Essays about: "VIX futures"
Found 4 essays containing the words VIX futures.
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1. Trading Volatility : Trading strategies based on the VIX term structure.
University essay from Umeå universitet/FöretagsekonomiAbstract : This study investigates how term structure dynamics of VIX futures can be exploited forabnormal returns. To be able to access volatility as a tradeable asset, the trading strategiesonly trades ETFs which are designed to replicate the movements of VIX futures index. READ MORE
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2. Information Spillover from VIX Options to VIX Futures: the Information Content of Put-Call Ratio and Implied Volatility Skew
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper investigates the predictive power of the information content of VIX options with respect to VIX futures. Two sub-samples of variables are used in the analysis: put-call ratios of daily option volumes and spreads among implied volatilities across different moneyness levels, derived from VIX options prices. READ MORE
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3. Reducing Portfolio Risk Using Volatility - A risk-return examination of the addition of VIX and VIX futures contracts to an equity portfolio
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : This thesis examines the effects of adding volatility, as represented by the CBOE Volatility Index (VIX) and VIX futures contracts, to a stock portfolio in terms of portfolio risk and portfolio return. The study is based on statistical properties as well as Markowitz’s modern portfolio theory, with support from previous research conducted by Hill (2013), Szado (2009), and Daigler and Rossi (2006). READ MORE
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4. An Equal Risk Contribution Portfolio Approach Using VIX Futures
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : As an effect of the unusually volatile financial markets the past few years, new asset allocation strategies such as the equal risk contribution (ERC) approach has been developed. This report examines the effect on portfolio performance of adding VIX Futures contracts to an ERC portfolio consisting of positions in long-term government bonds and S\&P 500 equities. READ MORE