Hedging market downturns without sacrificing upside has long been sought by investors. If
VIX was directly investable, adding it as a hedge to the S&P 500 would result in significantly …

At a time when interest rates are still at historically low levels and the equity market seems
richly valued, a growing number of investors are seeking alternative sources of return. One …

Options Exchange's (CBOE) S&P 500 Volatility Index (VIX) futures, outperform the S&P 500
Index. The population of inverse funds consists of 10 exchange-traded notes (ETNs) and …

This article illustrates the volatile nature of the premiums and discounts embedded in the
prices of VIX (Chicago Board Options Exchange Market Volatility Index) futures contracts …

VIX FUTURES AND THE HEDGING OF BOND PORTFOLIOS Page 1 Electronic copy available
at: http://ssrn.com/abstract=1980875 INDEX RESEARCH & DESIGN December 2011 Frank …

This paper examines VIX-based ETPs (exchange traded products) and illustrates that both
the return and risk of these products are not related to the return and risk of the VIX index …

Volatility has emerged as an important and distinct asset class over the past decade. The
popularity of volatility stems from its unique properties--namely, its negative correlation with …

THREE ESSAYS ON THE VIX INDEX by RICHARD ANTHONY ARNATT ROBERT BROOKS,
COMMITTEE CHAIR J. BRIAN GRAY JUNSOO LEE XIAOCHUN LIU ROB Page 1 THREE …

We show a method to replicate S&P 500 exchange traded fund (ETF) European synthetic
put by optimally rebalancing a portfolio of the underlying ETF shares, the VIX futures …

The purpose of this thesis is to investigate the benefits of allocating part of a portfolio to
exchange-traded products (ETPs) based on the Chicago Board Options Exchange's …