Access to Volatility Via Listed Futures

14 Pages Posted: 14 Oct 2010

Date Written: October 12, 2010

Abstract

Volatility has emerged has an important asset class in the last decade. Often referred to as "the investor fear gauge," it can be a potentially useful diversification tool in a broad equity portfolio, especially under down markets. However, it is not possible to trade the spot VIX directly. With the launch of S&O 500 VIX Futures Index Series in January 2009, a variety of popular exchange traded products linked to these indices offer broad market access to volatility trading. In this paper, we elaborate on the portfolio hedge and distributional properties of VIX futures based indices versus those of spot VIX.

Keywords: S&P 500, VIX, S&P 500 options, S&P 500 VIX futures

Suggested Citation

Dash, Srikant and Liu, Berlinda, Access to Volatility Via Listed Futures (October 12, 2010). Available at SSRN: https://ssrn.com/abstract=1691216 or http://dx.doi.org/10.2139/ssrn.1691216

Srikant Dash (Contact Author)

Standard & Poor's ( email )

London EC2M 7NJ
United Kingdom

Berlinda Liu

Standard & Poor's ( email )

London EC2M 7NJ
United Kingdom

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