The VIX:VXV Ratio
The VXV is the VIX’s longer-term brother; it measures implied volatility 3 months out instead of 30 days out. The ratio between the VIX and the VXV captures the differential between short-term and medium-term implied volatility. Naturally, the ratio spends most…
Hedging VIX ETP Strategies Using SPY
Introduction A quick intro to VIX ETPs (some are ETFs, others are ETNs)1 before we get to the meat: the VIX itself is not tradable, only futures on the VIX are. These futures do not behave like equity index futures which…
Equity Returns Following Extreme VIX and WVF Movements, Part 1
Can extreme changes in implied volatility help predict future returns? And can we use a VIX surrogate as a substitute? First, let’s take a look at the WVF and its relationship to the VIX. The Williams’ VIX Fix (WVF) is…
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