Ex ante estimates of the volatility premium embedded in VIX futures, known as the VIX
premium, fall or stay flat when ex ante measures of risk rise. This is not an artifact of …

We utilize the respective information share and common factor component weight
approaches of Hasbrouck (1995) and Gonzalo and Granger (1995) to examine price …

Popular guide to options pricing and position sizing for quant traders In this second edition
of this bestselling book, Sinclair offers a quantitative model for measuring volatility in order to …

This paper investigates the most traded VIX exchange traded products (ETPs) with focus on
their performance, price discovery, hedging ability, and trading strategy. The VIX ETPs track …

Purpose The authors analyse six actively traded VIX Exchange Traded Products (ETPs)
including 1x long,− 1x inverse and 2x leveraged products. The authors assess their impact …

The rapid growth of exchange-traded products (ETPs) has raised concerns about their
implications for financial stability. A case in point is the abrupt market crash of short volatility …

We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

The purpose of dynamic asset allocation (DAA) is to overcome the challenge that changing
market conditions present to traditional strategic asset allocation by adjusting portfolio …

We investigate the dynamic changes in trader positions of market participants in the VIX
futures markets. We find that in a low-VIX period, below the 23.81 threshold determined by …

Portfolio managers have long sought the ability to increase diversification and hedge market
downturns without sacrificing upside returns. Using volatility as a diversifying asset is an …