Trading Vix Derivatives
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Trading Vix Derivatives
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Author : Russell Rhoads
language : en
Publisher: John Wiley & Sons
Release Date : 2011-07-11
Trading Vix Derivatives written by Russell Rhoads and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-07-11 with Business & Economics categories.
A guide to using the VIX to forecast and trade markets Known as the fear index, the VIX provides a snapshot ofexpectations about future stock market volatility and generallymoves inversely to the overall stock market. Trading VIXDerivatives will show you how to use the Chicago Board OptionsExchange's S&P 500 volatility index to gauge fear and greed inthe market, use market volatility to your advantage, and hedgestock portfolios. Engaging and informative, this book skillfullyexplains the mechanics and strategies associated with trading VIXoptions, futures, exchange traded notes, and options on exchangetraded notes. Many market participants look at the VIX to help understandmarket sentiment and predict turning points. With a slew of VIXindex trading products now available, traders can use a variety ofstrategies to speculate outright on the direction of marketvolatility, but they can also utilize these products in conjunctionwith other instruments to create spread trades or hedge theiroverall risk. Reviews how to use the VIX to forecast market turning points,as well as reveals what it takes to implement trading strategiesusing VIX options, futures, and ETNs Accessible to active individual traders, but sufficientlysophisticated for professional traders Offers insights on how volatility-based strategies can be usedto provide diversification and enhance returns Written by Russell Rhoads, a top instructor at the CBOE'sOptions Institute, this book reflects on the wide range of usesassociated with the VIX and will interest anyone looking forprofitable new forecasting and trading techniques.
The Vix Trader S Handbook
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Author : Russell Rhoads
language : en
Publisher: Harriman House Limited
Release Date : 2020-10-27
The Vix Trader S Handbook written by Russell Rhoads and has been published by Harriman House Limited this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-10-27 with Business & Economics categories.
Russell Rhoads is one of America’s leading experts on VIX, the Volatility Index. In The VIX Trader’s Handbook he takes a deep dive into all things associated with volatility indexes and related trading vehicles. The handbook begins with an explanation of what VIX is, how it is calculated, and why it behaves the way it does in various market environments. It also explains the various methods of getting exposure to volatility through listed markets. The focus then moves on to demonstrate how traders take advantage of various scenarios using futures, options, or ETPs linked to the performance of VIX. Finally, a comprehensive review is presented of volatility events that shook the markets, including the 1987 crash, Great Financial Crisis, 2010 flash crash, and the 2020 pandemic. By understanding how VIX behaved leading up to these market shocks, and reacted afterwards, traders can better equip themselves ahead of future events. A wide variety of strategies that are implemented in both bearish and bullish equity markets are introduced and covered extensively throughout. The VIX Trader’s Handbook is essential reading for all those who are intending to trade volatility—from those who wish to gain an understanding of how VIX and the related trading products behave, to those intending to hedge equity exposure or take advantage of the persistent overpricing of option volatility. You won’t want to trade volatility without it.
An Analysis On The Intraday Trading Activity Of Vix Derivatives
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Author : Dian-Xuan Kao
language : en
Publisher:
Release Date : 2017
An Analysis On The Intraday Trading Activity Of Vix Derivatives written by Dian-Xuan Kao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
We investigate the relation between trading activity in the VIX derivative markets and changes in the VIX index under a high-frequency framework. We find a significant relation between the signed trading variables of VIX futures and the contemporaneous changes in the VIX index. In addition, the net signed trading variables of VIX futures are significant predictors of future changes in the VIX index. Our results provide support for the informational role of VIX futures and evidence that trading activity in VIX options is likely caused by temporary liquidity shocks rather than the likelihood of informed trading.
Forecasting The Vix To Improve Vix Derivatives Trading
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Author : Chrilly Donninger
language : en
Publisher:
Release Date : 2016
Forecasting The Vix To Improve Vix Derivatives Trading written by Chrilly Donninger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Konstantinidi et. al. state in their broad survey of Volatility-Index forecasting: "The question whether the dynamics of implied volatility indices can be predicted has received little attention". The overall result of this and the quoted papers is: The VIX is too a very limited extend (R2 is typically 0.01) predictable, but the effect is economically not significant.This paper confirms this finding if (and only if) the forecast horizon is limited to one day. But there is no practical need to do so. One can - and usually does - hold a VIX Future or Option several trading days. It is shown that a simple model has a highly significant predictive power over a longer time horizon. The forecasts improve realistic trading strategies.
Trading Volatility Vix Etns Etfs And Derivatives
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Author : Lawrence G. McMillan
language : en
Publisher: Wiley
Release Date : 2014-11-03
Trading Volatility Vix Etns Etfs And Derivatives written by Lawrence G. McMillan and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-03 with Business & Economics categories.
In this essential video seminar for traders, Larry McMillan explains how to trade volatility using options and ETFs In this must-have seminar, options guru Larry McMillan looks at the basics of VIX futures and options trading, including how to properly price options and compute deltas. He discusses the more popular volatility ETNs and ETFs, as well as a host of other products. McMillan offers expert insight on major volatility products and what they can and cannot do, and explains how volatility ETNs can affect VIX futures markets. Shows traders how to maximize their profits by utilizing volatility Written by a respected and successful trader and options expert Fully explains an increasingly popular kind of derivative and how it behaves differently than other derivatives
Pricing Models Of Volatility Products And Exotic Variance Derivatives
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Author : Yue Kuen Kwok
language : en
Publisher: CRC Press
Release Date : 2022-05-08
Pricing Models Of Volatility Products And Exotic Variance Derivatives written by Yue Kuen Kwok and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-05-08 with Mathematics categories.
Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives
Derivatives
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Author : Jiří Witzany
language : en
Publisher: Springer Nature
Release Date : 2020-11-04
Derivatives written by Jiří Witzany and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-11-04 with Business & Economics categories.
This book helps students, researchers and quantitative finance practitioners to understand both basic and advanced topics in the valuation and modeling of financial and commodity derivatives, their institutional framework and risk management. It provides an overview of the new regulatory requirements such as Basel III, the Fundamental Review of the Trading Book (FRTB), Interest Rate Risk of the Banking Book (IRRBB), or the Internal Capital Assessment Process (ICAAP). The reader will also find a detailed treatment of counterparty credit risk, stochastic volatility estimation methods such as MCMC and Particle Filters, and the concepts of model-free volatility, VIX index definition and the related volatility trading. The book can also be used as a teaching material for university derivatives and financial engineering courses.
Asset Pricing Real Estate And Public Finance Over The Crisis
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Author : A. Carretta
language : en
Publisher: Springer
Release Date : 2013-02-03
Asset Pricing Real Estate And Public Finance Over The Crisis written by A. Carretta and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-02-03 with Business & Economics categories.
The current financial crisis started from the US real estate market and after, though the increase of risk premium requested by investors and due to the lack of liquidity of all financial markets, it became a world financial crisis. A detailed analysis during the crisis focuses attention on asset management, the real estate and public sector.
Option Pricing Interest Rates And Risk Management
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Author : Elyès Jouini
language : en
Publisher: Cambridge University Press
Release Date : 2001
Option Pricing Interest Rates And Risk Management written by Elyès Jouini and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Derivative securities categories.
This 2001 handbook surveys the state of practice, method and understanding in the field of mathematical finance. Every chapter has been written by leading researchers and each starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with an indication of what needs to be done in order to solve them. The primary audiences for the book are doctoral students, researchers and practitioners who already have some basic knowledge of mathematical finance. In sum, this is a comprehensive reference work for mathematical finance and will be indispensable to readers who need to find a quick introduction or reference to a specific topic, leading all the way to cutting edge material.
Volatility Trading
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Author : Euan Sinclair
language : en
Publisher: John Wiley & Sons
Release Date : 2011-01-11
Volatility Trading written by Euan Sinclair and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-11 with Business & Economics categories.
In Volatility Trading, Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in your everyday option trading endeavors. With an accessible, straightforward approach. He guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. In addition, Sinclair explains the often-overlooked psychological aspects of trading, revealing both how behavioral psychology can create market conditions traders can take advantage of-and how it can lead them astray. Psychological biases, he asserts, are probably the drivers behind most sources of edge available to a volatility trader. Your goal, Sinclair explains, must be clearly defined and easily expressed-if you cannot explain it in one sentence, you probably aren't completely clear about what it is. The same applies to your statistical edge. If you do not know exactly what your edge is, you shouldn't trade. He shows how, in addition to the numerical evaluation of a potential trade, you should be able to identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists. This means it is also necessary to be on top of recent news stories, sector trends, and behavioral psychology. Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the overall context of your goals. As the author concludes, while we also need to pay attention to seemingly mundane things like having good execution software, a comfortable office, and getting enough sleep, it is knowledge that is the ultimate source of edge. So, all else being equal, the trader with the greater knowledge will be the more successful. This book, and its companion CD-ROM, will provide that knowledge. The CD-ROM includes spreadsheets designed to help you forecast volatility and evaluate trades together with simulation engines.