A Guide on Strategies for Volatility Trading: A Conceptual Overview

Tibiletti, Luisa and Mongiovi, Gian Marco and Giorgini, Massimo (2022) A Guide on Strategies for Volatility Trading: A Conceptual Overview. In: Novel Research Aspects in Mathematical and Computer Science Vol. 6. B P International, pp. 27-56. ISBN 978-93-5547-602-9

Full text not available from this repository.

Official URL: https://doi.org/10.9734/bpi/nramcs/v6/2951B

Abstract

This document addresses volatility trading for investors seeking excess returns by shorting derivatives during periods of stability. Firstly, we introduce the notion of historical and implied volatility. Secondly, we discuss the use of the S&P 500-based CBOE VIX index, the leading benchmark index to measure the market’s expectation of future volatility. CBOE VIX is also known as the "fear gauge index", because it tends to rise in bearish stock market environments and to fall or remain steady during bullish ones. Next, we discuss the most popular trading strategies based on options, variance swaps and futures. Empirical studies complement the conceptual debate.

Item Type:	Book Section
Subjects:	Asian STM > Mathematical Science
Depositing User:	Managing Editor
Date Deposited:	10 Oct 2023 05:40
Last Modified:	10 Oct 2023 05:40
URI:	http://journal.send2sub.com/id/eprint/2208

Actions (login required)

: View Item

['Plugin/Screen/EPrint/Box/Plumx:title' not defined]