Posts Tagged ‘VIX


Tabla du Jour: un VIX de Lunes…

(Fuente: Yahoo Finance)


Invertir en Volatilidad

Schaeffers Research tiene un post donde analiza un trabajo de Morningstar donde compara dos portfolios uno con equity y cash y otro que tiene esos componentes más derivados del VIX. Para concluir con:

Well, that’s a downer. I think the point would be not to leverage, and accept the lower return/lower risk. Or, simply allocate less to volatility.

But truthfully, it’s more about the concepts here than actually replicating this portfolio. Remember — it’s all simulated to begin with. We only know how these actual volatility derivatives behaved in the last five years; the simulations have their own margins of error.

Basically, this all tells me that properly allocated and relatively frequently hedged VXZ provides a decent portfolio hedge over time.


Gráfico du Jour: VIX y su numerología…baja

(Fuente: Barrons*)


*: Esta fuente, tiene un buen debate sobre el VIX. Y Condor Options tambien tiene algo para decir al respecto.


Volatilidad a la VIX

A partir de hoy, la CBOE aplicara la metodología utilizada en el VIX a opciones de ciertas acciones (Apple, Amazon, IBM, Google, Goldman Sachs). Cortita y al pie, pero muy util.



Finanzas 101: VIX

No es el primer post que linkeamos explicando el VIX, pero creo tampoco sera el ultimo. En este caso, Credit Writedowns explica porque hay que estar checkeando el VIX de forma diaria.


So, as you can see, the VIX is much more valuable than the financial news ever explains. It’s not just a measure of volatility or fear. It is a moving prediction of the future. That’s why stock analysts get very afraid of a rising VIX. It’s a warning signal of things to come.



una buena pregunta sobre hedging

Condor Options –siguiendo con la serie de estrategias de hedging (orientada a un VIX Porfolio Hedging, principalmente Futuros de VIX y de Mini VIX)- plantea en su reciente post una excelente pregunta:

When evaluating any hedging strategy, therefore, it is essential to ask: how would the strategy perform in a crisis-free world?

En otras palabras, cuanto te cuesta la estrategia en los periodos donde -a pesar de que Roubini te dice que todo es Crash– todavia no paso nada.


Paper: Instrumentos de volatilidad como hedge

Using Volatility Instruments as Extreme Downside Hedges

“Long volatility” is thought to be an effective hedge against a long equity portfolio, especially during periods of extreme market volatility. This study examines using volatility futures and variance futures as extreme downside hedges, and compares their effectiveness against traditional “long volatility” hedging instruments such as out-of-the-money put options. Our results show that CBOE VIX and variance futures are more effective extreme downside hedges than out-of-the-money put options on the S&P 500 index, especially when reasonable actual and/or estimated costs of rolling contracts have taken into account. In particular, using 1-month rolling as well as 3-month rolling VIX futures presents a cost-effective choice as hedging instruments for extreme downside risk protection as well as for upside preservation.

Link al Paper


¿Manipular el VIX?

Adam Warner toma esta pregunta (referenciada principalmente a un posible objetivo del Gobierno Estadounidense) y la responde elegantemente en un post.

Want to know how you can “manipulate” the VIX?

You would have to do something radical like … buy some near-term puts on the S&P 500 (SPX). Yes, believe it or not, that’s basically all the VIX measures. It’s an index of volatility on SPX options normalized to 30 days duration.

The government, or an average-size hedge fund, could spend a few million dollars and pay up for some puts. It would lift implied volatility across the board for a short time, with the chance of the elevated volatility persisting if it caused a chain reaction.


Which brings up another point: It’s overwhelmingly likely that VIX broke above 30 thanks to a weak market. So what did the VIX tell you that you couldn’t infer anyway? The answer in this narrow case is nothing.

So, to answer the original question, there are a lot of things to worry about out there. The government buying or selling some SPX  puts to influence a volatility index is hardly one of them.


La mueca del VIX

Adam Warner tiene breve post sobre la mueca (skew) del VIX y la percepción de los cambios en el mismo (el VIX) desde el mercado de opciones.


The VIX uses a set formula based on the volatility of each qualifying SPX option. It normalizes to create a 30-day option, so it will incorporate the two nearest expiration cycles, up until the nearer one gets within eight days of expiration, at which time it leaves the calculation.


The next thing it does is weigh the options such that closer strikes carry more weight. And that’s where skew comes into play.


What I’m trying to say is that many of these VIX tweaks are simply mathematical. Skew is on the high side right now, so the effect is particularly pronounced at the moment. But for a guy simply trading SPX options and not caring about the VIX, he would not detect any change in volatility.


VIX pre- Crisis 2008

(Fuente: Vix and More)

El jueves 20, el VIX llego a 45,79. Sin contar el desarrollo del VIX en la Crisis 2008 (llego a 80), el pico de ayer ocupa el número 3.

(Fuente: BBC)

Fun & Finance


Fun & Finance Rollover

"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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July 2020



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