TRADING Strategy A“synthetic” VIX calculation can be used in any market to reproduce the performance of the well-known volatility index. FIGURE 1: SYNTHESIZING THE VIX The behavior of the actual VIX (middle) and the Williams synthetic VIX (bottom) are nearly identical. ...
This paper investigates the most traded VIX exchange traded products (ETPs) with focus on their performance, price discovery, hedging ability, and trading strategy. The VIX ETPs track their benchmark indices well. They are therefore exposed to the same time-decay (high negative expected returns) ...
Based on precise numerical predictions, this study proposes a new Constrained-Mean-Variance Portfolio Optimization (C-MVO) trading strategy and tests it against a benchmark long-short trading strategy to evaluate the profitability of the machine learning numerical predictions. Thi...
Strategy Vanilla Weighting Scheme Single Asset Trading Data Open Volume Day Lo Day Hi 52 Week Lo $25.85 52 Week Hi $199.70 AUM $343.4 M Shares 13.0 M Historical Trading Data 1 Month Avg. Volume 7,356,169 3 Month Avg. Volume 5,061,148 Alternative ETFs in the ETF Database Levera...
Strategy Vanilla Weighting Scheme Single Asset Trading Data Open Volume Day Lo Day Hi 52 Week Lo $39.56 52 Week Hi $90.08 AUM $233.7 M Shares 5.7 M Historical Trading Data 1 Month Avg. Volume 2,386,561 3 Month Avg. Volume 1,698,602 Alternative ETFs in the ETF Database Volatili...
For the strategy itself, initially we make a few transformations on four vital benchmarks - Open, Close, High, Low. The next step is to apply unique Heikin-Ashi rules on Heikin-Ashi Open, Close, High, Low to generate trading signals. The downside of Heikin-Ashi (or any momentum trading...
DayTradeSPY was founded by head trader Hugh Grossman, a retired internal auditor for a Fortune 500 company. After years of first-hand experience trying out one trading strategy after another, Hugh instead developed his own trading system centered around day trading SPY options. That’s it… Noth...
TheMorningstar Style Mapis theMorningstar Style Box™ with the center 75% of fund holdings plotted as theMorningstar Ownership Zone™. The Morningstar Style Box is designed to reveal a fund's investment strategy. The Morningstar Ownership Zone provides detail about a portfolio's investment st...
The SVXY has a slightly higher expense ratio of 0.95% and more than $389.4 million in assets under management (AUM) as of September 16, 2024.8 A critical key for investing in SVXY is understanding that the fund is only intended for short-term trading and is not abuy-and-holdstrategy. SV...
Vix exchange traded products: price discovery, hedging, and trading strategy. J. Futures Markets 37 (2), 164-183.Bordonado, C., Molnar, P., & Samdal, S. R. (2017). VIX exchange traded products: Price discovery, hedging, and trading strategy. Journal of Futures Markets, 37(2), 164...