AIM 11 VOLATILITY PRODUCTS

Some of the mostly actively traded ETPs are benchmarked to the S&P VIX Short-term Futures Index. This section reviews the current status of this market and describes their controversial  history.

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• Required reading​

  • Whaley 2009 Understanding the VIX JPM

  • Whaley 2013 Trading volatility: At what cost? JPM

  • Tengulov and Whaley 2021 Levered and inverse VIX ETP option contract adjustments: No harm, no foul? A&F

  • Harwood 20220331 Why we need the LONGVOL & SOHORTVOL Indexes - Six Figure Investing​

  • S&P Identifying the differences between VIX spot and futures.​

  • S&P VIX Short-term Futures Index - Fact sheet March 31, 2022.

  • Velocity Shares - UVIX and SVIX

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• Useful reference (please skim)

  • S&P VIX futures indices: Methodology October 2021.

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• Lecture notes

  • ​Slides

    • Support files:

      • VIX indexes.xlsx​

      • VIX as asset category.xlsx