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Vix futures trading strategies

vix futures trading strategies

please read closely the Disclosure* and its links below. (To learn more, read: How To Use A Moving Average To Buy Stocks). Whether an investor's outlook on the market is bullish, bearish or somewhere in between - VIX options and futures can provide the ability to diversify a portfolio or hedge, mitigate or capitalize on broad market volatility. Convergence-divergence relationships between these instruments generates series of expectations that assist in trade planning and risk management. VIX futures (introduced in 2004) and, vIX options (introduced in 2006) enable investors to trade volatility independent of the direction or the level of stock prices. Buys and holds the performance of the S P 500 total return index, (a pre-tax index with reinvested dividends and. Weve tested 22 simple strategies for trading VIX on this blog (separate and unrelated to our own strategy ). Stategies included in this report: First vs Second Month Futures, VIX vs Front Month Futures, VIX vs 1-Month Constant Maturity, VIX vs VXV Indices, V Ms VIX:VXV Ratio, TMs RSI(2), dftbs StDev Strategy, dftbs Spread Strategy, DDNs Momentum Rotation, DDNs VRP Strategy, 10/100-Day MA Crossovers.

M/lovol, cboe VIX Premium Strategy Index (VPD) overlays a sequence of short one-month VIX futures on a money market account; the short VIX futures positions are held until expiration and new VIX futures are then sold. (For related reading, see: Momentum Trading With Discipline ). This is completely unrelated to our own strategy ; it just serves to add a little color to our daily report and allows subscribers to see what other quantitative strategies are saying about the market. Note how the moving average grinds higher and lower in a smooth wave pattern that reduces odds for false signals. Below are some examples of hypothetical strategies using options or futures on the Cboe Volatility Index (VIX). Falling VIX falling S P 500 and Nasdaq 100 index futures bullish divergence that predicts growing risk appetite and high potential for an upside reversal.

And while I cant speak for all traders, based on all of my readings both academic and in the blogosphere, the strategies weve tested are broadly representative of how the vast majority of traders are timing these products. The indexes are leading barometers of investor sentiment and market volatility relating to listed options. Often buys one-month 30-delta VIX call options; the weight of the VIX calls in the portfolio varies at each roll and is spelled out at m/vxth. The vxth Index buys the VIX call options with a goal of providing lesser volatility and smoother returns than the S P 500 index over long time periods. UMass paper on "VIX Futures and Options - A Case Study of Portfolio Diversification During the 2008 Financial Crisis" (July 2009 Options Profit-and-Loss Diagrams * In the Protective Put and Buy-write diagrams, the faint grey line represents an equity position, and the colored "hockey-stick-shaped" line. Past performance is not predictive of future returns, and the VIX Index is not investable. The information in this website is provided solely for general education and information purposes, and is not meant to be investment advice.