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9

If your strategy truly has no directional bias, then the benchmark should be cash (ie whatever you would earn using the capital in your trading account and taking no risk).


8

Put simply, VIX is a spot index (fair value to a variance swap on SPX of constant maturity) that you cannot own as a security. Market participants create futures for you to trade. Futures trade higher than the VIX -- if you long VIX futures, you lose when the futures contract converges to VIX. You therefore have a negative roll-down. VIX ETF doesn't avoid ...


6

You could compare it, over the historical period of interest, to 1000 randomly generated VIX strategies which are: Flat on 60 Percent of days (randomly chosen days) Long VIX futures on 20% of days Short VIX futures on 20% of days (You would adjust these percentages to the characteristics of your strategy. I guessed these values from your comment). The ...


5

If you are developing this strategy to use personally, I would benchmark it against your next best option. If the strategy has been developed to attempt to manage other peoples money I would benchmark it against the HFRX RV: Volatility Index. This is an index of alternatives that a Vol investor would consider versus investing in your strategy. From HFRX ...


5

The piece you are missing is an approximation via the Taylor formula of the logarithm: $$\ln(1+x) \approx x-\frac{x^2}{2} \; .$$ Apply this to the first term in the final formula of the technical paper: $$\frac{2}{T}\ln\frac{F_{0}}{S^{*}} = \frac{2}{T}\ln\left(1+\left(\frac{F_{0}}{S^{*}}-1\right)\right) \approx \frac{2}{T}\left(\left(\frac{F_{0}}{S^{*}}-1\...


4

Calculate the beta of the VIX Dec 18 contract to the SPY. Then apply this equation: $$\ hedge \ ratio = \frac{1000\beta}{SPY_{price} } $$ You then take the hedge ratio round it and that will give you the approximate amount of shares to hedge with. This is a simple solution. There are other ways to calculate the hedge ratio. Just as a note, this will ...


4

Just for future visitors of this post: You can also buy VIX option data directly from the exchange where they are traded, the Cboe: [https://datashop.cboe.com]


3

The VIX Index is computed from option prices on S&P Index. A VIX-like Index for other industries would first require to have a liquid option market.


2

Sometimes. Two extreme models are assuming: a) ATM vol stays constant for a given moneyness (called sticky moneyness) or b) vol stays constant at fixed strikes (called sticky moneyness). A variation on a) is sticky delta. It's also possible to come up with models that are sort of a weighted average of these two extremes. As Quantuple pointed out, work has ...


2

I assume you really mean the VIX and not the VIX future: Think about the BS model $dS = \sigma S dW$ for some constant vol $\sigma$. Does the current spot $S_0$ depend on $\sigma_0$? What does depend on $\sigma_t$ is of course the change in $S_t$, i.e. $dS_t$, and convex derivatives on $S$ such as a call option. Now replace $S$ by the variance swap strike (...


2

This indicator seems to be similar to William's Vix Fix which is also known as Synthetic Vix. On plotting the values of Vix Fix, the monthly chart of the S&P 500 looks similar to the chart given in the link shared by you. Formula: VIX Fix = (Highest (Close,22) – Low) / (Highest (Close,22)) * 100


1

forward index level 是用 call - put = forward算出来的, call payoff - put payoff = forward payoff, 所以两边价格应该相等, 用c=call price, p=put price, F 假设是T的 index level, K是strike price, 那么应该有 c - p = e^{-RT} (F-K), 等式右边是forward的定价公式, 两边乘一下e^{RT}就得到那个forward term了 Google Translation: Forward index level is used Call - put = forward calculated, Call payoff ...


1

It seems that you can only get access to it through paying the people that came up with it. I, for one, am not buying it and not linking to them either. I recommend you do the same.


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