Volatility derivatives have become quite popular since the first listing of VIX futures in 2004. VIX options were listed in 2006. These are very interesting products, but they behave in a different way than you might expect. So, in this seminar, we'll look at the basics of VIX futures and option trading, including how to properly price the options and compute deltas, etc.
Perhaps even more popular RE the volatility ETNs and ETFs. The first one (VXX) began trading in 2009 and they have proliferated since then. More popular ones today include XIV (reverse VXX) and TVIX (double VXX), as well as a host of others. We'll look at the major ones and give you some insights as to what they can and cannot do, in terms of volatility protection. Also, we'll show how the volatility ETNs can affect the VIX futures markets--facts that might not be obvious to the casual trader, but which are actually very important to pricing behavior.

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