VIX-based ETPs to Be Discussed Tuesday at RMC

Since 2009 billions of dollars have been invested in ETPs based on the CBOE Volatility Index (VIX), The acronym “ETPs” stands for “exchange-traded products” and the term includes both exchange-traded notes (ETNs) and exchange-traded funds (ETFs). 

At CBOE’s 29th Annual Risk Management Conference™ in California on Tuesday, March 5th, these two gentlemen —

(1) Spencer Cross, Co-Head Index Volatility Trading, Citigroup Global Markets

(2) Frank Luo, Head of Index Research and Design, S&P Dow Jones Indices

will deliver presentations and discuss the following topics —

VIX ETPs, Interrelationships between Volatility Markets and Implications for Investors and Traders

-Design of first and second generation VIX strategy indexes

-Utility for longer term investors and shorter term traders

-Fundamental vs. structural impacts on pricing in volatility markets

-How liquidity issues matter in choosing products and strategies

Mr. Luo will note that —

Volatility has the characteristics for asset managers:

(1) Investable — A variety of volatility instruments available

(2) Diversification Benefits — Negative correlations to risky assets (Equity, High Yield and EM bonds, Commodities)

(3) Risk on/Risk Off

(4) Improvement of Risk-adjusted Returns — Justified by Empirical analysis (Moran et al 2007, Luo et al 2011)