We’re rewarding the question askers & reputations are being recalculated! Read more.

Hot answers tagged

9

First lets understand what convexity means: Convexity - convexity refers to non-linearities in a financial model. In other words, if the price of an underlying variable changes, the price of an output does not change linearly, but depends on the second derivative (or, loosely speaking, higher-order terms) of the modeling function. Geometrically, ...


5

For the sake of readers not familiar with these instruments, let's first consider some elementary background information. The CBOE VIX index is a spot index which is not tradeable. Gaining exposure to the spot VIX is only achievable by trading the CBOE VIX futures contracts (or products based on these futures such as the XIV). The XIV ETN is an exchange ...


4

Read Examining VIX ETF Performance During A Sell-Off. The VIX is an index and can't be traded directly. Similar to the fact that you can't really buy the S&P index, you either try to replicate it yourself, or buy an ETF. The VIX ETFs, per this article, don't correlate 100% to the VIX itself. Not to be snarky, but specific to your question "how this ...


3

There is no good proxy for VIX, because it is a completely made-up value. Most listed options trade on an underlying security. I can therefore choose to buy either the stock, or a future or option on that stock. In this way, the future and option are derivatives in that they derive their value (in part) based on something else, in this case the stock ...


2

I'd look at VXX, I believe it closely tracks what you are looking to do. http://www.ipathetn.com/product/VXX/ However, as already noted in other responses, this isn't trading VIX itself (in fact it is impossible to do so). Instead, this ETF gives exposure to short-term SP500 futures contracts, which in theory should be very correlated to market volatility....


2

S&P/TSX 60 VIX (CAD) is an equation and as the implied volatility of two close to the money TSX 60 options change, the output changes. This is why the intra-day price fluctuates on a graph like a traded product. Although VIXC can't be traded, it can still be used as an important signal for traders. The excerpt is from slide 12, more information can be ...


2

On Monday, the 27th of June 2011, the XIV ETF underwent a 10:1 share split. The Yahoo Finance data correctly shows the historic price data adjusted for this split. The Google Finance data does not make the adjustment to the historical data, so it looks like the prices on Google Finance prior to 27 June 2011 are being quoted at 10 times what they should be. ...


2

To understand the VXX ETF, you need to understand VIX futures, to understand VIX futures you need to understand VIX, to understand VIX you need to understand options pricing formulas such as the "Black Scholes" formula Those are your prerequisites. Learn at your own pace. Short Answer: When you buy VXX you are buying the underlying are front month VIX ...


1

The volume in the legs involved in this combo will stand out like a sore thumb when you look at the option chain. Even if the spreads were put on piecemeal on different days, the magnitude of the position would stand out in the Open Interest. If trades of 260k, 260k and 520k contracts showed up at the same time on Time and Sales then it would have to be ...


1

I don't know what transpired on the show "Billions" so I can't address their position or how they managed it. If you correctly described Axe's statement, it would be incorrect. XIV is exchange-traded note (ETN) that is designed to provide inverse performance of the VIX. So you several choices to avoid further losses during a drop: You can close your ...


1

You can trade VXX, but VIX is only an index. http://www.marketwatch.com/investing/stock/VXX?CountryCode=US


1

Hedging long delta and long vega? Why not sell (or more precisely 'write') calls in the security in question? e.g. AAPL Mar'29 165 Calls have a delta of 52% and an IV of 30%. If the stock goes down or the IV drops, simply buy them back. Usually you can treat the various option "greeks" algebraically by offsetting the values of one instrument with those of ...


1

The VIX is just a weighted sum of options prices (see white paper). The weights are set so that the index represents something called model-free implied volatility. You can trade future levels of the VIX using VIX futures, or you do this indirectly by buying or selling ETFs which hold VIX futures. You should use it as you would use any other financial or ...


Only top voted, non community-wiki answers of a minimum length are eligible