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Trading the VIX Futures Roll Using Exchange-Traded Funds

David L. Buehler & Patrick J. Cusatis

The Journal of Trading2018https://doi.org/10.3905/jot.2018.13.2.047article
ABDC C
Weight
0.26

What the paper says

This article examines the use of exchange-traded funds (ETFs) in the implied volatility market. Because the Volatility Index (VIX) cannot be directly traded and the VIX futures market is accessible only to institutional investors, the authors develop and analyze how individual investors can employ a VIX-based strategy using ETFs. They test a trading strategy using the ProShares VIXY and SVXY ETFs and compare the performance to a similar strategy using VIX futures and the S&amp;P 500. They select these two ETFs because they can directly compare a long or short trading strategy using VIX futures. While the ETF trading strategies produce excess returns, these returns come with significant downside volatility. <b>TOPICS:</b>Exchange-traded funds and applications, futures and forward contracts, analysis of individual factors/risk premia

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https://doi.org/https://doi.org/10.3905/jot.2018.13.2.047

Or copy a formatted citation

@article{david2018,
  title        = {{Trading the VIX Futures Roll Using Exchange-Traded Funds}},
  author       = {David L. Buehler & Patrick J. Cusatis},
  journal      = {The Journal of Trading},
  year         = {2018},
  doi          = {https://doi.org/https://doi.org/10.3905/jot.2018.13.2.047},
}

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Trading the VIX Futures Roll Using Exchange-Traded Funds

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Evidence weight

0.26

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.