Series
+ W$ u9 _4 J; o8 S) g f7 E: V+ G* n Title Page
; I o+ x t1 [4 | Copyright
. H3 Q* A" Q$ i8 H0 z Dedication7 I3 l* |& C) Q% S+ N
Preface5 y, A2 _* M( L" j$ P- G
Acknowledgments* b% d3 ` J6 m) z! Q+ G2 q
Chapter 1: Understanding Implied VolatilityHISTORICAL VERSUS FORWARD-LOOKING6 ~% x8 h/ |2 e0 K
VOLATILITY
9 H5 C7 F9 X4 g8 ?% t/ | PUT-CALL PARITY d1 ]9 R- G! I) u- N) X. t
ESTIMATING PRICE MOVEMENT. N' m- v, l' t0 U; T/ @; j8 ~) C
VALUING OPTIONS: PRICING CALCULATORS AND0 ?( U0 R. k% Q. P# `' l9 o
OTHER TOOLS
' R8 s5 v, k1 Q1 ? FLUCTUATIONS BASED ON SUPPLY AND DEMAND# Y9 `# b0 ]* ?6 D5 y
THE IMPACT ON OPTION PRICES0 I5 Y, ]3 E2 |6 F
IMPLIED VOLATILITY AND THE VIX
+ R4 h' S; G7 S& N$ V$ E y Chapter 2: About the VIX Index3 p& _( B# p6 e" Y! l+ y; {
HISTORY OF THE VIX. [ S5 v9 y5 U! `; v
CALCULATING THE VIX$ g j* P! e% G, G: u
THE VIX AND PUT-CALL PARITY& G) \% ]3 o4 z5 @
THE VIX AND MARKET MOVEMENT
6 y b2 A( n5 n+ J: W/ N6 Z EQUITY MARKET VOLATILITY INDEXES
" P) V4 K+ G3 `5 Y Chapter 3: VIX Futures
( N' d: ?% j h/ Q STEADY GROWTH OF NEW PRODUCTS+ s& ^3 B# Q- E/ }9 \ ^
CONTRACT SPECIFICATIONS
3 M2 S& ~5 N; r) Z" I+ F MINI-VIX FUTURES
+ t% B! l ^+ f g PRICING RELATIONSHIP BETWEEN VIX FUTURES2 j* j4 d2 d& R/ J$ ?1 w1 Q
AND THE INDEX
! K6 a, G1 V, w0 c4 O FUTURES’ RELATIONSHIP TO EACH OTHER
8 b3 i3 ?: |# N; N VIX FUTURES DATA" G8 g H9 a' N# {( |3 I
Chapter 4: VIX Options9 Q8 H1 c# q9 w
CONTRACT SPECIFICATIONS
4 N7 t. m$ F9 Z) L$ v% V RELATIONSHIP TO VIX INDEX
9 ?4 y" I) I% q, D RELATIONSHIP TO VIX FUTURES- ^& P `1 ]4 k) v+ w+ R1 V
VIX BINARY OPTIONS
5 o* n7 i" l) S; D; [4 S Chapter 5: Weekly Options on CBOE Volatility IndexFutures
+ Q8 U7 S; l$ n$ d4 k: P CONTRACT SPECIFICATIONS
5 |: v6 _& R) Z! V$ f$ f WEEKLY OPTIONS AND INDEX OPTIONS
2 R2 [0 [( [9 u6 ~ WEEKLY OPTION STRATEGY) K4 R* j% k: k/ k# q# C" Z! }( d Z
Chapter 6: Volatility-Related Exchange-Traded NotesWHAT ARE EXCHANGE-TRADED NOTES?
, w( X$ c& W- R IPATH S&P 500 VIX SHORT-TERM FUTURES ETN
4 C& i0 Q( e1 l! W. j; a IPATH S&P 500 VIX MID-TERM FUTURES ETN
+ x8 |+ J0 [% h) L2 n COMPARING THE VXX AND VXZ PERFORMANCE ]# F8 e J9 ^# v/ s
BARCLAYS ETN+ INVERSE S&P 500 VIX SHORT-TERMFUTURES ETN
3 K& y* ^5 J2 O: k# {+ G% b BARCLAYS ETN+ S&P VEQTOR ETN
9 ]. C5 c, _0 M7 _ S&P 500 VIX FUTURES SOURCE ETF; u7 E- F E; ]) H
Chapter 7: Alternate Equity Volatility and Strategy IndexesCBOE S&P 500 3-MONTH VOLATILITY INDEX (VXV)VIX PREMIUM STRATEGY INDEX (VPD)
- Q0 d# e7 ^" s% r CAPPED VIX PREMIUM STRATEGY INDEX (VPN)
* X: N; o& x9 k) ? S&P 500 VARB-X STRATEGY BENCHMARK
' R& O: m# p6 }' J( r S&P 500 IMPLIED CORRELATION INDEX
' {$ _: D+ o I: E1 J* }$ |+ J2 i Chapter 8: Volatility Indexes on Alternative AssetsCBOE GOLD VOLATILITY INDEX( k* Z+ L. I' i' ]0 _# _& o" P
CBOE CRUDE OIL VOLATILITY INDEX
2 b, ~: l, ^ | O3 _ CBOE EUROCURRENCY VOLATILITY INDEX. q: @9 W1 A6 S6 h0 A
CBOE/NYMEX CRUDE OIL (WTI) VOLATILITY INDEXCBOE/COMEX GOLD VOLATILITY INDEX3 j, m3 i% j- Y" B! ]
CBOE/CBOT GRAIN VOLATILITY INDEXES. d( I* ~ |1 Y; K
FX REALIZED VOLATILITY INDEXES
$ `! U0 R6 D. K, ]9 S Chapter 9: The VIX as a Stock Market IndicatorTHE INVERSE RELATIONSHIP BETWEEN THE VIX: D4 I$ _/ B4 l
AND THE S&P 500* w6 P6 C# J4 j5 V9 c
VIX INDEX AS AN INDICATOR" d7 ? v+ ~" U) a$ n; i7 f. {: u
VIX FUTURES AS AN INDICATOR
+ S1 h) Y$ G2 @/ z/ e A MODIFIED VIX FUTURES CONTRACT
; Y5 a- K& y1 w) u COMBINING VIX FUTURES AND THE VIX INDEX) o4 n7 q" t" J2 f2 J! @
VIX INDEX AND GOLD PRICE INDICATOR% h0 R* ]. [; _
VIX OPTION PUT-CALL RATIO+ @& a( O) o$ c+ M$ K' u' f9 Y
Chapter 10: Hedging with VIX Derivatives
/ v) T- i7 u' Q' c- } HEDGING WITH VIX OPTIONS
/ T! n1 g$ ?5 C$ x( I HEDGING WITH VIX FUTURES6 | j# n. v d" R8 d+ C; f* G
UNIVERSITY OF MASSACHUSETTS STUDY' Z- O6 a; n& \) ^+ {+ X; s) v
Chapter 11: Speculating with VIX DerivativesVIX FUTURES TRADING( f9 M4 f2 Y6 P1 u
VIX OPTION TRADING- D. w4 N0 K/ \6 R/ L( y8 j
VIX ETN TRADING
" ^8 M2 j$ N( u4 Z COMPARING VIX TRADING INSTRUMENTS( z5 g2 u. d% x- x/ `0 v
Chapter 12: Calendar Spreads with VIX FuturesCOMPARING VIX FUTURES PRICES$ y' r' Q4 F) V1 J6 ]& [
THE MECHANICS OF A CALENDAR SPREAD
0 _, B. ]5 ` o$ l4 s [! a: j PATTERNS IN THE DATA7 B/ f1 c" P) l5 t# f* v
TRADE MANAGEMENT# E! ^# ^2 m. M( X6 ?
OTHER PARAMETERS2 E" ^$ s5 v4 P/ i3 _
Chapter 13: Calendar Spreads with VIX OptionsVIX OPTION PRICING2 y% D; H, m6 k! b- `
CALENDAR SPREAD WITH PUT OPTIONS( U% I$ r! w) g$ v; i2 x) K4 z
CALENDAR SPREAD WITH CALL OPTIONS/ x3 J! {% G2 T7 z) I; m0 j1 }
DIAGONAL SPREAD WITH PUT OPTIONS
: D W& r& r9 u, Z, {0 k DIAGONAL SPREAD WITH CALL OPTIONS
- }, S( K# y8 m7 m$ s Chapter 14: Calendar Spreads with VIX Options andFutures
( ?! c! j$ B" ?0 C* ^- r& O5 n6 l COMPARING OPTIONS AND FUTURES- ?- s% C7 w* K, p% I! u6 z t
CALENDAR SPREAD EXAMPLES
! g* c% R9 a' z Chapter 15: Vertical Spreads with VIX OptionsVERTICAL SPREAD EXAMPLES5 y Y/ n, I D4 h. v( h
Chapter 16: Iron Condors and Butterflies with VIX OptionsWHAT IS AN IRON CONDOR?
1 e5 x* c7 u% H) S4 m IRON CONDOR WITH VIX OPTIONS. a7 F' y% f0 T" u9 u
WHAT IS AN IRON BUTTERFLY?' ~ b, k) u) A
IRON BUTTERFLY WITH VIX OPTIONS2 b+ s$ f. t8 T) ~/ j1 R
About the Author
( Y- ~+ `* |, Y& Z6 w/ e Index+ X6 t* e7 q9 r' W
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1 X0 e9 R/ [ N9 ]; K$ _交易波动率指数衍生品Trading VIX Derivatives PDF/ y2 g; }- _* `! F0 z1 q
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