Vix
Ryan Labs harvests ‘flight-to-quality premium’
Defensive risk premia strategy buys ultra-long-dated Treasury futures when markets panic
Fears persist about forced unwind from ‘implicit’ short vol funds
February sell-off could presage a bigger slide if correlations change, buy-siders say
Watch out for commodity vol products
Commodity traders shouldn't ignore the recent meltdown in CBOE’s Vix derivatives, writes energy consultant
Reflections on recent volatility
This paper deals with the unprecedented equity volatility in the second week of February 2018. The paper recaps the week, places the market movement in a historical context, discusses how some traders and funds were affected and offers a few guesses as…
Short-vol products pose new risk to investors, experts warn
Vix manipulation reports may be leading investors to pile back into risky short-volatility products
Statistics of VIX futures and their applications to trading volatility exchange-traded products
In this paper, the authors study the dynamics of Chicago Board Options Exchange volatility index (VIX) futures and exchange-traded notes (ETNs)/exchange-traded funds (ETFs).
Don’t count on vol regime change – BlackRock quant
“This time next year volatility will most likely be low,” says Fishwick
Vix curve gave warning of February volatility spike
Research by NYU’s Marco Avellaneda offers insight into short-vol strategy
Old dispersion product signals new vol regime
Return of pre-crisis, ‘theta-flat’ trades an early sign of shifting volatility expectations
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
XIV hedging rule helped protect Credit Suisse
Swiss bank guarded against ETN’s collapse by requiring counterparties to provide hedges in exchange for new units
Vega volumes triple on Vix spike
Rebalancing of Vix ETPs spurred record trading in Vix futures on August 10
Complex short Vix products draw fire as vol plumbs lows
Hedging effects mean popular exchange-traded products vulnerable to big losses if volatility spikes
Trump victory: market whipsaw could spell exotics losses
Seesawing markets prompt speculation of big losses for structured product issuers
Vexed by Vix: post-Brexit squeeze sparks fears of losses
Rerun of short squeeze on Vix futures could backfire on speculators
Volatility mispricing ripe source of profits, says Malachite
Hedge fund thinks ETFs, Solvency II and capital ratios distort volatility markets
Asia-specific Vix indexes fail to ignite market interest
Low volatility is acting as drag on the take-up of local indexes
Asia volatility indexes mirror pre-crisis market conditions
Low leverage this time should result in milder correction than 2008/9
India election drives record equity derivatives volumes
Post-election rally likely to further increase sales later this year
Demand for India Vix futures remains low despite market volatility
Roll costs, tenor and lot size limiting attractiveness
Volatility suppression eases fears of emerging markets contagion
EM volatility remains contained – for now
India listed derivatives market faces infrastructure hurdle
India stock exchanges are predicting strong growth in the market for listed derivatives. With algo traders driving volume growth, can current infrastructure cope with the increased requirements?
Launch of India Vix futures driven by institutional investor demand
National Stock Exchange of India about to launch the fourth Asian equity volatility index this week
Vix spikes as short volatility trade gets tougher
Volumes in Vix futures reached an all-time high on the back of January's volatile markets