@article {Moran96, author = {Matthew T. Moran and Srikant Dash}, title = {VIX Futures and Options}, volume = {2}, number = {3}, pages = {96--105}, year = {2007}, doi = {10.3905/jot.2007.688954}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The CBOE Volatility Index? (VIX?), the popular gauge of S\&P 500? implied volatility, can now be traded through exchange-listed futures and options. In this article, we demonstrate the use of VIX as a portfolio hedge, show how portfolio efficiency may be improved by a small exposure to VIX, and discuss implementation of such strategies through VIX futures and options. Specifically, we explore the pricing of VIX contracts and explain how they reflect the forward value of VIX rather than the current value. We test the behavior of the new contracts at periods of market volatility to see if the desirable qualities of VIX carry over when using VIX-linked futures and options.TOPICS: Futures and forward contracts, options, portfolio construction}, issn = {1559-3967}, URL = {https://jot.pm-research.com/content/2/3/96}, eprint = {https://jot.pm-research.com/content/2/3/96.full.pdf}, journal = {The Journal of Trading (Retired)} }