Presentation by Ms. Berlinda Liu on Trading & Managing Volatility

Today Ms. Berlinda Liu, Director of Index Research and Design, S&P Indices, delivered a presentation on Trading & Managing Volatility at the CBOE’s 28th Annual Risk Management Conference (RMC).

Ms. Liu covered a number of topics related to volatility-based benchmark indexes, many of which are related to the performance of VIX® futures.

She noted that intelligent roll indices seek to address the contango problem by allocating across the term structure.

  • Allocation is typically between the short and medium end of the curve.
  • May involve —
  • Long and short positions.
  • Static or dynamic allocations
  • Examples include —
    • S&P 500 Dynamic VIX Futures Index
    • S&P 500 VIX Futures Term Structure Index
    • S&P 500 VIX Futures Enhanced Roll Index

She also covered S&P 500 VEQTOR, an index that provides long exposure to the equity market with a built-in VIX futures overlay to hedge the tail risk.

Links for more information –

 

More from CBOE’s RMC conference at www.cboe.com/rmclive

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The presentation was for Financial Professionals – Not for Public Distribution All information provided by S&P is impersonal and not tailored to the needs of any person, entity or group of persons. Any returns or performance provided within are for illustrative purposes only and do not demonstrate actual performance. Past performance is not a guarantee of future investment results. It is not possible to invest directly in an index. Exposure to an asset class represented by an index is available through investable instruments based on that index. CBOE®, S&P and its affiliates do not sponsor, endorse, sell, promote or manage any investment fund or other vehicle that is offered by third parties and that seeks to provide an investment return based on the returns of any S&P index. Index returns do not reflect payment of any sales charges or fees an investor would pay to purchase the securities they represent.