Trading VIX derivatives: trading and hedging strategies using VIX futures, options, and exchange traded notes

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 tradednotes. 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 onthe 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 sufficientlysophisticated 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. INDICE: Foreword. Preface. Acknowledgments. Chapter 1: Understanding Implied Volatility. Historical vs. 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 Non-Mathematical Approach. The Formula and Calculations. The VIX and Put-Call Parity. The VIX and Market Movement. Equity Market Volatility Indexes. CBOE DJIA Volatility Index. CBOE NASDAQ-100 Volatility Index. CBOE Russell 2000 Volatility Index. CBOE S ETN. iPath S ETN. Comparing the VXXand VXZ Performance. Barclays ETN+ Inverse S ETN. Barclays ETN+ S ETNs. S&P 500 VIX Futures Source ETF. Chapter 7: Alternate Equity Volatility and StrategyIndexes. 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 (VTY). Chapter 8: Volatility Indexes on Alternative Assets. CBOE Gold Volatility Index. CBOE Crude Oil VolatilityIndex. CBOE EuroCurrency Volatility Index. CBOE/NYMEX Crude Oil (WTI) Volatility Index. CBOE/COMEX Gold Volatility Index. CBOE/CBOT Grain Volatility Indexes. FX 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 anIndicator. 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. VXX Relative to the VIX Index. VXZ Relative to the VIX Index. Comparing VIX Trading Instruments. Chapter 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. Short Call andLong Future. Long Put and Long Future. Chapter 15: Vertical Spreads with VIX Options. Vertical Spread Examples. Bullish Vertical Spreads. Bearish Vertical Spreads. Chapter 16: Iron Condors and Butterflies with VIX Options. What Is anIron Condor? Iron Condor with VIX Options. What Is an Iron Butterfly? Iron Butterfly with VIX Options. Selected Bibliography. About the Author. Index.

• ISBN: 978-0-470-93308-4
• Editorial: John Wiley & Sons
• Encuadernacion: Cartoné
• Páginas: 336
• Fecha Publicación: 17/08/2011
• Nº Volúmenes: 1
• Idioma: Inglés