Tag Archives: VIX short-term futures
Decomposing Recent Volatility Events Part 2
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…
- Categories S&P 500 & DJIA, Strategy
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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…
- Categories Strategy
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