The VIX Trader's Handbook : The history, patterns, and strategies every volatility trader needs to know / Russell Rhoads.

Format:

Book

Author/Creator:

Rhoads, Russell, author.

Language:

English

Subjects (All):

Derivative securities--Statistical methods.

Derivative securities.

Physical Description:

1 online resource (154 pages)

Place of Publication:

La Vergne : Mensch Publishing, 2023.

Summary:

Russell Rhoads is one of America's leading experts on VIX, the Volatility Index.In The VIX Trader's Handbook he takes a deep dive into all things associated with volatility indexes and related trading vehicles. The handbook begins with an explanation of what VIX is, how it is calculated, and why it behaves the way it does in various market environments. It also explains the various methods of getting exposure to volatility through listed markets.The focus then moves on to demonstrate how traders take advantage of various scenarios using futures, options, or ETPs linked to the performance of VIX. Finally, a comprehensive review is presented of volatility events that shook the markets, including the 1987 crash, Great Financial Crisis, 2010 flash crash, and the 2020 pandemic. By understanding how VIX behaved leading up to these market shocks, and reacted afterwards, traders can better equip themselves ahead of future events.A wide variety of strategies that are implemented in both bearish and bullish equity markets are introduced and covered extensively throughout.The VIX Trader's Handbook is essential reading for all those who are intending to trade volatility-from those who wish to gain an understanding of how VIX and the related trading products behave, to those intending to hedge equity exposure or take advantage of the persistent overpricing of option volatility.You won't want to trade volatility without it.

Contents:

Intro

Contents

About the author

Introduction

How this book is structured

Part 1: Instruments and Markets

Chapter 1: Implied Volatility and Option Pricing

Option pricing factors

VIX calculation

VIX enhancements

VIX and the S&amp

P 500 relationship

Cboe SPX put/call ratio

Summary

Chapter 2: VIX Futures and Options Price Behavior

VIX futures

The VIX index cannot be replicated

There is no arbitrage relationship

VIX and VIX futures relationship

VIX options

VIX put-call ratio

VIX of VIX

Chapter 3: Volatility-Related Exchange-Traded Products

Roll yield

Unleveraged long short-term ETPs

Unleveraged long mid-term ETPs

Strategy-based ETP

Leveraged long ETPs

Short ETPs

Short volatility versus long index

Chapter 4: Alternatives to VIX-Related Markets

VSTOXX

VSTOXX derivatives

SPIKES

SPIKES derivatives

Russell 2000 Volatility Index

Chapter 5: Historical VIX Studies

VIX versus the S&amp

P 500

VIX futures term structure

Modified VIX future

Weekend impact on VIX

Part 2: Trades and Strategies

Chapter 6: Planning a VIX-Related Trade

S&amp

P 500 outlook

Bearish S&amp

VIX index pricing

VIX future pricing

Chapter 7: Systematically Shorting Volatility

Cboe indexes

About VIX expiration

VIX futures price behavior into expiration

VIX index and futures data

Table explanations

Test 1: Standard futures before VIX Weeklys

Test 2: All expirations after the introduction of Weeklys

Test 3: Only VIX Weekly futures

Test 4: Only standard VIX futures (August 2015-December 2019)

Test 5: Only standard VIX futures (January 2007-December 2019)

VSTOXX futures

Chapter 8: Shorting Volatility Spikes

VIX spikes.

Futures calendar spreads

Long put

VXX bear call spread

Chapter 9: Long Volatility Trades

Long futures

Long unleveraged ETN

VIX option term structure

Bull call spread

Bull call spread plus short put

Chapter 10: Spread Trading With Volatility Futures

Calendar spreads

VSTOXX versus VIX

Part 3: Historic Volatility Events

Chapter 11: Volatility Events

Stock market crash, 1987

Leading up to Black Monday

Observations

Asian flu, October 1997

Russian financial crisis, August to October 1998

September 11, 2001 terrorist attacks

Great Financial Crisis, 2007-2009

Leading Up to the Great Financial Crisis, January 2007-September 2008

Great Financial Crisis, September 2008-March 2009

Post-Great Financial Crisis, March to December 2009

Flash crash, May 6, 2010

European sovereign debt crisis, 2011

China data and Black Monday, 2015

Brexit referendum, 2016

Election of Donald Trump, 2016

Inflation in employment number, February 2018

Global pandemic, 2020

History lessons

Publishing details.

Notes:

Description based on print version record.

ISBN:

9780857197122

0857197126