AIM 8 Volatility products

After commodity product launches in the mid-2000s, the search for a new asset category began afresh. In 2009, VXX was launched. It is an ETN based on the S&P 500 VIX Short-term VIX futures index (SPVXSTP). The Cboe launched a VIX futures contract market five years earlier. These VIX ETPs gathered $5B in AUM by the mid-2010's.  All these ETPs are collateralized futures products because VIX, it self, is un-investable. This section considers the current status of the VIX ETP market and whether it is sensible to include any of them in a traditional investment portfolio. 

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• Required reading​

  • Whaley 2009 Understanding the VIX JPM

  • Whaley 2013 Trading volatility: At what cost? JPM

  • Whaley 2024, Estimating mean reversion

  • S&P VIX Short-term futures index - Fact sheet September 30, 2024.

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• Lecture notes

  • ​Slides

    • Support files:

      • Volatility report generator 20231229.xlsx

      • VIX SPX histories and analyses.xlsx​

      • VIX SPVXSTR histories and analyses.xlsx

      • VIX ETP evaluation.xlsx

        • VXX fact sheet​

        • VIXY fact sheet