Improving the S&P Dynamic VIX Futures Index: The Mojito 3.0 Strategy

2013 ◽  
Author(s):  
Dr. Chrilly Donninger
Keyword(s):  
Vix Futures

scholarly journals Two Order Books are Better than One? Trading at Settlement (TAS) in VIX Futures

2014 ◽  
Vol 35 (6) ◽  
pp. 506-521 ◽  
Author(s):  
Bujar Huskaj ◽  
Lars L. Nordén
Keyword(s):  
Vix Futures ◽  
Order Books ◽  
Better Than

Volatility Uncertainty and VIX Futures Contango

2021 ◽  
Author(s):  
Gurdip S. Bakshi ◽  
John Crosby ◽  
Xiaohui Gao ◽  
Jinming Xue
Keyword(s):  
Vix Futures

scholarly journals Risk management of risk under the Basel Accord: forecasting value‐at‐risk of VIX futures

2011 ◽  
Vol 37 (11) ◽  
pp. 1088-1106 ◽  
Author(s):  
Chia‐lin Chang ◽  
Juan‐Ángel Jiménez‐Martín ◽  
Michael McAleer ◽  
Teodosio Pérez‐Amaral
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Value At Risk ◽  
Basel Accord ◽  
Vix Futures ◽  
Management Of Risk

Are VIX Futures ETPs Effective Hedges?

2012 ◽  
Vol 3 (3) ◽  
pp. 35-48 ◽  
Author(s):  
Geng Deng ◽  
Craig McCann ◽  
Olivia Wang
Keyword(s):  
Vix Futures

VIX VERSUS VXX: A JOINT ANALYTICAL FRAMEWORK

2020 ◽  
Vol 23 (05) ◽  
pp. 2050033 ◽  
Author(s):  
MARTINO GRASSELLI ◽  
LAKSHITHE WAGALATH
Keyword(s):  
Term Structure ◽  
Real Data ◽  
Analytical Framework ◽  
Option Prices ◽  
Options Market ◽  
Vix Futures ◽  
Consistent Manner ◽  
Systematic Behavior ◽  
Exchange Traded Notes ◽  
Reference Index

We propose a framework for modeling in a consistent manner the VIX index and the VXX, an exchange-traded note written on the VIX. Our study enables to link the properties of VXX to those of the VIX in a tractable way. In particular, we quantify the systematic loss observed empirically for VXX when the VIX futures term-structure is in contango and we derive option prices, implied volatilities and skews of VXX from those of VIX in infinitesimal developments. We also perform a calibration on real data which highlights the flexibility of our model in fitting the futures and the vanilla options market of VIX and VXX. Our framework can be used to model other exchange-traded notes on the VIX as well as any market where exchange-traded notes have been introduced on a reference index, hence providing tools to better anticipate and quantify systematic behavior of an exchange-traded note with respect to the underlying index.

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