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Index
The VIX Trader's Handbook Contents About the author Introduction How this book is structured Part 1: Instruments and Markets Chapter 1: Implied Volatility and Option Pricing Option pricing factors VIX calculation VIX enhancements VIX and the S&P 500 relationship Cboe SPX put/call ratio Summary Chapter 2: VIX Futures and Options Price Behavior VIX futures The VIX index cannot be replicated There is no arbitrage relationship VIX and VIX futures relationship VIX options VIX put–call ratio VIX of VIX Summary Chapter 3: Volatility-Related Exchange-Traded Products Roll yield Unleveraged long short-term ETPs Unleveraged long mid-term ETPs Strategy-based ETP Leveraged long ETPs Short ETPs Short volatility versus long index Summary Chapter 4: Alternatives to VIX-Related Markets VSTOXX VSTOXX derivatives SPIKES SPIKES derivatives Russell 2000 Volatility Index Summary Chapter 5: Historical VIX Studies VIX versus the S&P 500 VIX futures VIX futures term structure Modified VIX future Weekend impact on VIX Summary Part 2: Trades and Strategies Chapter 6: Planning a VIX-Related Trade S&P 500 outlook Bearish S&P 500 outlook VIX index pricing VIX future pricing Summary Chapter 7: Systematically Shorting Volatility Cboe indexes About VIX expiration VIX futures price behavior into expiration VIX index and futures data Table explanations Test 1: Standard futures before VIX Weeklys Test 2: All expirations after the introduction of Weeklys Test 3: Only VIX Weekly futures Test 4: Only standard VIX futures (August 2015–December 2019) Test 5: Only standard VIX futures (January 2007–December 2019) VSTOXX futures Summary Chapter 8: Shorting Volatility Spikes VIX spikes Futures calendar spreads Long put VXX bear call spread Summary Chapter 9: Long Volatility Trades Long futures Long unleveraged ETN VIX option term structure Bull call spread Bull call spread plus short put Summary Chapter 10: Spread Trading With Volatility Futures Calendar spreads VSTOXX versus VIX Summary Part 3: Historic Volatility Events Chapter 11: Volatility Events Stock market crash, 1987 Leading up to Black Monday Observations Asian flu, October 1997 Observations Russian financial crisis, August to October 1998 Observations September 11, 2001 terrorist attacks Observations Great Financial Crisis, 2007–2009 Leading Up to the Great Financial Crisis, January 2007–September 2008 Great Financial Crisis, September 2008–March 2009 Post-Great Financial Crisis, March to December 2009 Observations Flash crash, May 6, 2010 Observations European sovereign debt crisis, 2011 Observations China data and Black Monday, 2015 Observations Brexit referendum, 2016 Observations Election of Donald Trump, 2016 Observations Inflation in employment number, February 2018 Observations Global pandemic, 2020 Observations History lessons Publishing details
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