A "Roller Coaster" Ride For Volatility Traders

Mark Melin

Published onAugust 16, 2017

Updated on May 14, 2021

Futures and Vix Short-term Futures focused ETNs drive volatility

When the CBOE VIX index spiked from near 11.6 on August 10, to over 17 on August 11 and then back down to touch 11 on Tuesday, August 15, amounting to an amazing roller coaster even for the “fear gauge” known for its mean reversion tendencies. S3 Partners Ihor Dusaniwski, managing director of the financial analytics firm, notes the rather large short exposure in the VIX exchange traded notes (ETN) market that are driving the sharp mean reversion and points to where the profitable trades in this index have been year to date. Hint: money has not been made being long volatility.

[dalio]

Login required to continue reading.

Setup a free account to get access to this article (no credit card required).

View Full Article

Already a member? Log in here

Mark Melin

Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.

A "Roller Coaster" Ride For Volatility Traders

Login required to continue reading.

Get Your Business News