09-005 Mini VIX Futures Contract - Cboe · Mini VIX futures are subject to position accountability...

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Transcript of 09-005 Mini VIX Futures Contract - Cboe · Mini VIX futures are subject to position accountability...

Page 1: 09-005 Mini VIX Futures Contract - Cboe · Mini VIX futures are subject to position accountability under Rule 412A. A person is subject to the position accountability requirements
Page 2: 09-005 Mini VIX Futures Contract - Cboe · Mini VIX futures are subject to position accountability under Rule 412A. A person is subject to the position accountability requirements
Page 3: 09-005 Mini VIX Futures Contract - Cboe · Mini VIX futures are subject to position accountability under Rule 412A. A person is subject to the position accountability requirements
Page 4: 09-005 Mini VIX Futures Contract - Cboe · Mini VIX futures are subject to position accountability under Rule 412A. A person is subject to the position accountability requirements
Page 5: 09-005 Mini VIX Futures Contract - Cboe · Mini VIX futures are subject to position accountability under Rule 412A. A person is subject to the position accountability requirements
Page 6: 09-005 Mini VIX Futures Contract - Cboe · Mini VIX futures are subject to position accountability under Rule 412A. A person is subject to the position accountability requirements
Page 7: 09-005 Mini VIX Futures Contract - Cboe · Mini VIX futures are subject to position accountability under Rule 412A. A person is subject to the position accountability requirements

ON VIX FUTURES IN THE ROUGH BERGOMI MODEL

ON VIX FUTURES IN THE ROUGH BERGOMI MODEL

CBOE Futures Exchange - Interactive Brokers · When you trade VIX futures you are not trading the spot VIX ... VIX at expiration (forward VIX). • Standard “cost of carry” model

CBOE Futures Exchange - Interactive Brokers · When you trade VIX futures you are not trading the spot VIX ... VIX at expiration (forward VIX). • Standard “cost of carry” model

VIX AND VIX FUTURES: A TOOL OF RISK REDUCTION AND …summit.sfu.ca/system/files/iritems1/14413/Final Project - Bei Feng an… · VIX AND VIX FUTURES: A TOOL OF RISK REDUCTION AND

VIX AND VIX FUTURES: A TOOL OF RISK REDUCTION AND …summit.sfu.ca/system/files/iritems1/14413/Final Project - Bei Feng an… · VIX AND VIX FUTURES: A TOOL OF RISK REDUCTION AND

SOUTHERN DISTRICT OF NEW YORK DAVID SAMUEL, individually ... · related to expected market volatility spawned the creation of VIX-linked futures (“VIX Futures”) in 2004 and VIX-linked

SOUTHERN DISTRICT OF NEW YORK DAVID SAMUEL, individually ... · related to expected market volatility spawned the creation of VIX-linked futures (“VIX Futures”) in 2004 and VIX-linked

On the Intraday Relation between the VIX and its Futures€¦ · VIX futures dominate the VIX more on days with negative returns, and on days with high values of the VIX, suggesting

On the Intraday Relation between the VIX and its Futures€¦ · VIX futures dominate the VIX more on days with negative returns, and on days with high values of the VIX, suggesting

Trading Volatility with VIX Futures and Options

Trading Volatility with VIX Futures and Options

TopicsTopics VIX Cycle VIX Futures Curve Volatility Curve Volatility Signals. VIX Cycle. Reason For VIX Cycle •Hedging costs money •Investors want to minimize hedging costs •Long

TopicsTopics VIX Cycle VIX Futures Curve Volatility Curve Volatility Signals. VIX Cycle. Reason For VIX Cycle •Hedging costs money •Investors want to minimize hedging costs •Long

The VIX Futures Basis: Evidence and Trading Strategiescassinicap.com/the-VIX-futures-basis.pdf · trading below the VIX as backwardation, a negative basis or an inverted VIX futures

The VIX Futures Basis: Evidence and Trading Strategiescassinicap.com/the-VIX-futures-basis.pdf · trading below the VIX as backwardation, a negative basis or an inverted VIX futures

Pricing VIX Futures with Stochastic Volatility and Random ...

Pricing VIX Futures with Stochastic Volatility and Random ...

Some remarks on VIX futures and ETPs

Some remarks on VIX futures and ETPs

Welcome to Trading VIX Futures - Interactive Brokers · 2007. 1. 30. · Trading VIX ® Futures January 23 ... with a broker and tax advisor before entering into any strategy. Futures

Welcome to Trading VIX Futures - Interactive Brokers · 2007. 1. 30. · Trading VIX ® Futures January 23 ... with a broker and tax advisor before entering into any strategy. Futures

Some remarks on VIX futures and ETPsajacquie/Gatheral60/Slides/Gatheral60... · A stylized description of the VIX futures cycle • Markets are ``quiet [ [, volatility is low , VIX

Some remarks on VIX futures and ETPsajacquie/Gatheral60/Slides/Gatheral60... · A stylized description of the VIX futures cycle • Markets are ``quiet [ [, volatility is low , VIX

Portfolio Risk Management with VIX Futures and Options · to long VIX futures or long VIX call options. Similarly to the 60/40 portfolio, a 1% allocation to 25% OTM VIX calls provides

Portfolio Risk Management with VIX Futures and Options · to long VIX futures or long VIX call options. Similarly to the 60/40 portfolio, a 1% allocation to 25% OTM VIX calls provides

VIX and VIX ETNs - tradinggods.nettradinggods.net/wp-content/uploads/2016/01/TGnetVIXETFeBook.pdf · VIX Futures are traded on the CBOE Futures exchange like any other futures product.

VIX and VIX ETNs - tradinggods.nettradinggods.net/wp-content/uploads/2016/01/TGnetVIXETFeBook.pdf · VIX Futures are traded on the CBOE Futures exchange like any other futures product.

FACT SHEET VIXM PROSHARES VIX MID-TERM FUTURES ETF · ProShares VIX Mid-Term Futures ETF provides long exposure to the S&P 500 VIX Mid-Term Futures Index, which measures the returns

FACT SHEET VIXM PROSHARES VIX MID-TERM FUTURES ETF · ProShares VIX Mid-Term Futures ETF provides long exposure to the S&P 500 VIX Mid-Term Futures Index, which measures the returns

Improving the S&P Dynamic VIX-Futures Strategy: The Mojito 2.0 Strategygodotfinance.com/pdf/DynamicVIXFuturesVersion2Rev1.pdf · 2016. 3. 23. · Dynamic VIX futures strategy (see

Improving the S&P Dynamic VIX-Futures Strategy: The Mojito 2.0 Strategygodotfinance.com/pdf/DynamicVIXFuturesVersion2Rev1.pdf · 2016. 3. 23. · Dynamic VIX futures strategy (see

Statistics of VIX Futures and Applications to Trading ...

Statistics of VIX Futures and Applications to Trading ...

FACT SHEET VIXM PROSHARES VIX MID-TERM FUTURES ETF · VIX futures indexes have historically reflected significant costs associated with rolling VIX futures contracts on a daily basis,

FACT SHEET VIXM PROSHARES VIX MID-TERM FUTURES ETF · VIX futures indexes have historically reflected significant costs associated with rolling VIX futures contracts on a daily basis,

Understanding ETNs on VIX Futures

Understanding ETNs on VIX Futures

The VIX Futures Basis: Evidence and Trading … ANNUAL MEETINGS/2013-Reading...The VIX Futures Basis: Evidence and Trading Strategies ... The VIX Futures Basis: Evidence and Trading

The VIX Futures Basis: Evidence and Trading … ANNUAL MEETINGS/2013-Reading...The VIX Futures Basis: Evidence and Trading Strategies ... The VIX Futures Basis: Evidence and Trading