Foreword.
Preface.
Acknowledgments.
Chapter 1: Understanding Implied Volatility.
Historical vs. Forward Looking Volatility.
Put-Call Parity.
Estimating Price Movement.
Valuing Options: Pricing Calculators and other Tools.
Fluctuations based on Supply and Demand.
The Impact on Option Prices.
Implied Volatility and the VIX.
Chapter 2: About the VIX Index.
History of the VIX.
Calculating the VIX.
The Non-Mathematical Approach.
The Formula and Calculations.
The VIX and Put-Call Parity.
The VIX and Market Movement.
Equity Market Volatility Indexes.
CBOE DJIA Volatility Index.
CBOE NASDAQ-100 Volatility Index.
CBOE Russell 2000 Volatility Index.
CBOE S&P 100 Volatility Index.
QQQQ Volatility Index.
Chapter 3: VIX Futures.
Steady Growth of New Products.
Contract Specifications.
Mini-VIX Futures.
Pricing Relationship between VIX Futures and the Index.
Futures' Relationship to Each Other.
VIX Futures Data.
Chapter 4: VIX Options.
Contract Specifications.
Relationship to VIX Index.
Relationship to VIX Futures.
VIX Binary Options.
Chapter 5: Weekly Options on CBOE Volatility Index Futures.
Contract Specifications.
Weekly Options and Index Options.
Weekly Option Strategy.
Chapter 6: Volatility Related Exchange Traded Notes.
What are Exchange Traded Notes?
iPath® S&P 500 VIX Short-Term Futures™ ETN.
iPath® S&P 500 VIX Mid-Term Futures™ ETN.
Comparing the VXX and VXZ Performance.
Barclays ETN+ Inverse S&P 500 VIX Short-Term Futures™ ETN.
Barclays ETN+ S&P VEQTOR™ ETNs.
S&P 500 VIX Futures Source ETF.
Chapter 7: Alternate Equity Volatility and Strategy Indexes.
CBOE S&P 500 3-Month Volatility Index® (VXV®).
VIX Premium Strategy Index® (VPD®).
Capped VIX Premium Strategy Index® (VPN®).
S&P 500 VARB-X Strategy Benchmark.
S&P 500 Implied Correlation Index (VTY).
Chapter 8: Volatility Indexes on Alternative Assets.
CBOE Gold Volatility Index®.
CBOE Crude Oil Volatility Index®.
CBOE EuroCurrency Volatility Index®.
CBOE/NYMEX Crude Oil (WTI) Volatility Index.
CBOE/COMEX Gold Volatility Index.
CBOE/CBOT Grain Volatility Indexes.
FX Realized Volatility Indexes.
Chapter 9: The VIX as a Stock Market Indicator.
The Inverse Relationship between the VIX and the S&P 500.
VIX Index as an Indicator.
VIX Futures as an Indicator.
A Modified VIX Futures Contract.
Combining VIX Futures and the VIX Index.
VIX Index and Gold Price Indicator.
VIX Option Put Call Ratio.
Chapter 10: Hedging with VIX Derivatives.
Hedging with VIX Options.
Hedging with VIX Futures.
University of Massachusetts Study.
Chapter 11: Speculating with VIX Derivatives.
VIX Futures Trading.
VIX Option Trading.
VIX ETN Trading.
VXX Relative to the VIX Index.
VXZ Relative to the VIX Index.
Comparing VIX Trading Instruments.
Chapter 12: Calendar Spreads with VIX Futures.
Comparing VIX Futures Prices.
The Mechanics of a Calendar Spread.
Patterns in the Data.
Trade Management.
Other Parameters.
Chapter 13: Calendar Spreads with VIX Options.
VIX Option Pricing.
Calendar Spread with Put Options.
Calendar Spread with Call Options.
Diagonal Spread with Put Options.
Diagonal Spread with Call Options.
Chapter 14: Calendar Spreads with VIX Options and Futures.
Comparing Options and Futures.
Calendar Spread Examples.
Short Call and Long Future.
Long Put and Long Future.
Chapter 15: Vertical Spreads with VIX Options.
Vertical Spread Examples.
Bullish Vertical Spreads.
Bearish Vertical Spreads.
Chapter 16: Iron Condors and Butterflies with VIX Options.
What Is an Iron Condor?
Iron Condor with VIX Options.
What Is an Iron Butterfly?
Iron Butterfly with VIX Options.
Selected Bibliography.
About the Author.
Index.
