Produktbild: Trading VIX

Trading VIX

Aus der Reihe Wiley Trading Series

69,99 €

inkl. gesetzl. MwSt., Versandkostenfrei


Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

09.08.2011

Verlag

John Wiley & Sons Inc

Seitenzahl

288

Maße (L/B/H)

23,5/15,7/2 cm

Gewicht

576 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-0-470-93308-4

Beschreibung

Rezension

"For those wanting to take the next step in learning or portfolio modeling, Trading VIX Derivatives will be a logical step in progression. For investors considering trading the VIX in any of many products available I recommend getting a copy of Trading VIX Derivatives with the great return on investment this book offers." ( SeekingAlpha , April 2012)

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

09.08.2011

Verlag

John Wiley & Sons Inc

Seitenzahl

288

Maße (L/B/H)

23,5/15,7/2 cm

Gewicht

576 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-0-470-93308-4

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: GPSR Kontakt

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Die Leseprobe wird geladen.
  • Produktbild: Trading VIX
  • Preface xiii
     
    Acknowledgments xv
     
    CHAPTER 1 Understanding Implied Volatility 1
     
    Historical versus Forward-Looking Volatility 1
     
    Put-Call Parity 4
     
    Estimating Price Movement 6
     
    Valuing Options: Pricing Calculators and Other Tools 6
     
    Fluctuations Based on Supply and Demand 9
     
    The Impact on Option Prices 13
     
    Implied Volatility and the VIX 14
     
    CHAPTER 2 About the VIX Index 15
     
    History of the VIX 15
     
    Calculating the VIX 17
     
    The VIX and Put-Call Parity 18
     
    The VIX and Market Movement 22
     
    Equity Market Volatility Indexes 24
     
    CHAPTER 3 VIX Futures 31
     
    Steady Growth of New Products 31
     
    Contract Specifications 33
     
    Mini-VIX Futures 42
     
    Pricing Relationship between VIX Futures and the Index 42
     
    Futures' Relationship to Each Other 46
     
    VIX Futures Data 47
     
    CHAPTER 4 VIX Options 49
     
    Contract Specifications 51
     
    Relationship to VIX Index 56
     
    Relationship to VIX Futures 57
     
    VIX Binary Options 58
     
    CHAPTER 5 Weekly Options on CBOE Volatility Index Futures 61
     
    Contract Specifications 62
     
    Weekly Options and Index Options 63
     
    Weekly Option Strategy 65
     
    CHAPTER 6 Volatility-Related Exchange-Traded Notes 69
     
    What are Exchange-Traded Notes? 69
     
    iPath S&P 500 VIX Short-Term Futures ETN 70
     
    iPath S&P 500 VIX Mid-Term Futures ETN 73
     
    Comparing the VXX and VXZ Performance 76
     
    Barclays ETN+ Inverse S&P 500 VIX Short-Term
     
    Futures ETN 80
     
    Barclays ETN+ S&P VEQTOR ETN 82
     
    S&P 500 VIX Futures Source ETF 82
     
    CHAPTER 7 Alternate Equity Volatility and Strategy Indexes 83
     
    CBOE S&P 500 3-Month Volatility Index (VXV) 83
     
    VIX Premium Strategy Index (VPD) 88
     
    Capped VIX Premium Strategy Index (VPN) 90
     
    S&P 500 VARB-X Strategy Benchmark 93
     
    S&P 500 Implied Correlation Index 95
     
    CHAPTER 8 Volatility Indexes on Alternative Assets 99
     
    CBOE Gold Volatility Index 100
     
    CBOE Crude Oil Volatility Index 102
     
    CBOE EuroCurrency Volatility Index 104
     
    CBOE/NYMEX Crude Oil (WTI) Volatility Index 107
     
    CBOE/COMEX Gold Volatility Index 107
     
    CBOE/CBOT Grain Volatility Indexes 109
     
    FX Realized Volatility Indexes 109
     
    CHAPTER 9 The VIX as a Stock Market Indicator 113
     
    The Inverse Relationship between the VIX and the S&P 500 114
     
    VIX Index as an Indicator 115
     
    VIX Futures as an Indicator 118
     
    A Modified VIX Futures Contract 121
     
    Combining VIX Futures and the VIX Index 122
     
    VIX Index and Gold Price Indicator 124
     
    VIX Option Put-Call Ratio 127
     
    CHAPTER 10 Hedging with VIX Derivatives 133
     
    Hedging with VIX Options 133
     
    Hedging with VIX Futures 143
     
    University of Massachusetts Study 147
     
    CHAPTER 11 Speculating with VIX Derivatives 149
     
    VIX Futures Trading 150
     
    VIX Option Trading 153
     
    VIX ETN Trading 161
     
    Comparing VIX Trading Instruments 166
     
    CHAPTER 12 Calendar Spreads with VIX Futures 169
     
    Comparing VIX Futures Prices 170
     
    The Mechanics of a Calendar Spread 175
     
    Patterns in the Data 178
     
    Trade Management 189
     
    Other Parameters 193
     
    CHAPTER 13 Calendar Spreads with VIX Options 195
     
    VIX Option Pricing 195
     
    Calendar Spread with Put Options 196
     
    Calendar Spread with Call Options 205
     
    Diagonal Spread with Put Options 209
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