Sentences with phrase «volatility futures»

Do implied volatility futures for different indexes represent a reliable pair trading opportunity?
Most worrying of all are the ETFs which sell volatility futures: implicitly leveraged and roughly five times more volatile than the stock market.
ETFs that are short volatility futures are up around 75 % for the first six months of 2017 and about 220 % for the trailing year — an astonishing amount.
Using daily data for the specified indexes and implied volatility futures contracts, they find that: Keep Reading
The VelocityShares Daily Inverse VIX Short - Term ETNs was an inverse bet on volatility, in this case, a basket of volatility futures.
If I were structuring volatility futures contracts, I would create a genuine deliverable, where one could take delivery of a three month at - the - money straddle.
In their November 2013 paper entitled «Investment Strategies with VIX and VSTOXX Futures», Silvia Stanescu and Radu Tunaru update the case for hedging conventional stock and stock - bond portfolios with near - term implied volatility futures for the S&P 500 Index (VIX) and the Euro STOXX 50 Index (VSTOXX).
Are implied volatility futures good diversifiers of underlying indexes?
For this analysis, they use data for the U.S. and European stock market indexes, associated implied volatility futures and U.S. and European aggregate bond indexes from March 2004 for U.S. assets (VIX futures inception) and from May 2009 for European assets (VSTOXX futures inception), both through February 2012.
But they can pop up in any derivatives market and during this week's turmoil, volatility futures have, unusually and perhaps alarmingly, slipped from contango into backwardation.
These features are incorporated into the Barra Integrated Model, which spans global stocks, bonds, commodities, currencies, volatility futures, hedge funds and private equity.
I'm not talking about rocket - science strategies that involve mixing and matching every arcane asset class you can lay your hands on — rare earth ETFs, volatility futures, wind energy stocks, etc..
Before investing in a commodity or volatility futures - linked ETP — or any ETP — investors should carefully read the prospectus and consider the product's objectives, risks, charges, and expenses.
Commodity and volatility futures - linked exchange - traded products (ETPs) are investments that are traded on an exchange, similar to individual stocks.
Commodity and volatility futures - linked ETPs may be subject to greater volatility than securities ETPs and may not be appropriate for all investors.
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