Posts Tagged ‘VIX

09
Aug
11

Tabla du Jour: un VIX de Lunes…

(Fuente: Yahoo Finance)

19
May
11

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.

24
Apr
11

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.

07
Jan
11

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.

 

26
Oct
10

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.

(…)

13
Oct
10

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.

29
Aug
10

Paper: Instrumentos de volatilidad como hedge

Using Volatility Instruments as Extreme Downside Hedges

Abstract:
“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




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