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Trading the VIX Futures Roll Using Exchange-Traded Funds

David L. Buehler and Patrick J. Cusatis
The Journal of Trading Spring 2018, 13 (2) 47-56; DOI: https://doi.org/10.3905/jot.2018.13.2.047
David L. Buehler
is an assistant professor of economics in the School of Business Administration at Penn State University Harrisburg in Middletown, PA
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Patrick J. Cusatis
is an associate professor of finance in the School of Business Administration at Penn State University Harrisburg in Middletown, PA
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Abstract

This article examines the use of exchange-traded funds (ETFs) in the implied volatility market. Because the Volatility Index (VIX) cannot be directly traded and the VIX futures market is accessible only to institutional investors, the authors develop and analyze how individual investors can employ a VIX-based strategy using ETFs. They test a trading strategy using the ProShares VIXY and SVXY ETFs and compare the performance to a similar strategy using VIX futures and the S&P 500. They select these two ETFs because they can directly compare a long or short trading strategy using VIX futures. While the ETF trading strategies produce excess returns, these returns come with significant downside volatility.

TOPICS: Exchange-traded funds and applications, futures and forward contracts, analysis of individual factors/risk premia

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Trading the VIX Futures Roll Using Exchange-Traded Funds
David L. Buehler, Patrick J. Cusatis
The Journal of Trading Mar 2018, 13 (2) 47-56; DOI: 10.3905/jot.2018.13.2.047

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Trading the VIX Futures Roll Using Exchange-Traded Funds
David L. Buehler, Patrick J. Cusatis
The Journal of Trading Mar 2018, 13 (2) 47-56; DOI: 10.3905/jot.2018.13.2.047
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    • DATA AND METHODOLOGY
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