Trading VIX Derivatives - Trading Hedging Strategies Using VIX Futures, Options, Exchange

Informationen zum Autor RUSSELL RHOADS, CFA, is an instructor for the Options Institute at the Chicago Board Options Exchange. He teaches about ninety classes a year and conducts webinars on behalf of the CBOE and a variety of brokerage firms. Rhoads's twenty-year trading career has included positions at a variety of trading firms and hedge funds. His background includes trading and analysis, and he is the author of the Wiley titles Candlestick Charting For Dummies and Option Spread Trading . Rhoads graduated from the University of Memphis with an MS in finance and has a master's certificate in financial engineering from the Illinois Institute of Technology. Klappentext TRADING VIX DERIVATIVES While the Chicago Board Options Exchange (CBOE) Volatility Index, widely know by its ticker symbol VIX, is often referred to as the "fear index," it is much more than an index of fear in the stock market. Nobody understands this better than author Russell Rhoads, a top instructor at the CBOE's Options Institute. Now, in Trading VIX Derivatives, he skillfully explores the ins and outs of this popular market indicator, or index, that is based on implied volatility. Engaging and informative, this reliable resource provides you with a solid understanding of implied volatility, the VIX index, methods of using the VIX for market analysis, and ways to directly trade volatility. Page by page, you'll become familiar with a number of volatility-related indexes and products currently available?from the S&P 500 Implied Correlation Index (VTY) and CBOE Crude Oil Volatility Index to VIX futures, options, and exchange-traded notes. There are unique features to many of the derivative contracts that are based on implied volatility, and they are touched on throughout the book. Along the way, Rhoads takes the time to highlight the various uses of volatility-related indexes and products. Methods to speculate on the direction of the overall market, or just volatility, are skillfully addressed as well as how to apply volatility derivatives to hedge traditional portfolios. Rhoads rounds out his detailed discussion of trading VIX derivatives by offering you valuable insights on everything from calendar spreads with VIX options and futures to iron condors and butterflies with VIX options. Volatility as an asset class and trading tool continues to be a rapidly growing area in the markets. With this book as your guide, you'll quickly discover a wide range of uses associated with the VIX and learn how to implement profitable new forecasting and trading techniques into your everyday investing endeavors with it. Zusammenfassung A guide to using the VIX to forecast and trade marketsKnown 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 profess...

List of contents

Preface xiii
 
Acknowledgments xv
 
CHAPTER 1 Understanding Implied Volatility 1
 
Historical versus Forward-Looking Volatility 1
 
Put-Call Parity 4
 
Estimating Price Movement 6
 
Valuing Options: Pricing Calculators and Other Tools 6
 
Fluctuations Based on Supply and Demand 9
 
The Impact on Option Prices 13
 
Implied Volatility and the VIX 14
 
CHAPTER 2 About the VIX Index 15
 
History of the VIX 15
 
Calculating the VIX 17
 
The VIX and Put-Call Parity 18
 
The VIX and Market Movement 22
 
Equity Market Volatility Indexes 24
 
CHAPTER 3 VIX Futures 31
 
Steady Growth of New Products 31
 
Contract Specifications 33
 
Mini-VIX Futures 42
 
Pricing Relationship between VIX Futures and the Index 42
 
Futures' Relationship to Each Other 46
 
VIX Futures Data 47
 
CHAPTER 4 VIX Options 49
 
Contract Specifications 51
 
Relationship to VIX Index 56
 
Relationship to VIX Futures 57
 
VIX Binary Options 58
 
CHAPTER 5 Weekly Options on CBOE Volatility Index Futures 61
 
Contract Specifications 62
 
Weekly Options and Index Options 63
 
Weekly Option Strategy 65
 
CHAPTER 6 Volatility-Related Exchange-Traded Notes 69
 
What are Exchange-Traded Notes? 69
 
iPath S&P 500 VIX Short-Term Futures ETN 70
 
iPath S&P 500 VIX Mid-Term Futures ETN 73
 
Comparing the VXX and VXZ Performance 76
 
Barclays ETN+ Inverse S&P 500 VIX Short-Term
 
Futures ETN 80
 
Barclays ETN+ S&P VEQTOR ETN 82
 
S&P 500 VIX Futures Source ETF 82
 
CHAPTER 7 Alternate Equity Volatility and Strategy Indexes 83
 
CBOE S&P 500 3-Month Volatility Index (VXV) 83
 
VIX Premium Strategy Index (VPD) 88
 
Capped VIX Premium Strategy Index (VPN) 90
 
S&P 500 VARB-X Strategy Benchmark 93
 
S&P 500 Implied Correlation Index 95
 
CHAPTER 8 Volatility Indexes on Alternative Assets 99
 
CBOE Gold Volatility Index 100
 
CBOE Crude Oil Volatility Index 102
 
CBOE EuroCurrency Volatility Index 104
 
CBOE/NYMEX Crude Oil (WTI) Volatility Index 107
 
CBOE/COMEX Gold Volatility Index 107
 
CBOE/CBOT Grain Volatility Indexes 109
 
FX Realized Volatility Indexes 109
 
CHAPTER 9 The VIX as a Stock Market Indicator 113
 
The Inverse Relationship between the VIX and the S&P 500 114
 
VIX Index as an Indicator 115
 
VIX Futures as an Indicator 118
 
A Modified VIX Futures Contract 121
 
Combining VIX Futures and the VIX Index 122
 
VIX Index and Gold Price Indicator 124
 
VIX Option Put-Call Ratio 127
 
CHAPTER 10 Hedging with VIX Derivatives 133
 
Hedging with VIX Options 133
 
Hedging with VIX Futures 143
 
University of Massachusetts Study 147
 
CHAPTER 11 Speculating with VIX Derivatives 149
 
VIX Futures Trading 150
 
VIX Option Trading 153
 
VIX ETN Trading 161
 
Comparing VIX Trading Instruments 166
 
CHAPTER 12 Calendar Spreads with VIX Futures 169
 
Comparing VIX Futures Prices 170
 
The Mechanics of a Calendar Spread 175
 
Patterns in the Data 178
 
Trade Management 189
 
Other Parameters 193
 
CHAPTER 13 Calendar Spreads with VIX Options 195
 
VIX Option Pricing 195
 
Calendar Spread with Put Options 196
 
Calendar Spread with Call Options 205
 
Diagonal Spread with Put Options 209
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"For those wanting to take the next step in learning or portfolio modeling, Trading VIX Derivatives will be a logical step in progression. For investors considering trading the VIX in any of many products available I recommend getting a copy of Trading VIX Derivatives with the great return on investment this book offers." ( SeekingAlpha , April 2012)

Product details

• Authors: Rhoads, R Rhoads, Russell Rhoads, Rhoads Russell
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Hardback
• Released: 30.09.2011
• EAN: 9780470933084
• ISBN: 978-0-470-93308-4
• No. of pages: 288
• Series: Wiley Trading Series; Wiley Trading; Wiley Trading; Wiley Trading Series
• Subjects: Social sciences, law, business > Business > Business administration; trading, Börsenhandel, Finance & Investments, Finanz- u. Anlagewesen