Tag Archives: VIX Futures
S&P MAESTRO 5 Index: A Sophisticated Composition Designed to Simplify Risk Management
Get to know the S&P MAESTRO 5 Index, a diversified, multi-asset, multi-factor risk parity strategy designed to help investors hit the right notes across a range of market conditions.
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commodities, diversification, dividends, Downside Protection, ETFs, gold, indexing, inflation protection, insurance, low volatility, momentum factor, multi-asset, Multi-Factor, quality factor, rising rate protection, risk management, risk parity, S&P 500 Factors, S&P MAESTRO 5 Index, U.S. Treasuries
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- commodities, diversification, dividends, Downside Protection, ETFs, gold, indexing, inflation protection, insurance, low volatility, momentum factor, multi-asset, Multi-Factor, quality factor, rising rate protection, risk management, risk parity, S&P 500 Factors, S&P MAESTRO 5 Index, U.S. Treasuries
VIX Back to Normal? Not Really
The U.S. equities market had a wild start in 2020. Following the March 2020 sell-off, the S&P 500® posted its largest monthly gain (12.8%) since 1987. Meanwhile, VIX® went from its long-term median to an all-time high within a month before it settled around 30. One thing that has been debated lately is whether VIX,…
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The VIX Futures Curve Is in Backwardation
Backwardation is incredibly uncommon in the VIX® futures curve. While the reason behind this term structure is not perfectly understood, the conclusion is clear: long and hold does not work for VIX futures, as the roll cost burns. There are different ways to measure VIX futures backwardation: by using the relationship between the VIX level…
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Selling Equity Options or VIX® Futures: Two Different Ways to Short Volatility
2017 was a great year for shorting VIX futures strategies. The S&P 500® VIX Short-Term Futures Inverse Daily Index returned 186.39%. Selling volatility does not rely on interest rates or dividends. Historically, investors have been selling options to generate income. Compared to selling equity options, selling VIX futures is an operationally simple strategy that can…
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Tail Hedging a High Yield Bond Portfolio With VIX® Futures
In one of my previous blog posts, we demonstrated that high yield bonds exhibited a strong negative correlation with VIX and an even stronger one with VIX futures, which comes mostly from down markets. This prompted us to think that VIX futures may hold tail-risk hedging opportunities for high yield bond portfolios. In this blog,…
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Impact of Term Structure on VIX® Futures Correlation with Bond Sectors
Recently my colleague wrote about the correlation between VIX (spot and futures) and two credit sectors (high-yield and emerging market bonds). The blog shows that VIX futures exhibit stronger negative correlation than VIX spot and that this stronger negative correlation of bonds to VIX futures than to VIX spot comes mostly from down markets. In…
- Categories Factors, Fixed Income
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Regime Change? Not according to the VIX term structure…
Since the U.S. election, a degree of optimism over potential business-friendly legislation – ranging from tax reform to infrastructure spending – has played a significant part in sending benchmarks such as the S&P 500 to new all-time highs. Whether this optimism will be justified by actual legislation, of course, is a different issue. At a minimum, recent…
- Categories Equities, S&P 500 & DJIA, Strategy
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- Equities, S&P 500 & DJIA, Strategy
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The VIX Takes a Hairpin Turn
I have a neighbor who is cooler than me. He is braver than me. He also has more expansive and expensive medical and auto insurance than I do. How do I know all this? Well, he races street motorcycles. The other day I asked him what was the fastest he had ever gone. His answer:…
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