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Exploitable VIX Trends? [PREMIUM]

Does identification of trends in the CBOE Volatility Index (VIX) via simple moving averages (SMA) support effective timing of the U.S. stock market or VIX futures exchange-traded notes (ETN)? to investigate we consider timing four asset pairs: SPDR S&P 500 (SPY) – ProShares Short S&P500 (SH) since SH inception on 6/21/06. SPY – iShares More
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Exploiting Exchange Rate SMA Signals [PREMIUM]

Business & Finance / Investing : CXOAG Investmenting Notes

Are simple moving averages (SMA) effective in generating signals for short-term currency trading? In the April 2014 draft of his paper entitled “ANANTA: A Systematic Quantitative FX Trading Strategy”, Nicolas Georges investigates th...

Change in VIX Futures Term Structure as Stock Market Return Predictor [PREMIUM]

Business & Finance / Investing : CXOAG Investmenting Notes

Is the term structure of CBOE Volatility Index (VIX) futures useful for timing the underlying stock index? In the February 2012 version of his paper entitled “The Relationship between VIX Futures Term Structure and S&P500 Returns”, ...

VIX and Future Stock Market Returns [PREMIUM]

Business & Finance / Investing : CXOAG Investmenting Notes

Experts and pundits sometimes cite a very high (low) Chicago Board Options Exchange (CBOE) Volatility Index (VIX), the options-implied volatility of the S&P 500 Index, as an indication of investor panic (complacency) and therefore o...

Exploiting VXX/XIV Tendencies [PREMIUM]

Business & Finance / Investing : CXOAG Investmenting Notes

A subscriber inquired about strategies for trading exchange-traded notes (ETN) constructed from near-term S&P 500 Volatility Index (VIX) futures: iPath S&P 500 VIX Short-Term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Sh...

Capturing VIX “Misvaluation” with ETNs [PREMIUM]

Business & Finance / Investing : CXOAG Investmenting Notes

Both S&P 500 implied volatility index (VIX) spot level changes and roll return affect the prices of exchange traded notes (ETN) tied to VIX futures prices, such as VelocityShares Daily Inverse VIX Short-term ETN (XIV) and the iPath ...

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