Enhanced VIX Futures ETNs [PREMIUM]
Are there exchange-traded notes (ETN) based on S&P 500 Index implied volatility (VIX) futures, or combinations of such ETNs, that are attractive for absolute return and diversification? In their April 2012 paper entitled “Understanding ETNs ...
Variance Risk Premium Predictive Power Worldwide [PREMIUM]
Does the variance risk premium (derived from the mostly positive gap between options-implied equity market volatility and actual equity market volatility) robustly predict stock market returns worldwide? In the March 2012 version of their paper entitle...
Economic Announcements and VIX [PREMIUM]
Do economic announcements systematically remove uncertainty from financial markets and thus reliably lower implied volatility indexes? In their September 2010 paper entitled “The Impact of Macroeconomic Announcements on Implied Volatilities”...
Shorting VXX with Crash Protection [PREMIUM]
One finding of “Exploiting VXX/XIV Tendencies” is that shorting iPath S&P 500 VIX Short-Term Futures ETN (VXX) with crash protection may be very attractive. To investigate, we consider applying a very simple crash protection rule to a d...
Exploiting VXX/XIV Tendencies [PREMIUM]
A subscriber inquired about strategies for trading exchange-traded notes (ETN) constructed from near-term S&P 500 Volatility Index (VIX) futures: iPath S&P 500 VIX Short-Term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short-Ter...
When Stock Idiosyncratic Volatility Works [PREMIUM]
For which stocks does market-adjusted (idiosyncratic) volatility work as an indicator of future returns (see “No Reward for Risk?”)? In their January 2012 paper entitled “Dissecting the Idiosyncratic Volatility Anomaly”, Linda ...
Diversification with VIX Futures and Related ETNs [PREMIUM]
Should investors diversify U.S. equity holdings with S&P 500 volatility index (VIX) futures or exchange-traded notes (ETN) constructed from these futures? In the March 2012 version of their paper entitled “Diversification of Equity with VIX F...
Short-term VIX Futures Performance [PREMIUM]
In general, when the U.S. stock market goes down, the S&P 500 volatility index (VIX) goes up. VIX is not investable, but VIX futures are available. Are short-term VIX futures a good way to hedge equity market declines and guard against market blow-...
Election Season Stock Market VIX Drivers [PREMIUM]
Does political drama take over as the principal driver of U.S. stock market implied volatility during election seasons? In their March 2012 paper entitled “U.S. Presidential Elections and Implied Volatility: The Role of Political Uncertainty...
Election Season Stock Market VIX Drivers [PREMIUM]
Does political drama take over as the principal driver of U.S. stock market implied volatility during election seasons? In their March 2012 paper entitled “U.S. Presidential Elections and Implied Volatility: The Role of Political Uncertainty...
Enhancing Financial Markets Volatility Prediction [PREMIUM]
Are there economic and financial variables that meaningfully predict return volatilities of financial markets? In their March 2012 paper entitled “A Comprehensive Look at Financial Volatility Prediction by Economic Variables”, Charlotte Ch...
Returns of Matched Long and Short Leveraged ETFs
Is “Shorting Leveraged ETF Pairs” a good idea? In their brief March 2012 paper entitled “Levered ETFs”, Wenxi Jiang and Hongjun Yan examine the returns from matched positions in long and short leveraged exchange-traded funds...
