Tag Archives: hedging

Reaping Roll Yield from a Quasi Volatility Neutral Strategy

On February 8th, I discussed the use of the inverse VIX ETP (XIV) to collect the roll yield from the VIX futures. When stocks fall and volatility rises, however, such a naked short position drops drastically. From 4/2 to 4/10, XIV dropped from 12.29 to 9.94, and lost 19% of its value (it’s now back […]

A New Application for VIX®: Hedging Bond Portfolios

Equity volatility is frequently used to hedge equity portfolios, but some bond portfolios may also stand to benefit from an allocation to equity volatility.   Read the latest research paper from S&P Indices to learn why corporate and emerging market bonds may enjoy hedging benefits.  Read more…

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