Papers, wiki, Option Blackboard, encyclopedia, and cards.
A new modelling approach that directly prescribes dynamics to the term structure of VIX futures is proposed in this paper. The approach is motivated by the tractability enjoyed by models that directly prescribe dynamics to the VIX, practices observed in interest-rate modelling, and the desire to develop a platform to better understand VIX option implied volatilities. The main contribution of the paper is the derivati…
This paper examines systematic put-writing strategies applied to S&P 500 Index options, with a focus on position sizing as a key determinant of long-term performance. Despite the well-documented volatility risk premium, where implied volatility exceeds realized volatility, the practical implementation of short-dated volatility-selling strategies remains underdeveloped in the literature. This study evaluates three pos…
We show that the Realized GARCH model yields close-form expression for both the Volatility Index (VIX) and the volatility risk premium (VRP). The Realized GARCH model is driven by two shocks, a return shock and a volatility shock, and these are natural state variables in the stochastic discount factor (SDF). The volatility shock endows the exponentially affine SDF with a compensation for volatility risk. This leads t…
VIX term structure tracks the shape of volatility futures across maturities and helps identify whether the market is pricing stable conditions or near-term stress.
The 2s10s Treasury curve measures the spread between 10-year and 2-year Treasury yields and is a key indicator of growth expectations, policy path, and term structure dynamics.
VIX Index measures implied volatility in S&P 500 options and is widely used as a shorthand for equity market fear and risk aversion.
Volatility of Volatility — Uncertainty about future volatility, critical for tail hedges and vol-of-vol products.
VIX Futures Term Structure — Curve shape driving roll yield for vol ETNs and systematic short-vol carry.
Volatility Carry Trade — Selling implied vol or rolling VIX futures in contango — crowded but regime-sensitive.
Term Structure of Volatility — How IV varies across expiries — front vs back month regimes.
VIX Futures Curve (Derivatives).
VIX Contango Roll (Derivatives).
VVIX Index (Derivatives).
VIX Contango Roll (Derivatives).
VIX Futures Curve (Derivatives).
VIX Futures Term Structure — Curve shape driving roll yield for vol ETNs and systematic short-vol carry.
VIX Index measures implied volatility in S&P 500 options and is widely used as a shorthand for equity market fear and risk aversion.
VIX term structure tracks the shape of volatility futures across maturities and helps identify whether the market is pricing stable conditions or near-term stress.
Volatility Carry Trade — Selling implied vol or rolling VIX futures in contango — crowded but regime-sensitive.
VVIX Index (Derivatives).