Thursday, February 18, 2010

Welcome to Volatility Square

Volatility Square is a research and trading blog about VIX options.

Why VIX options?
- I'm passionate about complex derivative products
- VIX options won the Award For Most Innovative Index Derivative Product
- It is a relatively new market, so a standard pricing model has yet to be developed. Calculating exact theoretical values for VIX options can be very complex.
- Because of this complexity the return expectations of a volatility arbitrage strategy using VIX options is higher than the same strategy using other options.

What to expect?
- Market updates, review of academic research and trading ideas.

What is the main driver of the expected returns of my trading strategy?
- The difference between the implied and realized volatility of VIX Index is the driver of returns.
- I will use the CBOE S&P 500 VARB-X Strategy Benchmark to measure the performance of my strategy.

Who should follow?
- Option traders and investment professionals who have experience in trading options and they are interested in the VIX option market.


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