Now, in a portfolio consisting of, say, 10 such spread positions that are not correlated to each others... Diversification could enormously...
I understand that the bet would be that the historical correlation between the two will last. Before entering a position we would have to...
In essence it sounds similar to trading a currency pair, say the eur/dollars. We would sell the euro and buy the dollar following the rationale...
Would the trading of the vix/vdax spread considered a relative value arbitrage?
Hello Maw, I would say that the two underlying are well correlated. They move together but with different relative strength. Would the...
Hello, I would like your thought on something. I was comparing the chart of the VIX to the chart of the VDAX over the last year. The two are...
Ok, I will study this relationship and come back well I know a little more. Thanks for all your input.
Thanks for this post because it clarifies what you meant in other treads when you said that one has to look for anomalies. I have several...
DMO, If I understand well you use the VIX as an indicator to trade the e-mini. you use divergences between the e-mini and the vix to tell...
Could you state it another way because I am not sure I understand? (I am new to this). Are you saying that, if IV is relatively low, chances are...
dtrader98, thanks for the link. Their site seems very interesting too. Rosy2, Thank you so much for telling me about R. I will download the...
Diamond Geezer, Thanks for the references.
Provided that you have IV historical data I would think that it should be easy to calculate IV's serial correlation on a specific period.
Hello, I have recently been trying to learn about trading the implied volatility. From what I read, IV is supposed to be serial correlated (or...
Thanks a lot, I have just sent you a PM.
Extremely interesting. Howdo you neutralize vega and theta? Could you illustrate with an example?
I looked at the VIX chart:...
In his book "Options as a Srategic Investment", McMillan argues that volatility often trade within a well defined range and his therefore more...
I have recently started to read about options and heard about the concept of volatility trading. My goal is to become familiar with techniques of...
Separate names with a comma.