Berlinda Liu is Director, Global Research & Design, at S&P Dow Jones Indices. In this role, she is responsible for quantitative research & design covering volatility, commodity, and other derivative-based indices and strategies.
Berlinda joined Standard & Poor's in December 2007. Prior to S&P, she was an equity derivatives strategist at both Bear Stearns, London, and Credit Suisse, New York, where she joined as a business analyst.
Berlinda is a CFA charter holder. She holds a bachelor’s degree in international business management from Wuhan University of China, a master’s degree in information system management from Carnegie Mellon University, in addition to her master’s in computational finance from Carnegie Mellon.For decades, sophisticated institutional investors have been using combinations of options to achieve desired investment outcomes or specific payoff structures. With innovations in indexing, it is now possible to gain passive exposure to those predefined outcome goals. Before we begin to explore how those index strategies are constructed and how such access may be possible, Read more […]
In my previous blog, we compared a daily inverse index to a “true short” and discussed the increasing vega exposure in the S&P 500® VIX® Short Term Futures Inverse Daily Index over the past couple of years. In this blog, we analyze how the mechanics of a VIX futures index, a low volatility environment, and Read more […]
After a strong January 2018, the U.S. equity market started February with a roller coaster ride. The CBOE Volatility Index® (VIX®), which has been relatively quiet over the past couple years, spiked up and crossed the 50 mark intraday on Feb. 5, 2018. On the same day, the S&P 500® VIX Short Term Futures Inverse Read more […]
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 Read more […]
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 Read more […]
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 Read more […]
With the French election ending in the defeat of Le Pen, one more risk factor has been removed from the table and low volatility has returned. In Q2, the CBOE Volatility Index (VIX®) fell below 10 seven times, and the closing level of 9.75 on June 2, 2017, was the lowest since 1993. Do these Read more […]
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 Read more […]
Buy-write strategies, also known as covered calls, are a staple offering for income-seeking market participants who sell, or “write,” call options against shares of assets they already own in order to generate income from the option premium. However, the option seller forfeits the upside potential of the asset and is obligated to sell the asset Read more […]
No other recent presidential elections have been as divided as this year’s. As the objectivity and credibility regarding poll numbers and media coverage of the candidates are being questioned, the U.S. economy and the capital market are facing an unusual level of political risk. Market participants may seek various tools to hedge the downside risk, Read more […]