Sökning: "vix etn"

Hittade 1 uppsats innehållade orden vix etn.

  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