Tag Archive | "vxz"

VIX Portfolio Hedging (VXH) Strategy – Performance and Official Launch

Tuesday, November 16, 2010

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The VIX Portfolio Hedging (VXH) Strategy is being offered to the public for the first time, starting today. The strategy is available via professionally managed accounts, or available by subscription here. First-time visitors may want to start with the previous posts on this strategy: Introducing the VIX Portfolio Hedging (VXH) Strategy Why Conventional Hedging Methods Fail VIX Portfolio Hedging in a Crisis-Free World The Discreet Charm of the VXX ETN If your portfolio isn’t already protected against…

The Vicissitudes of Hedging Tail Risks

Friday, July 23, 2010

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People are excited about tail risk. On the institutional side, banks and asset managers are packaging up complex, multi-asset hedging products and selling them to pension funds, endowments, and other natural longs. On the retail side, Barclays and others are getting great traction with products like VXX, VXZ, VXX options and now XXV (see Bill’s helpful overview of this space). I’m hoping to join the fray, too, with a managed account program and subscription product set to launch…

Hedging Tail Risk with the VIX

Wednesday, July 14, 2010

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Felix Salmon is doubtful about whether it is possible to hedge tail risk, and I wholeheartedly agree with the data he cites showing that, of eight major asset classes, only volatility and managed futures offer genuine non-correlation to market returns. In fact, I’ll go a step further: I’m not that enthusiastic about the benefits of managed futures, at least in their current form. As a registered commodity trading advisor, I’ve seen the sorts of strategies that most of…

Using VIX Hedges to Reduce Strike Dependence

Wednesday, June 30, 2010

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Equity investors who want a broad-based hedge have essentially three vehicles from which to choose: equity index options (SPY, SPX, ES, etc.), VIX futures (or their ETF permutations), and VIX options. In this piece, Larry McMillan makes the case for using VIX options instead of SPX derivatives, and this is his best argument: In my opinion, the purchase of VIX calls is a much better, more dynamic way, to approach protection. That is because VIX will explode…

Should You Trade the VIX ETNs?

Monday, January 26, 2009

4 Comments

We’ve been trying to come up with a scenario in which we’d want to trade the new iPath S&P 500 VIX Futures ETNs being issued soon by Barclays, and we can’t think of one. There’s already been some helpful coverage of these products by the options blogs, and the links below deserve a visit for the full discussion, but we thought we’d summarize our thoughts on this: If you’re anyone at all looking for a robust portfolio hedge…

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Jared Woodard specializes in trading volatility as an asset class. With over a decade of experience trading options and other volatility products ... Read More

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