Chapter 7: Volatility

7.2 PLUGIN

VIX Futures Basis Trading

Strategy 7.2: Trade VIX futures on extreme basis (contango/backwardation)

volatility basis

7.3 PLUGIN

Volatility Carry

Strategy 7.3: Short VXX to capture contango decay / vol carry

volatility carry

7.3.1 PLUGIN

Hedging Short VXX

Strategy 7.3.1: Short VXX with VIX futures tail hedge

volatility hedging

7.4 PLUGIN

Volatility Risk Premium

Strategy 7.4: Sell options when implied vol exceeds realised vol

volatility premium

7.4.1 PLUGIN

Vol Risk Premium Gamma Hedge

Strategy 7.4.1: Sell vol premium, delta-hedge with stock, keep gamma

volatility premium

7.5 PLUGIN

Volatility Skew

Strategy 7.5: Trade risk reversals on extreme vol skew

volatility skew

7.6 PLUGIN

Variance Swap Trading

Strategy 7.6: Short variance when implied > historical, long when opposite

volatility swaps