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03/12/2010

Directional Exposure to Volatility Via Listed Futures


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Standard & Poor'sVolatility has emerged as an important asset class in the last decade. It is actively traded through over-the-counter (OTC) variance and volatility swaps, and through exchange listed VIX futures and options. While VIX® has achieved widespread recognition, it remains very challenging to replicate spot VIX. The S&P 500 VIX Short-Term Futures Index is the first index to offer directional exposure to volatility through publicly traded futures markets. This paper provides a background on the construction, replicability, and characteristics of this index. 

Click here to read this paper.

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