RCM Alternatives has a great piece (HT Tadas) outlining what the VIX is, the market for VIX related products, and how to think about volatility as an asset class. It also happens to contain my new favorite quote for anyone thinking about trading volatility:
Still, if you cannot see the VIX futures curve in your head, burning $100 bills is probably more profitable than trading them.I'll piggyback on the RCM piece given the interest in volatility trading strategies (due to the remarkable run of some of the short VIX ETPs) and link to old posts that I've previously done on the subject that I thought might be helpful.
What Exactly Does the VIX Tell Us?
How a Low VIX Can Remain an Expensive Hedge
A Framework for a Short VIX Allocation
Breaking Down Volatility of the VIX
Using the VIX Futures Term Structure to Reduce Equity Exposure
The Case for a Steady Volatility-State Managed Portfolio
No comments:
Post a Comment