Instrumenty finansowe i strategie inwestycyjne oparte na zmiennosci – autorskie strategie i produkty finansowe neutralne rynkowo (Financial instruments and investment strategies based on volatility – proprietary strategies and market-neutral financial products)
Iwona Sroka () and
Kamil Seliga
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Iwona Sroka: Wydzial Zarzadzania, Uniwersytet Warszawski
Kamil Seliga: Wydzial Zarzadzania, Uniwersytet Warszawski
Research Reports, 2021, vol. 1, issue 34, 175-179
Abstract:
The paper presents a comprehensive introduction to volatility trading, from explaining the definition of volatility, through simple strategies for getting exposure to volatility, to advanced ETN products constructed from derivatives on the VIX index. The theoretical part discusses the idea of volatility trading derived from the assumptions of the Black-Scholes option valuation model. The remainder of this paper presents derivatives that provide exposure to volatility along with the opportunities and pitfalls faced by investors in this market. The practical part presents the proprietary approach to creating investment strategies based on the anomalies of implied volatility of the S & P500 and model portfolios built of products from the Studia Volatility ETP segment and the ETF for the S & P500 index, dedicated to cautious investors, which can be an alternative to mixed equity and bond portfolios.
Keywords: volatility; volatility exposure; derivatives; investment strategies; option pricing; investment portfolio (search for similar items in EconPapers)
JEL-codes: F31 G15 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:sgm:resrep:v:1:i:34:y:2021:p:175-179
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