onlyvix.blogspot.com
How To Manipulate VIX Settlement Price | Volatility Futures & Options
http://onlyvix.blogspot.com/2011/10/how-to-manipulate-vix-settlement-price.html
Volatility Futures and Options. Oct 6, 2011. How To Manipulate VIX Settlement Price. Update 12/25/2013: I published a retraction of the post here. VIX settlement value is determined by a Special Opening Quotation. How this would work in practice:. 1 On Tuesday before VIX expiration before the close, a trader purchases a significant amount of VIX calls, ATM or slightly OTM, that have the most potential gain from an unanticipated VIX increase. Economic significance of such manipulation depends on VIX optio...
onlyvix.blogspot.com
Volatility Bookshelf | Volatility Futures & Options
http://onlyvix.blogspot.com/p/volatility-bookshelf.html
Volatility Futures and Options. Here are some books that I have found useful or informative for volatility trading, or trading in general, and a few that I suggest to skip. If you have questions about these book, or want me to review a different publication email me or leave a comment. Dynamic Hedging - before NN Taleb became a philosopher he wrote an excellent book on options. There are no formal theories here, but a lot of helpful heuristics (in the best sense of the word) and good intuition. Two books...
onlyvix.blogspot.com
VIX, VIX Futures, and VIX ETNs - Interview with John Hwang | Volatility Futures & Options
http://onlyvix.blogspot.com/2014/01/vix-vix-futures-and-vix-etns-interview.html
Volatility Futures and Options. Jan 7, 2014. VIX, VIX Futures, and VIX ETNs - Interview with John Hwang. John “Hojun” Hwang is the author of VIX, VIX Futures, and VIX ETNs. Tell us - how did you get started in finance? Also, the multi-dimensional nature of derivatives trading really interested me. At the time, I thought the only way to make money was through taking directional bets. I found taking views on the velocity of the market just as interesting as predicting its direction. The first lesson is tha...
onlyvix.blogspot.com
Volatility Indexes | Volatility Futures & Options
http://onlyvix.blogspot.com/p/volatility-indexes.html
Volatility Futures and Options. AlphaShares Chinese Volatility Index. India NSE Volatility Index. Italy MIB Volatility Index. Russell 2000 Volatility Index. JSE Securities South African Volatility Index. Deutsche Borse VDAX-NEW Volatility Index. Dow Jones EURO STOXX 50 Volatility Index. Deutsche Borse VSMI Volatility Index. CAC 40 Volatility Index. FTSE 100 Volatility Index. CBOE S&P 500 Volatility Index. KOSPI 200 Volatility Index. Dow Jones Industrial Average Volatility Index. CBOE S&P Volatility Index.
onlyvix.blogspot.com
Another Vol Arb Mutual Fund | Volatility Futures & Options
http://onlyvix.blogspot.com/2015/05/another-vol-arb-mutual-fund.html
Volatility Futures and Options. May 26, 2015. Another Vol Arb Mutual Fund. From Franklin K2 Alternative Strategies Fund. Canada) shows that one of the sub-managers trades volatility arbitrage strategies. There are four "candidates" and googling suggests that Basso Capital Management is the manager running volatility strategy. Performance of the fund has been lackluster, and management fees are quite high. Subscribe to: Post Comments (Atom). Volatility ETFs and ETNs. The Intelligent Investor Blog.
onlyvix.blogspot.com
VSXX - VSTOXX ETF Performance Very Different From VXX | Volatility Futures & Options
http://onlyvix.blogspot.com/2010/08/vsxx-vstoxx-etf-performance-very.html
Volatility Futures and Options. Aug 2, 2010. VSXX - VSTOXX ETF Performance Very Different From VXX. Edit Dec 7, 2010: See my updated post on VSXX here. VSXX, an ETF based on VSTOXX Short-Term Futures Index is trading for two months now (summary here. Official Braclays page on VSXX is here. I've read the description on both indexes and calculation algorithm seems to be the same for both. However the most interesting nugget of information is found in the summary on Deutsche Börse website here. The informat...
onlyvix.blogspot.com
MOVE Index and VIX Index | Volatility Futures & Options
http://onlyvix.blogspot.com/2010/10/move-index-and-forecasting-vix.html
Volatility Futures and Options. Oct 29, 2010. MOVE Index and VIX Index. MOVE index was developed by Merrill Lynch to measure implied volatility of US Treasury markets. It is a yield-curve weighted average of normalized implied volatility of 30-day options. The index has been in existence for several years now, however it is seldom discussed, either in itself, or in relationship to the VIX. What I am interested in is if volatility in the treasury market can forecast volatility in the equities. The informa...
onlyvix.blogspot.com
Quick Note on MLKJ Day | Volatility Futures & Options
http://onlyvix.blogspot.com/2015/06/quick-note-on-mlkj-day.html
Volatility Futures and Options. Jun 17, 2015. Quick Note on MLKJ Day. While president Reagan signed the holiday into law in 1983, NYSE did not make it a full-day exchange holiday until 1998. Source. If you are as. Did you run it by Luigi? Btw, quick question, I stumbled upon weekends contributing 25% more vol for Mon-Fri returns than other days. Http:/ blog.johnorford.com/2015/06/08/21-days-a-month/. Aggregating up, I suggested using 22 days a month for scaling purposes. First time I heard about it.
onlyvix.blogspot.com
Expiration Dates For VSTOXX, VNKY, RTSVX, VHSI | Volatility Futures & Options
http://onlyvix.blogspot.com/2013/01/expiration-dates-for-vstoxx-vnky-rtsvx.html
Volatility Futures and Options. Jan 16, 2013. Expiration Dates For VSTOXX, VNKY, RTSVX, VHSI. For anyone tracking all domestic and international volatility futures I put together this table with expiration dates for 2015. For every month, look up the exchange and last trading day / settlement day. Expiration is 30 calendar days before options expiration, Wednesdays, AM special opening quotation. Source. EURO STOXX 50 Variance Futures. Weekly contracts, expiring on Tuesdays. Source. Day after 30 calendar ...
onlyvix.blogspot.com
Intuitive Understanding Of VIX Formula | Volatility Futures & Options
http://onlyvix.blogspot.com/2011/09/intuitive-understanding-of-vix-formula.html
Volatility Futures and Options. Sep 15, 2011. Intuitive Understanding Of VIX Formula. Many investors are looking at VIX and VSTOXX indexes as a leading indicators of volatility in equity markets, however many are confused by the formula. According to CBOE VIX white paper. Or VSTOXX Index guide. Page 23) volatility index is calculated using the formula below:. To summarize - VIX is approximately proportional to the area under call and put curves. Another property of volatility indexes is becomes apparent ...
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