VIX Index Strategies: Shorting Volatility As a Portfolio Enhancing Strategy
49 Pages Posted: 25 Jan 2018
Date Written: January 18, 2018
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
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