- “Volatility: A New Return Driver?”
- A good non-mathematical overview of volatility, volatility products including futures and a couple example trading strategies using volatility Exchange Traded Products
- “The VIX-VIX Futures Puzzle?”
- A technical paper testing the forecast accuracy of VIX futures that includes a comprehensive technical overview of the VIX, VIX Futures, and volatility term structures. It skips the calculus but provides a clear description and comprehensive formulas.
- “Variance and Convexity: A Practitioner’s Approach ”
- My favorite paper from the CBOE’s 2013 Risk Management Conference. Sparse and very technical it addresses some of the differences between variance and volatility with regards to VIX futures. Most of the other papers from the conference are posted here with links associated to the agenda items.
- VIX White Paper
- Complete details on the VIX calculation, recently updated (8-Oct-2014) to reflect the new methodology that utilizes SPX weekly options
- Ranking of all USA volatility funds
- Volatility Tickers—all of the USA offerings
- VIX Futures term structure (vixcental.com)
- VIX style term structure of SPX options (CBOE.com)
Friday, March 10th, 2017 | Vance Harwood