Thursday, February 24, 2011

XVIX: VIX futures calendar spread ETP

XVIX: short .5 front month VIX contracts for every long back month contract. It's a pair trade, somewhat similar to the VXX/VXZ Trade mentioned at the Surly Trader, which actually gives a pretty nice equity curve.

What makes it cool is that volatility measures like the VIX, VXN are generally easier to forecast than actual financial asset price evolutions. I've mentioned a research paper around VIX seasonalities and distribution patterns. Naturally this implies easier trading profits.

Like ETFs, Exchange Traded Products (ETPs) are listed on US exchange so that the invested products are more accessible to the general public. Yes, they are here.

0 Reflections: