Article2007

VIX Futures and Options

51 citations0/0 files storedThe Journal of Trading

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

The CBOE Volatility Index? (VIX?), the popular gauge of S&P 500? implied volatility, can now be traded through exchange-listed futures and options. In this article, we demonstrate the use of VIX as a portfolio hedge, show how portfolio efficiency may be improved by a small exposure to VIX, and discuss implementation of such strategies through VIX futures and options. Specifically, we explore the pricing of VIX contracts and explain how they reflect the forward value of VIX rather than the current value. We test the behavior of the new contracts at periods of market volatility to see if the desirable qualities of VIX carry over when using VIX-linked futures and options. TOPICS:Futures and forward contracts, options, portfolio construction

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 51 citations exist upstream.

References

2000The Investor Fear Gauge 1993Derivatives on Market Volatility 2006VIX futures 2006Improving Hedge Fund Risk Exposures by Hedging Equity Market Volatility, or How the VIX Ate My Kurtosis

Cited by

2010Consistent modeling of S&P 500 and VIX derivatives 2014Are the KOSPI 200 implied volatilities useful in value-at-risk models?2021Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.