VIX Index Strategies: Shorting Volatility As a Portfolio Enhancing Strategy

49 Pages Posted: 25 Jan 2018

See all articles by Alberto Dondoni

Alberto Dondoni

Banca IMI; IntesaSanpaolo Group

Dennis Marco Montagna

University of Pavia - Department of Economics and Management

Mario Maggi

University of Pavia - Department of Economics and Management; University of Pavia - Department of Economics and Management

Date Written: January 18, 2018

Abstract

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.

Keywords: VIX Index, VIX Futures, equity volatility, trading, asset allocation, cross-correlation, portfolio enhancement

JEL Classification: C02, C15, C22, C55

Suggested Citation

Dondoni, Alberto and Montagna, Dennis Marco and Maggi, Mario, VIX Index Strategies: Shorting Volatility As a Portfolio Enhancing Strategy (January 18, 2018). Available at SSRN: https://ssrn.com/abstract=3104407 or http://dx.doi.org/10.2139/ssrn.3104407

Alberto Dondoni (Contact Author)

Banca IMI ( email )

Corso Matteotti 6
20121 Milano, 20100
Italy

IntesaSanpaolo Group ( email )

Corso Matteotti 6
Milano, 20121
Italy

Dennis Marco Montagna

University of Pavia - Department of Economics and Management ( email )

Corso Strada Nuova, 65
Pavia, +39 0382 984402 27100
Italy

Mario Maggi

University of Pavia - Department of Economics and Management ( email )

Via San Felice, 5
Pavia, PV 27100
Italy

HOME PAGE: http://economia.unipv.it/pagp/pagine_personali/maggma/moreinfo.htm

University of Pavia - Department of Economics and Management ( email )

Strada Nuova, 65
Pavia, 27100
Italy

HOME PAGE: http://economia.unipv.it/pagp/pagine_personali/maggma/moreinfo.htm

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