Tag Archives: VIX spot
Buying High and Selling Low: The Counterintuitiveness of VIX® Trading
With 2017 in the rear view mirror, we can look back and observe that short VIX strategies rank as one of the most profitable strategies of the year. The S&P 500® VIX Short-Term Futures Inverse Daily Index returned 186.39%, and selling VIX futures has become a popular income-generating strategy. 2017 was also a year marked…
- Categories S&P 500 & DJIA, Strategy
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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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- Factors, Fixed Income
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April: A Testing Month for VIX Traders
Shorting VIX® was among the top strategies in the past year. XIV and SVXY both went up over 50% in Q1 2017 (~15% in March alone), almost doubled in the past six months, and returned ~180% over the past 12 months (see Exhibit 1). However, the declining VIX spot level can only explain part of…
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