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TRADING VIX DERIVATIVES
While the Chicago Board Options Exchange (CBOE) Volatility Index, widely know by its ticker symbol VIX, is often referred to as the "fear index," it is much more than an index of fear in the stock market. Nobody understands this better than author Russell Rhoads, a top instructor at the CBOE's Options Institute. Now, in Trading VIX Derivatives, he skillfully explores the ins and outs of this popular market indicator, or index, that is based on implied volatility.
Engaging and informative, this reliable resource provides you with a solid understanding of implied volatility, the VIX index, methods of using the VIX for market analysis, and ways to directly trade volatility.
Page by page, you'll become familiar with a number of volatility-related indexes and products currently available?from the S&P 500 Implied Correlation Index (VTY) and CBOE Crude Oil Volatility Index to VIX futures, options, and exchange-traded notes. There are unique features to many of the derivative contracts that are based on implied volatility, and they are touched on throughout the book.
Along the way, Rhoads takes the time to highlight the various uses of volatility-related indexes and products. Methods to speculate on the direction of the overall market, or just volatility, are skillfully addressed as well as how to apply volatility derivatives to hedge traditional portfolios. Rhoads rounds out his detailed discussion of trading VIX derivatives by offering you valuable insights on everything from calendar spreads with VIX options and futures to iron condors and butterflies with VIX options.
Volatility as an asset class and trading tool continues to be a rapidly growing area in the markets. With this book as your guide, you'll quickly discover a wide range of uses associated with the VIX and learn how to implement profitable new forecasting and trading techniques into your everyday investing endeavors with it.
TRADING VIX DERIVATIVES
While the Chicago Board Options Exchange (CBOE) Volatility Index, widely know by its ticker symbol VIX, is often referred to as the "fear index," it is much more than an index of fear in the stock market. Nobody understands this better than author Russell Rhoads, a top instructor at the CBOE's Options Institute. Now, in Trading VIX Derivatives, he skillfully explores the ins and outs of this popular market indicator, or index, that is based on implied volatility.
Engaging and informative, this reliable resource provides you with a solid understanding of implied volatility, the VIX index, methods of using the VIX for market analysis, and ways to directly trade volatility.
Page by page, you'll become familiar with a number of volatility-related indexes and products currently available?from the S&P 500 Implied Correlation Index (VTY) and CBOE Crude Oil Volatility Index to VIX futures, options, and exchange-traded notes. There are unique features to many of the derivative contracts that are based on implied volatility, and they are touched on throughout the book.
Along the way, Rhoads takes the time to highlight the various uses of volatility-related indexes and products. Methods to speculate on the direction of the overall market, or just volatility, are skillfully addressed as well as how to apply volatility derivatives to hedge traditional portfolios. Rhoads rounds out his detailed discussion of trading VIX derivatives by offering you valuable insights on everything from calendar spreads with VIX options and futures to iron condors and butterflies with VIX options.
Volatility as an asset class and trading tool continues to be a rapidly growing area in the markets. With this book as your guide, you'll quickly discover a wide range of uses associated with the VIX and learn how to implement profitable new forecasting and trading techniques into your everyday investing endeavors with it.
RUSSELL RHOADS, CFA, is an instructor for the Options Institute at the Chicago Board Options Exchange. He teaches about ninety classes a year and conducts webinars on behalf of the CBOE and a variety of brokerage firms. Rhoads's twenty-year trading career has included positions at a variety of trading firms and hedge funds. His background includes trading and analysis, and he is the author of the Wiley titles Candlestick Charting For Dummies and Option Spread Trading. Rhoads graduated from the University of Memphis with an MS in finance and has a master's certificate in financial engineering from the Illinois Institute of Technology.
Preface xiii
Acknowledgments xv
Chapter 1 Understanding Implied Volatility 1
Historical versus Forward-Looking Volatility 1
Put-Call Parity 4
Estimating Price Movement 6
Valuing Options: Pricing Calculators and Other Tools 6
Fluctuations Based on Supply and Demand 9
The Impact on Option Prices 13
Implied Volatility and the VIX 14
Chapter 2 About the VIX Index 15
History of the VIX 15
Calculating the VIX 17
The VIX and Put-Call Parity 18
The VIX and Market Movement 22
Equity Market Volatility Indexes 24
Chapter 3 VIX Futures 31
Steady Growth of New Products 31
Contract Specifications 33
Mini-VIX Futures 42
Pricing Relationship between VIX Futures and the Index 42
Futures' Relationship to Each Other 46
VIX Futures Data 47
Chapter 4 VIX Options 49
Contract Specifications 51
Relationship to VIX Index 56
Relationship to VIX Futures 57
VIX Binary Options 58
Chapter 5 Weekly Options on CBOE Volatility Index Futures 61
Contract Specifications 62
Weekly Options and Index Options 63
Weekly Option Strategy 65
Chapter 6 Volatility-Related Exchange-Traded Notes 69
What are Exchange-Traded Notes? 69
iPath S&P 500 VIX Short-Term Futures ETN 70
iPath S&P 500 VIX Mid-Term Futures ETN 73
Comparing the VXX and VXZ Performance 76
Barclays ETN+ Inverse S&P 500 VIX Short-Term Futures ETN 80
Barclays ETN+ S&P VEQTOR ETN 82
S&P 500 VIX Futures Source ETF 82
Chapter 7 Alternate Equity Volatility and Strategy Indexes 83
CBOE S&P 500 3-Month Volatility Index (VXV) 83
VIX Premium Strategy Index (VPD) 88
Capped VIX Premium Strategy Index (VPN) 90
S&P 500 VARB-X Strategy Benchmark 93
S&P 500 Implied Correlation Index 95
Chapter 8 Volatility Indexes on Alternative Assets 99
CBOE Gold Volatility Index 100
CBOE Crude Oil Volatility Index 102
CBOE EuroCurrency Volatility Index 104
CBOE/NYMEX Crude Oil (WTI) Volatility Index 107
CBOE/COMEX Gold Volatility Index 107
CBOE/CBOT Grain Volatility Indexes 109
FX Realized Volatility Indexes 109
Chapter 9 The VIX as a Stock Market Indicator 113
The Inverse Relationship between the VIX and the S&P 500 114
VIX Index as an Indicator 115
VIX Futures as an Indicator 118
A Modified VIX Futures Contract 121
Combining VIX Futures and the VIX Index 122
VIX Index and Gold Price Indicator 124
VIX Option Put-Call Ratio 127
Chapter 10 Hedging with VIX Derivatives 133
Hedging with VIX Options 133
Hedging with VIX Futures 143
University of Massachusetts Study 147
Chapter 11 Speculating with VIX Derivatives 149
VIX Futures Trading 150
VIX Option Trading 153
VIX ETN Trading 161
Comparing VIX Trading Instruments 166
Chapter 12 Calendar Spreads with VIX Futures 169
Comparing VIX Futures Prices 170
The Mechanics of a Calendar Spread 175
Patterns in the Data 178
Trade Management 189
Other Parameters 193
Chapter 13 Calendar Spreads with VIX Options 195
VIX Option Pricing 195
Calendar Spread with Put Options 196
Calendar Spread with Call Options 205
Diagonal Spread with Put Options 209
Diagonal Spread with Call Options 212
Chapter 14 Calendar Spreads with VIX Options and Futures 217
Comparing Options and Futures 217
Calendar Spread Examples 219
Chapter 15 Vertical Spreads with VIX Options 229
Vertical Spread Examples 229
Chapter 16 Iron Condors and Butterflies with VIX Options 251
What is an Iron Condor? 251
Iron Condor with VIX Options 255
What Is an Iron Butterfly? 257
Iron Butterfly with VIX Options 261
About the Author 265
Index 267
| Erscheinungsjahr: | 2011 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | 288 S. |
| ISBN-13: | 9780470933084 |
| ISBN-10: | 0470933089 |
| Sprache: | Englisch |
| Herstellernummer: | 14593308000 |
| Einband: | Gebunden |
| Autor: | Rhoads, Russell |
| Hersteller: |
Wiley
John Wiley & Sons |
| Maße: | 235 x 157 x 20 mm |
| Von/Mit: | Russell Rhoads |
| Erscheinungsdatum: | 09.08.2011 |
| Gewicht: | 0,576 kg |
RUSSELL RHOADS, CFA, is an instructor for the Options Institute at the Chicago Board Options Exchange. He teaches about ninety classes a year and conducts webinars on behalf of the CBOE and a variety of brokerage firms. Rhoads's twenty-year trading career has included positions at a variety of trading firms and hedge funds. His background includes trading and analysis, and he is the author of the Wiley titles Candlestick Charting For Dummies and Option Spread Trading. Rhoads graduated from the University of Memphis with an MS in finance and has a master's certificate in financial engineering from the Illinois Institute of Technology.
Preface xiii
Acknowledgments xv
Chapter 1 Understanding Implied Volatility 1
Historical versus Forward-Looking Volatility 1
Put-Call Parity 4
Estimating Price Movement 6
Valuing Options: Pricing Calculators and Other Tools 6
Fluctuations Based on Supply and Demand 9
The Impact on Option Prices 13
Implied Volatility and the VIX 14
Chapter 2 About the VIX Index 15
History of the VIX 15
Calculating the VIX 17
The VIX and Put-Call Parity 18
The VIX and Market Movement 22
Equity Market Volatility Indexes 24
Chapter 3 VIX Futures 31
Steady Growth of New Products 31
Contract Specifications 33
Mini-VIX Futures 42
Pricing Relationship between VIX Futures and the Index 42
Futures' Relationship to Each Other 46
VIX Futures Data 47
Chapter 4 VIX Options 49
Contract Specifications 51
Relationship to VIX Index 56
Relationship to VIX Futures 57
VIX Binary Options 58
Chapter 5 Weekly Options on CBOE Volatility Index Futures 61
Contract Specifications 62
Weekly Options and Index Options 63
Weekly Option Strategy 65
Chapter 6 Volatility-Related Exchange-Traded Notes 69
What are Exchange-Traded Notes? 69
iPath S&P 500 VIX Short-Term Futures ETN 70
iPath S&P 500 VIX Mid-Term Futures ETN 73
Comparing the VXX and VXZ Performance 76
Barclays ETN+ Inverse S&P 500 VIX Short-Term Futures ETN 80
Barclays ETN+ S&P VEQTOR ETN 82
S&P 500 VIX Futures Source ETF 82
Chapter 7 Alternate Equity Volatility and Strategy Indexes 83
CBOE S&P 500 3-Month Volatility Index (VXV) 83
VIX Premium Strategy Index (VPD) 88
Capped VIX Premium Strategy Index (VPN) 90
S&P 500 VARB-X Strategy Benchmark 93
S&P 500 Implied Correlation Index 95
Chapter 8 Volatility Indexes on Alternative Assets 99
CBOE Gold Volatility Index 100
CBOE Crude Oil Volatility Index 102
CBOE EuroCurrency Volatility Index 104
CBOE/NYMEX Crude Oil (WTI) Volatility Index 107
CBOE/COMEX Gold Volatility Index 107
CBOE/CBOT Grain Volatility Indexes 109
FX Realized Volatility Indexes 109
Chapter 9 The VIX as a Stock Market Indicator 113
The Inverse Relationship between the VIX and the S&P 500 114
VIX Index as an Indicator 115
VIX Futures as an Indicator 118
A Modified VIX Futures Contract 121
Combining VIX Futures and the VIX Index 122
VIX Index and Gold Price Indicator 124
VIX Option Put-Call Ratio 127
Chapter 10 Hedging with VIX Derivatives 133
Hedging with VIX Options 133
Hedging with VIX Futures 143
University of Massachusetts Study 147
Chapter 11 Speculating with VIX Derivatives 149
VIX Futures Trading 150
VIX Option Trading 153
VIX ETN Trading 161
Comparing VIX Trading Instruments 166
Chapter 12 Calendar Spreads with VIX Futures 169
Comparing VIX Futures Prices 170
The Mechanics of a Calendar Spread 175
Patterns in the Data 178
Trade Management 189
Other Parameters 193
Chapter 13 Calendar Spreads with VIX Options 195
VIX Option Pricing 195
Calendar Spread with Put Options 196
Calendar Spread with Call Options 205
Diagonal Spread with Put Options 209
Diagonal Spread with Call Options 212
Chapter 14 Calendar Spreads with VIX Options and Futures 217
Comparing Options and Futures 217
Calendar Spread Examples 219
Chapter 15 Vertical Spreads with VIX Options 229
Vertical Spread Examples 229
Chapter 16 Iron Condors and Butterflies with VIX Options 251
What is an Iron Condor? 251
Iron Condor with VIX Options 255
What Is an Iron Butterfly? 257
Iron Butterfly with VIX Options 261
About the Author 265
Index 267
| Erscheinungsjahr: | 2011 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | 288 S. |
| ISBN-13: | 9780470933084 |
| ISBN-10: | 0470933089 |
| Sprache: | Englisch |
| Herstellernummer: | 14593308000 |
| Einband: | Gebunden |
| Autor: | Rhoads, Russell |
| Hersteller: |
Wiley
John Wiley & Sons |
| Maße: | 235 x 157 x 20 mm |
| Von/Mit: | Russell Rhoads |
| Erscheinungsdatum: | 09.08.2011 |
| Gewicht: | 0,576 kg |
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