Trading VIX Derivatives: Trading and Hedging Strategies Using VIX Futures, Options, and Exchange-Traded Notes.
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Book description.
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.
Table of contents.
Cover Series Title Page Copyright Dedication 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 HISTORY OF THE VIX CALCULATING THE VIX THE VIX AND PUT-CALL PARITY THE VIX AND MARKET MOVEMENT EQUITY MARKET VOLATILITY INDEXES STEADY GROWTH OF NEW PRODUCTS CONTRACT SPECIFICATIONS MINI-VIX FUTURES PRICING RELATIONSHIP BETWEEN VIX FUTURES AND THE INDEX FUTURES’ RELATIONSHIP TO EACH OTHER VIX FUTURES DATA CONTRACT SPECIFICATIONS RELATIONSHIP TO VIX INDEX RELATIONSHIP TO VIX FUTURES VIX BINARY OPTIONS CONTRACT SPECIFICATIONS WEEKLY OPTIONS AND INDEX OPTIONS WEEKLY OPTION STRATEGY 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 ETN BARCLAYS ETN+ S&P VEQTOR ETN S&P 500 VIX FUTURES SOURCE ETF 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 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 INDEXES FX REALIZED VOLATILITY INDEXES 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 HEDGING WITH VIX OPTIONS HEDGING WITH VIX FUTURES UNIVERSITY OF MASSACHUSETTS STUDY VIX FUTURES TRADING VIX OPTION TRADING VIX ETN TRADING COMPARING VIX TRADING INSTRUMENTS COMPARING VIX FUTURES PRICES THE MECHANICS OF A CALENDAR SPREAD PATTERNS IN THE DATA TRADE MANAGEMENT OTHER PARAMETERS VIX OPTION PRICING CALENDAR SPREAD WITH PUT OPTIONS CALENDAR SPREAD WITH CALL OPTIONS DIAGONAL SPREAD WITH PUT OPTIONS DIAGONAL SPREAD WITH CALL OPTIONS COMPARING OPTIONS AND FUTURES CALENDAR SPREAD EXAMPLES VERTICAL SPREAD EXAMPLES WHAT IS AN IRON CONDOR? IRON CONDOR WITH VIX OPTIONS WHAT IS AN IRON BUTTERFLY? IRON BUTTERFLY WITH VIX OPTIONS.
Product information.
Title: Trading VIX Derivatives: Trading and Hedging Strategies Using VIX Futures, Options, and Exchange-Traded Notes Author(s): Release date: August 2011 Publisher(s): Wiley ISBN: 9780470933084.
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