Trading VIX derivatives : trading and hedging strategies using VIX futures, options, and exchange-traded notes
"Trading VIX Derivatives will be a comprehensive book covering all aspects of the Chicago Board Options Exchange stock market volatility index. The book will explain the mechanics and strategies associated with trading VIX options, futures, exchange trading notes and options on exchange traded notes. 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. As such, 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, there are a variety of strategies traders use to speculate outright on the direction of market volatility or to use the products in conjunction with other instruments to create spread trades or hedge their overall risk. A top instructor at the CBOE's Options Institute, the author will reflect the wide range of uses associated with the VIX and will make the book useful to both new traders and seasoned professionals"-- Provided by publisher
dissertations
1 online resource (xvi, 272 pages) : illustrations
9781119201274, 9781118118474, 9781118118481, 9781118118467, 1119201276, 1118118472, 1118118480, 1118118464
747412764
Trading VIXDerivatives; Contents; Preface; Acknowledgments; CHAPTER 1 Understanding Implied Volatility; Historical versus Forward-Looking Volatility; Put-Call Parity; Estimating Price Movement; Valuing Options: Pricing Calculators and Other Tools; Fluctuations Based on Supply and Demand; The Impact on Option Prices; Implied Volatility and the VIX; CHAPTER 2 About the VIX Index; History of the VIX; Calculating the VIX; The VIX and Put-Call Parity; The VIX and Market Movement; Equity Market Volatility Indexes; CHAPTER 3 VIX Futures; Steady Growth of New Products; Contract Specifications. Mini-VIX FuturesPricing Relationship between VIX Futures and the Index; Futures' Relationship to Each Other; VIX Futures Data; CHAPTER 4 VIX Options; Contract Specifications; Relationship to VIX Index; Relationship to VIX Futures; VIX Binary Options; CHAPTER 5 Weekly Options on CBOE Volatility Index Futures; Contract Specifications; Weekly Options and Index Options; Weekly Option Strategy; CHAPTER 6 Volatility-Related Exchange-Traded Notes; What are Exchange-Traded Notes?; iPath S & P 500 VIX Short-Term Futures ETN; iPath S & P 500 VIX Mid-Term Futures ETN; Comparing the VXX and VXZ Performance. Barclays ETN+ Inverse S & P 500 VIX Short-Term Futures ETNBarclays ETN+ S & P VEQTOR ETN; S & P 500 VIX Futures Source ETF; CHAPTER 7 Alternate Equity Volatility and Strategy Indexes; CBOE S & P 500 3-Month Volatility Index (VXV); VIX Premium Strategy Index (VPD); Capped VIX Premium Strategy Index (VPN); S & P 500 VARB-X Strategy Benchmark; S & P 500 Implied Correlation Index; CHAPTER 8 Volatility Indexes on Alternative Assets; CBOE Gold Volatility Index; CBOE Crude Oil Volatility Index; CBOE EuroCurrency Volatility Index; CBOE/NYMEX Crude Oil (WTI) Volatility Index; CBOE/COMEX Gold Volatility Index. CBOE/CBOT Grain Volatility IndexesFX Realized Volatility Indexes; CHAPTER 9 The VIX as a Stock Market Indicator; The Inverse Relationship between the VIX and the S & P 500; VIX Index as an Indicator; VIX Futures as an Indicator; A Modified VIX Futures Contract; Combining VIX Futures and the VIX Index; VIX Index and Gold Price Indicator; VIX Option Put-Call Ratio; CHAPTER 10 Hedging with VIX Derivatives; Hedging with VIX Options; Hedging with VIX Futures; University of Massachusetts Study; CHAPTER 11 Speculating with VIX Derivatives; VIX Futures Trading; VIX Option Trading; VIX ETN Trading. Comparing VIX Trading InstrumentsCHAPTER 12 Calendar Spreads with VIX Futures; Comparing VIX Futures Prices; The Mechanics of a Calendar Spread; Patterns in the Data; Trade Management; Other Parameters; CHAPTER 13 Calendar Spreads with VIX Options; VIX Option Pricing; Calendar Spread with Put Options; Calendar Spread with Call Options; Diagonal Spread with Put Options; Diagonal Spread with Call Options; CHAPTER 14 Calendar Spreads with VIX Options and Futures; Comparing Options and Futures; Calendar Spread Examples; CHAPTER 15 Vertical Spreads with VIX Options; Vertical Spread Examples. CHAPTER 16 Iron Condors and Butterflies with VIX Options