This strategy utilizes the dynamic structure of implied volatility surface allowing out-of-sample forecasting and information on unleveraged ETF options to construct theoretical one-step-ahead implied volatility surfaces. The codes used to obtain the results in this paper, are available on www.quant...
Simulation of Leveraged ETF Volatility Using Nonparametric Density EstimationNonparametric Density EstimationExchange Traded FundRealized VolatilityLeveraged Exchange Traded Funds (LETFs) are constructed to provide the indicated leverage multiple of the daily total return on an underlying index. LETFs may ...
Solving the Leveraged ETF VOLATILITY AND RETURNSCity
Crooked volatility smiles: Evidence from leveraged and inverse ETF optionsout-of-the-moneyvolatilityoptions‘crookedness’observationWe find that leverage in exchange traded funds (ETFs) can affect the ‘crookedness’ of volatility smiles. This observation is consistent with the intuition that return ...
List of Derivatives - Leveraged and Volatility Products ETFs showing the Total Return for 2025, 2024, 2023 and 2022.
The “contango” shape of the VIX futures curve tends to drag on volatility index ETF performance. Don’t confuse volatility ETFs with low-volatility (“factor-based”) ETFs, which seek stocks that pair low volatility with a quality factor such as dividend yield. ...
Leveraged & Inverse ETF Channel Share Various Factors Support Another Gold Rally in 2025 Ben HernandezJan 06, 2025 Gold ended 2024 outperforming the S&P 500 and the rally may not yet be over in the new year. Various factors support gold’s momentum to continue its rally, opening the path fo...
Volatility is the degree of variation of a trading price over time. In other words, volatility indicates the amount of uncertainty about the size of changes in an asset's value. The higher an asset’s spread of values means the higher volatility of it. Volatility is a critical characteristic...
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(2015). Implied volatility of leveraged ETF options. Applied Mathematical Finance, 22(2):162-188.Leung, T., Sircar, R. (2015): "Implied volatility of leveraged ETF options", Applied Mathematical Finance, 22(2), 162-188T. Leung and R. Sircar, Implied volatility of leveraged ETF options,...