Reps from Swedish Pension Fund and CTC to Discuss Use of VIX and Volatility at RMC

Here is a summary for a session on September 5th at the CBOE’s inaugural Risk Management Conference – Europe —

VIX and Volatility as an Asset Class

– Traditional approaches to trading volatility
VIX methodology and characteristics of VIX-related products
– Why and how AP3 has reallocated some of its risk from equity exposure to volatility exposure

Presenters –

Mårten Lindeborg, Head of Strategic Asset Allocation, AP3 (Third Swedish National Pension Fund)

Sheldon Natenberg, Co-Director of Education, Chicago Trading Company, LLC

COMPARING IMPLIED VOLATILITY AND REALIZED VOLATILITY

One topic the speakers will cover is the topic of implied volatility vs. realized volatility. Over the past 22 years, the implied volatility for the S&P 500 (SPX) usually has been higher than the subsequent SPX realized volatility, and certain index option-selling strategies have had relatively strong risk-adjusted returns.

NEGATIVE CORRELATION OF SPX AND VIX DAILY CHANGES

Mr. Natenberg will explore the negative correlation between daily changes of the VIX® and SPXTM indexes.

LINKS TO ADDITIONAL INFORMATION