Dondoni, Alberto
[VerfasserIn]
;
Montagna, Dennis Marco
[Sonstige Person, Familie und Körperschaft];
Maggi, Mario
[Sonstige Person, Familie und Körperschaft]
VIX Index Strategies
: Shorting Volatility As a Portfolio Enhancing Strategy
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 18, 2018 erstellt
Beschreibung:
In this paper we perform an empirical analysis on the VIX Index and we develop a series of portfolio strategies on implied volatility by using VIX Futures. First, we give a brief introduction to the VIX Index and what it represents. Then we focus on the VIX Futures, with an analysis of the VIX Futures curve and its relationship with the VIX Index. The last part will be dedicated to the presentation of the results of different portfolio strategies, extending a long /short position on VIX Futures