Sökning: "VIX Futures"

Hittade 4 uppsatser innehållade orden VIX Futures.

  1. 1. Trading Volatility : Trading strategies based on the VIX term structure.

    Kandidat-uppsats, Umeå universitet/Företagsekonomi

    Författare :Oskar Fransson; Henrik Mark Almqvist; [2020]
    Nyckelord :Volatility; VIX futures; VIX ETP; VIX ETF; VIX ETN; VIX index; VIX term structure; VIX trading; Volatility trading; Contango; Backwardation; Roll yield; Options; Futures;

    Sammanfattning : 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. LÄS MER

  3. 2. Information Spillover from VIX Options to VIX Futures: the Information Content of Put-Call Ratio and Implied Volatility Skew

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Giorgio Magagnotti; [2016]
    Nyckelord :VIX futures; VIX options; put-call ratio; implied volatility skew;

    Sammanfattning : 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. LÄS MER

  4. 3. Reducing Portfolio Risk Using Volatility - A risk-return examination of the addition of VIX and VIX futures contracts to an equity portfolio

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Patrik Alenfalk; Carl Nilsson; [2013-07-05]
    Nyckelord :Volatility; Modern Portfolio Theory; Risk Reduction; Portfolio Management;

    Sammanfattning : 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). LÄS MER

  5. 4. An Equal Risk Contribution Portfolio Approach Using VIX Futures

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Rickard Gunnvald; Andreas Lagerqvist; [2013]
    Nyckelord :Equal risk contribution; VIX Futures; Asset allocation;

    Sammanfattning : 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. LÄS MER