This document concerns the volatility trading as regards investors who seek excess returns by shorting derivatives products in periods of stability. Firstly, we introduce the notion of historical and implied volatility. Secondly, we discuss the use of the S&P 500-based CBOE VIX index, the leading benchmark index to measure the market’s expectation of future volatility. CBOE VIX is also known as the "fear gauge index", because it tends to rise in bearish stock market environments and to fall or remain steady during bullish ones. Next, we discuss the most popular trading strategies based on options, variance swaps and futures. Empirical studies complement the conceptual debate.
A guide on strategies for volatility trading: a conceptual overview
Tibiletti Luisa
;Giorgini Massimo
2022-01-01
Abstract
This document concerns the volatility trading as regards investors who seek excess returns by shorting derivatives products in periods of stability. Firstly, we introduce the notion of historical and implied volatility. Secondly, we discuss the use of the S&P 500-based CBOE VIX index, the leading benchmark index to measure the market’s expectation of future volatility. CBOE VIX is also known as the "fear gauge index", because it tends to rise in bearish stock market environments and to fall or remain steady during bullish ones. Next, we discuss the most popular trading strategies based on options, variance swaps and futures. Empirical studies complement the conceptual debate.
| File | Dimensione | Formato | |
|---|---|---|---|
|
Volatility Trading- Final submitted-Estratto.pdf
Accesso riservato
Tipo di file:
PREPRINT (PRIMA BOZZA)
Dimensione
58.55 kB
Formato
Adobe PDF
|
58.55 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
