Series
Title Page
Copyright
Dedication
Preface
Acknowledgments
Chapter 1: Understanding Implied VolatilityHISTORICAL VERSUS FORWARD-LOOKING
VOLATILITY
PUT-CALL PARITY
ESTIMATING PRICE MOVEMENT
VALUING OPTIONS: PRICING CALCULATORS AND
OTHER TOOLS
FLUCTUATIONS BASED ON SUPPLY AND DEMAND
THE IMPACT ON OPTION PRICES
IMPLIED VOLATILITY AND THE VIX
Chapter 2: About the VIX Index
HISTORY OF THE VIX
CALCULATING THE VIX
THE VIX AND PUT-CALL PARITY
THE VIX AND MARKET MOVEMENT
EQUITY MARKET VOLATILITY INDEXES
Chapter 3: VIX Futures
STEADY GROWTH OF NEW PRODUCTS
CONTRACT SPECIFICATIONS
MINI-VIX FUTURES
PRICING RELATIONSHIP BETWEEN VIX FUTURES
AND THE INDEX
FUTURES’ RELATIONSHIP TO EACH OTHER
VIX FUTURES DATA
Chapter 4: VIX Options
CONTRACT SPECIFICATIONS
RELATIONSHIP TO VIX INDEX
RELATIONSHIP TO VIX FUTURES
VIX BINARY OPTIONS
Chapter 5: Weekly Options on CBOE Volatility IndexFutures
CONTRACT SPECIFICATIONS
WEEKLY OPTIONS AND INDEX OPTIONS
WEEKLY OPTION STRATEGY
Chapter 6: Volatility-Related Exchange-Traded NotesWHAT ARE EXCHANGE-TRADED NOTES?
IPATH S&P 500 VIX SHORT-TERM FUTURES ETN
IPATH S&P 500 VIX MID-TERM FUTURES ETN
COMPARING THE VXX AND VXZ PERFORMANCE
BARCLAYS ETN+ INVERSE S&P 500 VIX SHORT-TERMFUTURES ETN
BARCLAYS ETN+ S&P VEQTOR ETN
S&P 500 VIX FUTURES SOURCE ETF
Chapter 7: Alternate Equity Volatility and Strategy IndexesCBOE S&P 500 3-MONTH VOLATILITY INDEX (VXV)VIX PREMIUM STRATEGY INDEX (VPD)
CAPPED VIX PREMIUM STRATEGY INDEX (VPN)
S&P 500 VARB-X STRATEGY BENCHMARK
S&P 500 IMPLIED CORRELATION INDEX
Chapter 8: Volatility Indexes on Alternative AssetsCBOE GOLD VOLATILITY INDEX
CBOE CRUDE OIL VOLATILITY INDEX
CBOE EUROCURRENCY VOLATILITY INDEX
CBOE/NYMEX CRUDE OIL (WTI) VOLATILITY INDEXCBOE/COMEX GOLD VOLATILITY INDEX
CBOE/CBOT GRAIN VOLATILITY INDEXES
FX REALIZED VOLATILITY INDEXES
Chapter 9: The VIX as a Stock Market IndicatorTHE INVERSE RELATIONSHIP BETWEEN THE VIX
AND THE S&P 500
VIX INDEX AS AN INDICATOR
VIX FUTURES AS AN INDICATOR
A MODIFIED VIX FUTURES CONTRACT
COMBINING VIX FUTURES AND THE VIX INDEX
VIX INDEX AND GOLD PRICE INDICATOR
VIX OPTION PUT-CALL RATIO
Chapter 10: Hedging with VIX Derivatives
HEDGING WITH VIX OPTIONS
HEDGING WITH VIX FUTURES
UNIVERSITY OF MASSACHUSETTS STUDY
Chapter 11: Speculating with VIX DerivativesVIX FUTURES TRADING
VIX OPTION TRADING
VIX ETN TRADING
COMPARING VIX TRADING INSTRUMENTS
Chapter 12: Calendar Spreads with VIX FuturesCOMPARING VIX FUTURES PRICES
THE MECHANICS OF A CALENDAR SPREAD
PATTERNS IN THE DATA
TRADE MANAGEMENT
OTHER PARAMETERS
Chapter 13: Calendar Spreads with VIX OptionsVIX OPTION PRICING
CALENDAR SPREAD WITH PUT OPTIONS
CALENDAR SPREAD WITH CALL OPTIONS
DIAGONAL SPREAD WITH PUT OPTIONS
DIAGONAL SPREAD WITH CALL OPTIONS
Chapter 14: Calendar Spreads with VIX Options andFutures
COMPARING OPTIONS AND FUTURES
CALENDAR SPREAD EXAMPLES
Chapter 15: Vertical Spreads with VIX OptionsVERTICAL SPREAD EXAMPLES
Chapter 16: Iron Condors and Butterflies with VIX OptionsWHAT IS AN IRON CONDOR?
IRON CONDOR WITH VIX OPTIONS
WHAT IS AN IRON BUTTERFLY?
IRON BUTTERFLY WITH VIX OPTIONS
About the Author
Index
