VXV – BSIC | Bocconi Students Investment Club

Volatility-linked strategy: a new approach

Can volatility indices provide useful signals on the “underlying” market? We tried to figure it out analysing some relations between the VIX and other indices provided by the Chicago Board Options Exchange. The VIX index, which is derived from prices of a basket of out-of-the-money options on the S&P500, represents Read more…

By BSIC, 10 years21 November 2015 ago

Equity Indices Markets Old Articles Trade Ideas

Let it be (volatile)

“Fear tends to manifest itself much more quickly than greed, so volatile markets tend to be on the downside. In up markets, volatility tends to gradually decline.” Philip Roth Introduction As options and other products whose price depends on volatility have become widespread, studying its behaviour is now a key Read more…

By BSIC, 11 years6 December 2014 ago