Browsing: VIX

Posts Tagged ‘ VIX ’

A Proposed Model for VIX Derivatives Pricing

Feb 14th, 2019 | Filed under: Newly Added, Derivatives, The A.I. Industry, Commodities, Structured Products

The VIX may be about to get some competition. VIX is the “fear gauge,” the very visible measure of expected price fluctuations in the S&P 500 index options. On the foundation of its popularity, CBOE has built a monopoly on exchange-traded volatility products. VIX derivatives have become among the mostRead More


The Unrecognized Risks of Short Vol Strategies

Feb 25th, 2018 | Filed under: Newly Added, Financial Economics Theory, Risk Metrics and Measurement, Risk Management & Operations, Finance & Economics

Vineer Bhansali and Lawrence Harris have written a scholarly paper on what they call the “extraordinary growth of short volatility strategies” since late 2010. A lot of people and institutions seem to have come to the conclusion that spiking volatility is just that. A “spike” on a chart is definitionallyRead More


S&P on Reading VIX

Feb 6th, 2018 | Filed under: Newly Added, Financial Economics Theory, Finance & Economics

S&P Dow Jones Indices has put out a paper offering market participants without patience for “academic rigor” an accessible guide to the so-called “Fear Index,” the VIX, calculated from the prices of a specific basket of S&P options. The contributors to the paper are: Tim Edwards, S&P Global senior director,Read More


Study Says The Gold Bugs are Right

Aug 23rd, 2015 | Filed under: Currencies, Hard metals, Risk management, Forex, Gold

Gold seems, to a larger extent than silver, and even more so to an extent larger than is true for palladium or platinum, to work as a true financial asset: decoupled from price developments in the commodity markets. It succeeds as a hedge against currency and stock-market trouble.Read More


Understanding VIX Part 2: Understanding VIX Futures and Exchange Traded Products

Aug 19th, 2012 | Filed under: Alpha Strategies

Keith Black, PhD, CFA, CAIA, discusses trading volatility in Part II of this two-part series.Read More


Understanding VIX Part 1: An Empirical Description of the CBOE Volatility Index

Aug 16th, 2012 | Filed under:

Keith H. Black, PhD, CFA, CAIA, takes the fear out of understanding the "Fear gauge." Part I of a two-part series.Read More


Who said hedge funds don’t like chaos?

Feb 18th, 2010 | Filed under: Performance, Analytics & Metrics

A report from Moody's shows that hedge funds seem to hate volatility. But is this always true?Read More