & Sons
ISBN 13 : 1118118480
Total Pages : 293 pages
Book Rating : 4.1/5 (181 download)

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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.

The Market for Volatility Trading; Vix Futures

Author : Menachem Brenner
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (129 download)

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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.

The VIX Trader's Handbook

Author : Russell Rhoads
Publisher : Harriman House Limited
ISBN 13 : 0857197126
Total Pages : 161 pages
Book Rating : 4.8/5 (571 download)

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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.

Trading Volatility ETFs

Author : Adam Warner
Publisher : FT Press
ISBN 13 : 0132946610
Total Pages : 48 pages
Book Rating : 4.1/5 (329 download)

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Book Synopsis Trading Volatility ETFs by : Adam Warner

Download or read book Trading Volatility ETFs written by Adam Warner and published by FT Press. This book was released on 2011-12-07 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Normal 0 false false false MicrosoftInternetExplorer4 Volatility is one of the defining characteristics of today’s global markets. As a result, many traders are seeking better ways to profit from their bets on shifting volatility. Once, the primary way to trade volatility was to buy and sell standard calls and puts. Then, the world discovered VIX, the so-called “Fear Index.” Next, the CBOE devised ways to trade the VIX: first VIX futures, and then VIX options. Unfortunately, not everyone can trade futures; hence, the latest of innovations derived from ETFs are volatility-based Exchange Traded Notes (ETNs): first VXX, then VXZ, and now more than two dozen additional competitors. These debt instruments can be excellent trading and hedging vehicles, but they don’t perfectly track the VIX. As a result, it’s tricky to use them reliably, and many traders who’ve experimented with them have suffered significant losses. In Trading Volatility ETFs, Adam Warner explains the structures of VXX and VXZ, reveals how they’ve worked in the past, and projects their behavior in different market environments. He systematically demystifies their subtleties, explains who should and shouldn’t use them, and describes how they can best be applied in effective hedging and trading.

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
ISBN 13 : 1944960961
Total Pages : 49 pages
Book Rating : 4.9/5 (449 download)

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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.

Trading Volatility (VIX) ETNs, ETFs, and Derivatives

Author : Lawrence G. McMillan
Publisher : Wiley
ISBN 13 : 9781118657829
Total Pages : pages
Book Rating : 4.6/5 (578 download)

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Book Synopsis Trading Volatility (VIX) ETNs, ETFs, and Derivatives by : Lawrence G. McMillan

Download or read book Trading Volatility (VIX) ETNs, ETFs, and Derivatives written by Lawrence G. McMillan and published by Wiley. This book was released on 2014-11-03 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this essential video seminar for traders, Larry McMillan explains how to trade volatility using options and ETFs In this must-have seminar, options guru Larry McMillan looks at the basics of VIX futures and options trading, including how to properly price options and compute deltas. He discusses the more popular volatility ETNs and ETFs, as well as a host of other products. McMillan offers expert insight on major volatility products and what they can and cannot do, and explains how volatility ETNs can affect VIX futures markets. Shows traders how to maximize their profits by utilizing volatility Written by a respected and successful trader and options expert Fully explains an increasingly popular kind of derivative and how it behaves differently than other derivatives

Trading Volatility

Author : Colin Bennett
Publisher :
ISBN 13 : 9781461108757
Total Pages : 316 pages
Book Rating : 4.1/5 (87 download)

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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

Volatility Trading, + website

Author : Euan Sinclair
Publisher : John Wiley & Sons
ISBN 13 : 0470181990
Total Pages : 228 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis Volatility Trading, + website by : Euan Sinclair

Download or read book Volatility Trading, + website written by Euan Sinclair and published by John Wiley & Sons. This book was released on 2008-06-23 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility Trading, Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in your everyday option trading endeavors. With an accessible, straightforward approach. He guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. In addition, Sinclair explains the often-overlooked psychological aspects of trading, revealing both how behavioral psychology can create market conditions traders can take advantage of-and how it can lead them astray. Psychological biases, he asserts, are probably the drivers behind most sources of edge available to a volatility trader. Your goal, Sinclair explains, must be clearly defined and easily expressed-if you cannot explain it in one sentence, you probably aren't completely clear about what it is. The same applies to your statistical edge. If you do not know exactly what your edge is, you shouldn't trade. He shows how, in addition to the numerical evaluation of a potential trade, you should be able to identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists. This means it is also necessary to be on top of recent news stories, sector trends, and behavioral psychology. Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the overall context of your goals. As the author concludes, while we also need to pay attention to seemingly mundane things like having good execution software, a comfortable office, and getting enough sleep, it is knowledge that is the ultimate source of edge. So, all else being equal, the trader with the greater knowledge will be the more successful. This book, and its companion CD-ROM, will provide that knowledge. The CD-ROM includes spreadsheets designed to help you forecast volatility and evaluate trades together with simulation engines.

Volatility Trading

Author : Euan Sinclair
Publisher : John Wiley & Sons
ISBN 13 : 1118416724
Total Pages : 328 pages
Book Rating : 4.1/5 (184 download)

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Book Synopsis Volatility Trading by : Euan Sinclair

Download or read book Volatility Trading written by Euan Sinclair and published by John Wiley & Sons. This book was released on 2013-03-18 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Popular guide to options pricing and position sizing for quant traders In this second edition of this bestselling book, Sinclair offers a quantitative model for measuring volatility in order to gain an edge in everyday option trading endeavors. With an accessible, straightforward approach, he guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. This new edition includes new chapters on the dynamics of realized and implied volatilities, trading the variance premium and using options to trade special situations in equity markets. Filled with volatility models including brand new option trades for quant traders Options trader Euan Sinclair specializes in the design and implementation of quantitative trading strategies Volatility Trading, Second Edition + Website outlines strategies for defining a true edge in the market using options to trade volatility profitably.

Trading Options for Edge

Author : Mark Sebastian
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3110697866
Total Pages : 234 pages
Book Rating : 4.1/5 (16 download)

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Book Synopsis Trading Options for Edge by : Mark Sebastian

Download or read book Trading Options for Edge written by Mark Sebastian and published by Walter de Gruyter GmbH & Co KG. This book was released on 2022-10-03 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: If you have experience in option trading, or a strong understanding of the options markets, but want to better understand how to trade given certain market conditions, this is the book for you. Mark Sebastian's new edition will teach trade evaluation, using Greeks, trading various spreads under different market conditions, portfolio-building, and risk management. Sebastian's approach will help traders understand how to find edge, what kind of trade under what conditions will capture edge, and how to create and successfully hedge. The book demonstrates how to structure a portfolio of trades that makes more money with less risk.

Options Volatility Trading: Strategies for Profiting from Market Swings

Author : Adam Warner
Publisher : McGraw Hill Professional
ISBN 13 : 0071785825
Total Pages : 302 pages
Book Rating : 4.0/5 (717 download)

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Book Synopsis Options Volatility Trading: Strategies for Profiting from Market Swings by : Adam Warner

Download or read book Options Volatility Trading: Strategies for Profiting from Market Swings written by Adam Warner and published by McGraw Hill Professional. This book was released on 2009-10-13 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to collect big profits from a volatile options market Over the past decade, the concept of volatility has drawn attention from traders in all markets across the globe. Unfortunately, this scrutiny has also created a proliferation of myths about what volatility means and how it works. Options Volatility Trading deconstructs some of the common misunderstandings about volatility trading and shows you how to successfully manage an options trading account and investment portfolio with expertise. This reliable guidebook provides an in-depth look at the volatility index (VIX) and demonstrates how to use it in conjunction with other analytical tools to determine an accurate measure of investor sentiment. However, recognizing a trend isn’t enough. In order to give you everything you need to profit in the options market, Options Volatility Trading also features: Detailed analysis of historical volatility patterns in the context of trading activity Insights into the behavioral psychology of trading volatility Revealing examinations of market noise that distorts exploitable anomalies Author Adam Warner, a recognized trading strategist and financial writer, sheds light on the required mathematics by thoroughly covering options Greeks and building a solid foundation for more advanced options and volatility concepts. He explains how to diversify your investment choices using the latest trading vehicles on the market, including exchange traded funds (ETFs), which offer exceptional money-earning potential for volatility traders. Applying the conceptual lessons in this in-depth book, you will be able to identify, collect, and process the abundance of data available every day in order to time the markets like a pro, as well as develop your own toolbox of best practices and time-tested strategies for locking in big profits from dramatic shifts in investor sentiment. Most importantly, Options Volatility Trading provides you with a go-to resource of dependable guidelines that will help you become a successful volatility trader in options and any other market.

Trading Volatility ETFs

Author : Adam G. Warner
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (16 download)

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Book Synopsis Trading Volatility ETFs by : Adam G. Warner

Download or read book Trading Volatility ETFs written by Adam G. Warner and published by . This book was released on 2011 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Option Pricing, Interest Rates and Risk Management

Author : Elyès Jouini
Publisher : Cambridge University Press
ISBN 13 : 9780521792370
Total Pages : 324 pages
Book Rating : 4.7/5 (923 download)

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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.

Volatility as an Asset Class

Author : Samuel Reber
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (611 download)

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Book Synopsis Volatility as an Asset Class by : Samuel Reber

Download or read book Volatility as an Asset Class written by Samuel Reber and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis examines the characteristics of volatility as an asset class through an analysis of the return characteristics of eight simple volatility trading strategies that involve trading in futures and options on the CBOE volatility index VIX and in S&P 500 Index straddles. Particular attention is paid to the profitability and the potential diversification and hedging benefits arising from adding volatility to an S&P 500 portfolio. While the characteristics of the VIX imply substantial diversification benefits from combining volatility with an S&P 500 portfolio, the overall results for seven out of the eight trading strategies are very disappointing. Except for one VIX futures trading strategy, each trading rule generated large losses. This finding corresponds to the broad empirical evidence for a negative volatility risk premium. More-over, the results indicate that in a persistently low volatility environment, holding near-term VIX futures is very expensive. Trading in long-term futures contracts is much cheaper and therefore, this strategy could provide an interesting instrument to diversify an S&P 500 portfolio. Overall, the findings imply that VIX derivatives cannot replicate the characteristics of the underlying volatility index. The returns of the straddle trading strategies show that the negative time decay effect is particularly important. Hence, straddles should not be created with short-lived options. Furthermore, the results indicate that each volatility trading strategy provides insurance against equity market crashes. Yet, the highly negative volatility risk premium prevents costs effective hedging of S&P 500 portfolios by adding volatility.

The Volatility Trading Plan

Author : Pedro Branco
Publisher :
ISBN 13 :
Total Pages : 80 pages
Book Rating : 4.6/5 (49 download)

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Book Synopsis The Volatility Trading Plan by : Pedro Branco

Download or read book The Volatility Trading Plan written by Pedro Branco and published by . This book was released on 2020-01-29 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: Given the success of the first edition of this book, the author updated its content, confirming the consistency of some strategies presented, and added a new strategy developed during the past year.Trading is hard! Volatility trading is even harder! The goal of this book is to deliver a profitable and actionable trade plan to trade in volatility, applying options techniques and proven strategies using VXX ETN due to its high liquidity. This book also intends to pay tribute to first VXX, former volatility ETN, which the author has been trading exclusively in the last few years. The book won't teach you the basics of options trading strategies (verticals or iron condors spreads to name a few). This book will explain in detail and, in a concise language, the author's Trade Plan and how he uses options to trade that ETN. It was written by a trader and is meant to target traders interested in stock options, and the way risk management applies to volatility trading. Nevertheless, you don't need to be an expert in stock options trading and need to possess only basic knowledge.The book starts with key learnings from the author's bad experiences, which are a good starting point. It goes through the understanding of volatility instruments-from VIX futures structure and how they impact strategies to use-the selection of ETNs Exchange-Traded Notes (ETNs), and then move to an actionable options trading plan. There are some strategies to be applied for every market environment (or volatility level) with clear descriptions of how to apply them as well as its management through adjustments and hedging strategies, also using options.Volatility is clearly a new asset class with its own unique specifics that put it in a different level of common equities, equity ETFs, indexes or commodities. Using options to manage risk, the author explains in detail their portfolio of volatility options strategies and how he uses them, with entry, exit points, adjustments, etc., but always with the overall risk portfolio management in mind.This book will focus on trading options on VXX, the most liquid volatility ETN and the first to be launched in the market. This book provides you with proven, precise, and fundamental rules to trade effectively volatility with options. It supports its options strategies with years of backtesting and author experience as a trader. All strategies presented can be applied in conjunction or individually. The usage of each options strategy will depend on market conditions, either with low volatility (under contango) or high volatility (in backwardation).To sum up, the author discloses the options strategies he uses to trade volatility with options on VXX, minimizing trading subjectivity (purely mechanical with clear entry, exit and adjustment points). But before going into detail, he gives you all the background needed to understand what this new asset class is - Volatility.Add this book to your library if you are looking to increase knowledge on volatility trading and/or options trading and how to trade effectively with a clear Trade Plan that is successfully being applied.

VIX Futures Trading Activity and Volatility

Author : Bujar Huskaj
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis VIX Futures Trading Activity and Volatility by : Bujar Huskaj

Download or read book VIX Futures Trading Activity and Volatility written by Bujar Huskaj and published by . This book was released on 2016 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study extends the literature on the relation between trading activity and volatility by looking at a new asset class in the form of VIX futures, and by decomposing each side of the relation into two components. The results confirm several findings documented in prior studies: The number of transactions is the dominant factor behind the relation; volume covaries positively (negatively) with continuous (jump) volatility; surprises in volume have the largest effect on prices; and market depth reduces volatility. However, the study also finds, among other things, that the dominance of the number of transactions behind the relation with jump volatility is not robust, that the negative relation between market depth and volatility holds only for the continuous volatility component, and that increased VIX futures trading volume is associated with higher VIX options prices.

Statistics of VIX Futures and Their Applications to Trading Volatility Exchange-Traded Products

Author : Marco Avellaneda
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (13 download)

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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.