Trading VIX Derivatives / Wiley Trading Series (ePub)

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

RUSSELL RHOADS, CFA, is an instructor for the Options Institute at the Chicago Board Options Exchange. He teaches about ninety classes a year and conducts webinars on behalf of the CBOE and a variety of brokerage firms. Rhoads's twenty-year trading career has included positions at a variety of trading firms and hedge funds. His background includes trading and analysis, and he is the author of the Wiley titles Candlestick Charting For Dummies and Option Spread Trading. Rhoads graduated from the University of Memphis with an MS in finance and has a master's certificate in financial engineering from the Illinois Institute of Technology.

Dieses eBook können Sie uneingeschränkt auf allen Geräten der tolino Familie lesen. Zum Lesen auf sonstigen eReadern und am PC benötigen Sie eine Adobe ID.