Goldman, Noting Anticipatory Aspect Of VIX Futures, Outlines Performance Drivers

It is sometimes assumed that when volatility is low, that is the best time to enter into long CBOE VIX market volatility exposure. Not so, says a Goldman Sachs research piece. Using the VIX as a hedge or a speculative trade “is not always that easy.” In fact, understanding how quickly the VIX futures "price in" the future, and recognizing mean reversion opportunity, is likely the best case moving forward.

When to get long volatility

In developing a VIX hedging thesis, Goldman option research experts Krag Gregory and Aleksander Timenko address a much discussed topic among professional risk managers. In a paper titled, “When to get long...