Volatility risk has played a major role in several financial debacles (for example, Barings Bank, Long Term Capital Management). This risk could have been managed using options on volatility which were proposed in the past but were never offered for trading mainly due to the lack of a tradable...

Volatility risk has played a major role in several financial debacles (for example,Barings Bank, Long Term Capital Management). This risk could have been managed using options on volatility which were proposed in the past but were never offered for trading mainly due to the lack of a tradable...

Volatility risk has played a major role in several financial debacles (for example, Barings Bank, Long Term Capital Management). This risk could have been managed using options on volatility which were proposed in the past but were never offered for trading mainly due to the lack of a tradable...

This study analyses the new market for trading volatility; VIX futures. We first use market data to establish the relationship between VIX futures prices and the index itself. We observe that VIX futures and VIX are highly correlated; the term structure of average VIX futures prices is upward...

This paper analyses the new market for trading volatility; VIX futures. We first use market data to establish the relationship between VIX futures prices and the index itself. We observe that VIX futures and VIX are highly correlated; the term structure of VIX futures price is upward sloping while...