tag:blogger.com,1999:blog-11027528911364475.post8934884227883330754..comments2024-02-18T21:10:05.205-08:00Comments on EconomPic: The VIX as an Equity HedgeJakehttp://www.blogger.com/profile/07946497592651234440noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-11027528911364475.post-74547888240791307752012-04-10T09:18:52.560-07:002012-04-10T09:18:52.560-07:00Curiosity may just kill the catfish. I'll nee...Curiosity may just kill the catfish. I'll need to get my hands dirty with some data and get back to you. My go-to would normally be daily OLHC data for indices and individual securities (including ETNs/ETFs) from Worden Bros' Telechart software, massaged by spreadsheet. If you have a better data source and an analytical tool which assumes no residual programming skill, I'll be most grateful. Barring that, please be patient while awaiting my contribution. No guarantee any practical scheme will come of this, let alone anything PG-rated for a typical retail investor.John Fischerhttps://www.blogger.com/profile/10449844868098492351noreply@blogger.comtag:blogger.com,1999:blog-11027528911364475.post-33300514683334024192012-04-09T17:49:39.527-07:002012-04-09T17:49:39.527-07:00I dig it.
I think you'd want to scale the VI...I dig it. <br /><br />I think you'd want to scale the VIX to make the hedge equal from a risk parity perspective. any thoughts on how to scale? The VIX has historically been about 6-7x more volatile, but less in normal markets.<br /><br />Btw- there is an index that does just this... http://is.gd/LITwNp<br /><br />There is also an ETN (not vouching for it), symbol VQTJakehttps://www.blogger.com/profile/07946497592651234440noreply@blogger.comtag:blogger.com,1999:blog-11027528911364475.post-5979683507118031272012-04-09T10:00:13.679-07:002012-04-09T10:00:13.679-07:00Jake: thanks for indulging me. I suspect you now ...Jake: thanks for indulging me. I suspect you now have the raw data for what I think might be the most useful analysis--putting aside the backwardation issues which get in the way of effectively implementing a hedging strategy. Say you already have a long equity position, and you observe a level and a rate of change for VIX (could be a month, could be some oscillator, or whatever). For a given level and rate of change, how effective would some kind of long VIX position be at hedging equities? I think what this would look like in one of your tables is VIX level on one axis, VIX change on the other, and the values in the table would be something like the ratio of change in S&P to change in VIX--capturing the effectiveness of the hedge for each level and rate of change of VIX. The first table of your post http://econompicdata.blogspot.com/2012/01/s-500-vix-matrix.html almost provides this: I can divide the table entries by the x axis, but I'm afraid the approximation is too rough.John Fischerhttps://www.blogger.com/profile/10449844868098492351noreply@blogger.com