Complete webinar recording: https://blog.quantinsti.com/volatility-trading-vix-10-may-2022/ --------------------------------------------- About the Session The markets are highly volatile! The fear index is creeping up and traders are alarmed! You must have seen statements like this before. But what exactly is the fear index? Can you quantify fear? The fear index is the name given to the VIX. And it gives us a glimpse of the expected market volatility. Yes, just like we try to gauge the volatility of an asset, the VIX helps us understand the volatility of the market. But like an index, the VIX cannot be traded. So there are different products based on VIX which can help you to make a trade based on your expectation of the market volatility. And the VIX is not just for equities, there are corresponding VIX for different asset classes as well. And geographies. The session outline is as follows: - Brief on volatility - Why is VIX called the fear index - Different types of VIX - VIX based derivatives - A simple strategy to trade VIX - Q&A --------------------------------------------- Complete webinar recording: https://blog.quantinsti.com/volatility-trading-vix-10-may-2022/ --------------------------------------------- About the Speaker Rekhit Pachanekar first completed his engineering in Computers and went on to complete his PGDM from IIM Indore. He researches equities and fixed-income securities as a part of the content team at Quantra. Away from work, he likes to read up on the outliers in the market and follows Tesla Inc. with keen interest. --------------------------------------------- This event was conducted on: Tuesday, May 10, 2022, 9:30 AM ET | 7:00 PM IST | 9:30 PM SGT --------------------------------------------- Link to our Blog: https://blog.quantinsti.com/ Like us on Facebook @ https://www.facebook.com/quantinsti/ Follow us on Twitter @ https://twitter.com/QuantInsti Follow us on LinkedIn @ https://www.linkedin.com/school/quantinsti/ Follow us on Instagram @ https://www.instagram.com/quantinstian

1. Volatility Trading
Rekhit Pachanekar
QuantInsti

2. Brief on volatility
Agenda
Why is VIX called the fear index?
Different types of VIX
VIX based derivatives
A simple strategy to trade VIX
Q&A

3. What is Volatility?
Highly Volatile!

4. Example of Volatile Stock

5. Example of Volatile Stock

6. Example of Volatile Stock

7. What is Volatility?
How much the price varies
Traders use volatility while placing
trades

8. The Index is volatile too!

9. Index Volatility

10. How Do You Measure Volatility?
Standard Deviation
Standard Deviation gives historical
value

11. Can You Estimate Future
Volatility?
Yes!

12. Implied Volatility is the market’s expectation
of how much the asset will move.
Implied Volatility does not tell you in which
direction the move is expected.
Implied Volatility is used for pricing options

13. Does VIX use Implied Volatility of
index options?

14. Does VIX use Implied Volatility of
index options?
Yes!

15. VIX (Volatility Index) was created
by CBOE

17. Why is VIX called FEAR INDEX?

18. US-China
Trade War
COVID-19
Pandemic
Declaration
Russia
Ukraine
Conflict

19. Do we have VIX only for S&P500?
NO!

20. Index
Underlying Index used in
Analysis
VIX S&P500
S&P/ASX 200 VIX S&P/ASX 200 VIX
VSTOXX Euro STOXX 50
S&P/TSX 60 VIX S&P/TSX 60
HSI Volatility Index Hang Seng Index

21. Can you trade VIX directly?
NO!

22. But you can use VIX Derivatives!

23. VIX
VIX Futures
VIX ETFs VIX Inverse ETFs VIX ETNs
VIXY VIXM SVXY VXX

24. Risks related to VIX Derivatives

25. Risks Associated with VIX Derivatives
ETNs have issuer risk
VIX futures have contango effect

26. A simple VIX Based Strategy

27. A Simple VIX Based Strategy
Observation: When S&P500 declines, VIX rises
VIXY follows VIX Short term futures

28. A Simple VIX Based Strategy
Observation: When S&P500 declines, VIX rises
VIXY follows VIX Short term futures

29. A Simple VIX Based Strategy
Observation: When S&P500 declines, VIX rises
VIXY follows VIX Short term futures
Strategy Idea: When S&P500 declines, go long on VIXY

30. A Simple VIX Based Strategy

31. COMPLETE WEBINAR RECORDING

32. THANK YOU!