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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 ...


7

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\...


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 ...


4

Gonzalez-Perez (2015) Model-free volatility indexes in the financial literature: A review makes some remarks on this topic in section 2.2. Andersen, Bondarenko & Gonzalez-Perez (2013) identify a new error source in VIX that generates a significant number of jumps in the volatility index unconnected with the underlying volatility process and that ...


4

The Bloomberg ticker "CVXCTNCS Index" is the CFTC commitments of traders report for short positions of non-commercial traders, i.e. traders categorized by the CFTC as not having a commercial interest in trading VIX futures (e.g. to hedge an exposure created by a product that they are selling to clients). These traders are sometimes referred to as "...


3

You've already asked this question once and received some answers. Typically at the undergrad level a thesis is a topic that may have come up that you want to go a bit deeper on. Sounds like you have that, why not talk to your advisor, or simply a professor, about what you're thinking and see if they have thoughts about what related questions might merit ...


2

Is the VIX fit for purpose; and thus are VIX futures a financial porn abomination, f***ed up squa... powered? What should the optimal volatility product look like first-order theoretical principles? What should the optimal volatility product look like from hedging and liquidity principles? How in hell should one even think about a first-pass sensible guess ...


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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