Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
The Vix Index And Volatility Based Global Indexes And Trading Instruments
Download The Vix Index And Volatility Based Global Indexes And Trading Instruments full books in PDF, epub, and Kindle. Read online The Vix Index And Volatility Based Global Indexes And Trading Instruments ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
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 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 . This book was released on 2020 with total page 32 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 The VIX Index and Volatility-Based Global Indexes and Trading Instruments by : CFA Institute Research Foundation
Download or read book The VIX Index and Volatility-Based Global Indexes and Trading Instruments written by CFA Institute Research Foundation and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 2011-08-09 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 Causal Relationship between the S&P 500 and the VIX Index by : Florian Auinger
Download or read book The Causal Relationship between the S&P 500 and the VIX Index written by Florian Auinger and published by Springer. This book was released on 2015-02-13 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: Florian Auinger highlights the core weaknesses and sources of criticism regarding the VIX Index as an indicator for the future development of financial market volatility. Furthermore, it is proven that there is no statistically significant causal relationship between the VIX and the S&P 500. As a consequence, the forecastability is not given in both directions. Obviously, there must be at least one additional variable that has a strong influence on market volatility such as emotions which, according to financial market experts, are considered to play a more and more important role in investment decisions.
Book Synopsis Emerging versus Developed Volatility Indexes by : Robert Slepaczuk
Download or read book Emerging versus Developed Volatility Indexes written by Robert Slepaczuk and published by . This book was released on 2008 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling of financial markets volatility is one of the most significant issues of contemporary finance, especially while analyzing high-frequency data. Accurate quantification and forecast of volatility are of immense importance in risk management (VaR models, stress testing and worst case scenario), models of capital market and options valuation techniques. What we show in this paper is the methodology for calculating volatility index for Polish capital market (VIW20 - index anticipating expected volatility of WIG20 Index). The methods presented are based on VIX Index (VIX White Paper, 2003) and enriched with necessary modifications corresponding with the character of Polish options market. Quoted on CBOE, VIX Index is currently known as the best measure of capital investment risk perfectly illustrating the level of fear and emotions of market participants. The conception of volatility index is based on combination of realized volatility and implied volatility which, using methodology of Derman et al. (1999) and reconstructing volatility surface, reflects both volatility smile as well as its term structure. The research is carried out using high-frequency data (i.e. tick data) for index options on WIG20 Index for the period November 2003 - May 2007, in other words, starting with the introduction of options by Warsaw Stock Exchange. All additional simulations are carried out using data comprising 1998-2008. Having analyzed in detail VIW20 Index, we observed its characteristic behavior during the periods of strong market turmoils. What we also present is the analysis of the influence of VIW20 and VIX index-based instruments both on construction of minimum risk portfolio and the quality of derivatives portfolio management where volatility risk and liquidity risk play a key role. The main objective of this paper is to provide foundations for introducing appropriate volatility indices and volatility-based derivatives. All that paying attention to crucial methodology changes, necessary if one considers strong markets inefficiencies in emerging countries. As the introduction of appropriate instruments will enable active management of risks that are unhedgable nowadays it will significantly contribute to the development of the given markets in the course of time. In summary we additionally point to benefits Warsaw Stock Exchange might get, being one of few emerging markets possessing appropriately quantified investment risk as well as derivatives to manage it.
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.
Book Synopsis Three Essays on the Vix Index by : Richard Anthony Arnatt
Download or read book Three Essays on the Vix Index written by Richard Anthony Arnatt and published by . This book was released on 2018 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation comprises three essays based on the VIX Index, the Chicago Board Options Exchange's (CBOE) index representing S & P 500 Index implied volatility. The first essay looks at the performance of VIX-related Exchange Traded Notes (ETN). These instruments benchmarked to futures prices are designed to give exposure to stock market volatility. Performance has been poor, owing to the upward sloping nature of the VIX futures curve. The introduction of the notes appears to have coincided with a fundamental change in the pricing of VIX futures, resulting in a steeper futures curve and worse performance for ETNs than would have occurred previously. A strategy of carrying out the reverse of the trades represented by the underlying benchmark is shown to be profitable. The extent to which ETN managers cover their positions appears correlated with the slope of the futures curve. The second essay asks if volatility indices predict realized volatility. I find that the VIX Index tends to overstate subsequent realized S & P 500 Index volatility and shows mild predictive value. The VVIX Index, a measure of VIX Index implied volatility, tends to understate realized VIX Index volatility and has little predictive value. I demonstrate that the volatility indices do not, however, by construction, directly reflect interperiod volatility as measured by standard deviation. The third essay looks at the problem of analyzing futures prices in the specific case of the VIX Index. The maturity of futures contracts change continuously, which poses problems for assessing notional futures prices of specified maturity and the shape of the futures curve. Benchmarks for VIX-related ETNs use linear interpolation of the futures prices nearest to the desired maturity to provide a notional value for a futures contract of 30 or 90 days duration. I show that this does not reflect the true shape of the futures curve. I apply a method designed by Charles Nelson and Andrew Siegel for modeling yield curves to the VIX futures term structure. This gives a better estimate for prices of notional contracts of specific maturity than linear interpolation, and reflects the non-linear, asymptotic nature of the futures curve.
Book Synopsis Tracking the VIX Index by : Athanasios Fassas
Download or read book Tracking the VIX Index written by Athanasios Fassas and published by . This book was released on 2014 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility has emerged as an important distinct asset class over the past decade. The popularity of volatility stems from its unique properties, namely its negative correlation with equity returns and its usefulness as insurance against tail risk. Trading applications of volatility-related securities and financial instruments involve among others short-term trading in order to exploit shifts in volatility (realized, implied or expected implied volatility), hedging an equity exposure and modifying the risk of an asset allocation mix.This paper examines the tracking performance of VIX futures and seven popular volatility Exchange Traded Products (ETPs) on the spot VIX index. The empirical findings suggest limited tracking ability of all the products under review as the magnitude of the respective tracking errors is significant. Therefore, even though there is a plethora of volatility products nowadays, there is still potential room for additional VIX ETP offerings that would attempt to track spot VIX following either a physical or a synthetic replication method.
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:
Book Synopsis The VIX, the Variance Premium and Stock Market Volatility by : Geert Bekaert
Download or read book The VIX, the Variance Premium and Stock Market Volatility written by Geert Bekaert and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. The latter is increasing in risk aversion in a wide variety of economic settings. We tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the predictive power of the VIX and its two components for stock market returns and economic activity. The variance premium predicts stock returns but the conditional stock market variance predicts economic activity, and is more contemporaneously correlated with financial instability than is the variance premium.
Download or read book Volatility written by Clemens Glaffig and published by . This book was released on 2020-04-04 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This treatise describes the available universe of instruments related to the VIX Index, the gauge for short term implied volatility of options on the S&P500 index and some of the strategies used within this universe. The breadth of the available instruments on VIX is at this stage unmatched by any other Volatility index, but the technical issues described here in the context of VIX related products can also be applied to other indices, should they expand their own universe of derivative instruments.
Book Synopsis Swing Pricing and Fragility in Open-end Mutual Funds by : Dunhong Jin
Download or read book Swing Pricing and Fragility in Open-end Mutual Funds written by Dunhong Jin and published by International Monetary Fund. This book was released on 2019-11-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
Book Synopsis ETFs and Systemic Risks by : Ayan Bhattacharya
Download or read book ETFs and Systemic Risks written by Ayan Bhattacharya and published by CFA Institute Research Foundation. This book was released on 2020-01-22 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange-traded funds (ETFs) revolutionized asset markets by using an innovative structure to make investing in a wide variety of asset classes simpler and cheaper. With their growing importance has come increasing concern that these products pose new risks to market stability and performance. This paper examines whether ETFs affect systemic risks in financial markets and, if they do, what the mechanism is by which this impact occurs and what can be done to keep the risks under control. We review current research and empirical evidence on these issues and discuss some emerging risks in ETFs. We ask whether we have the right “rules of the road” to deal with the new drivers of market behavior.
Book Synopsis Listed Volatility and Variance Derivatives by : Yves Hilpisch
Download or read book Listed Volatility and Variance Derivatives written by Yves Hilpisch and published by John Wiley & Sons. This book was released on 2016-11-10 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leverage Python for expert-level volatility and variance derivative trading Listed Volatility and Variance Derivatives is a comprehensive treatment of all aspects of these increasingly popular derivatives products, and has the distinction of being both the first to cover European volatility and variance products provided by Eurex and the first to offer Python code for implementing comprehensive quantitative analyses of these financial products. For those who want to get started right away, the book is accompanied by a dedicated Web page and a Github repository that includes all the code from the book for easy replication and use, as well as a hosted version of all the code for immediate execution. Python is fast making inroads into financial modelling and derivatives analytics, and recent developments allow Python to be as fast as pure C++ or C while consisting generally of only 10% of the code lines associated with the compiled languages. This complete guide offers rare insight into the use of Python to undertake complex quantitative analyses of listed volatility and variance derivatives. Learn how to use Python for data and financial analysis, and reproduce stylised facts on volatility and variance markets Gain an understanding of the fundamental techniques of modelling volatility and variance and the model-free replication of variance Familiarise yourself with micro structure elements of the markets for listed volatility and variance derivatives Reproduce all results and graphics with IPython/Jupyter Notebooks and Python codes that accompany the book Listed Volatility and Variance Derivatives is the complete guide to Python-based quantitative analysis of these Eurex derivatives products.
Book Synopsis International Encyclopedia of Technical Analysis by : Joel G. Siegel
Download or read book International Encyclopedia of Technical Analysis written by Joel G. Siegel and published by Routledge. This book was released on 2014-01-27 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors are firmly entrenched in two camps: those who believe that economic and financial fundamentals are the keys to investment success, and those who prefer some form or other of technical analysis. To serve those who use technical analysis, the authors have written a practical, useful, and comprehensive guide to all the major and minor technical analysis systems used by today's investors and financial professionals. In this unique reference book, technical analysis systems are discussed in depth, with detailed attention to the pros and cons of each. In addition, the Encyclopedia offers a mini-dictionary of the terms, concepts, and market issues that are part of the discipline of technical analysis.
