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2020-03-09

$二倍做多VIX波动率指数短期期权ETN(TVIX)$为何系统会自动平仓？

2019-02-08

这篇文章不错，转发给大家看

@小虎HR瑶瑶:UVXY 指数和VXX 和 VIX 区别-美股做空的秘密

2019-01-24

$新东方(EDU)$看空到50

2019-01-24

$二倍做多VIX波动率指数短期期权ETN(TVIX)$之前咬牙坚持

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指数后面30天的期权价格，经过换算而得出。VIX也经常被称为恐慌指数，因为市场的 大幅波动，是不确定性的表现，而对投资者产生畏惧心理。当然，理论上牛市也可以有较高的VIX指数。 VIX指数本身是不可交易的，所以很多机构推出了一些机制（所以是derivative of derivative），这些包括VIX **res定约，VIX指数期权，和基本的VIX **res交易基金。这里VIX **res反映的是未来一段时间的VIX的期望值，可以是短期的1个月或中期的半年。这些Futures其实跟VIX指数期权（也有1，2个月或半年的）的定价是一致的。VIX **res有延期（contango）损耗。这是为什么呢？因为随着时间的流逝，机构会将VIX **res定约，换成再下个月的定约。这样一卖一买，实际上损耗了时间值。所以实际上每天VIX **res都在contango，而这个速率反映的是最近两个月premium的大小差别。 但是，不要以为VIX **res永远只有延期损耗。有时奇怪的事情可以发生，譬如两个月后的**res可以比一个月后的**res更便宜！虽然极少出现，但是确实发生，我们说的延期损耗实际上变成backwardation增值。为什么呢？这其实反映了市场对VIX的期望值。如果大家认为VIX要涨，VIX **res溢价，就有Contango；如果大家认为VIX反而会跌，VIX **res便宜，就变成backwardation。而大多数时候，溢价的VIX **res是投资者的对冲保险策略。 美股ETF攻略, 一个美股账户投资全球金融市场,点击链接 【汇总全部","text":"最近好像大家对恐慌指数的ETF很感兴趣，转载个写得很详细的帖子，作者Futurewin （1）VIX，VIX Futures VIX是衡量市场波动率的指数。它是一个导出指数derivative，根据S&P 500 指数后面30天的期权价格，经过换算而得出。VIX也经常被称为恐慌指数，因为市场的 大幅波动，是不确定性的表现，而对投资者产生畏惧心理。当然，理论上牛市也可以有较高的VIX指数。 VIX指数本身是不可交易的，所以很多机构推出了一些机制（所以是derivative of derivative），这些包括VIX **res定约，VIX指数期权，和基本的VIX **res交易基金。这里VIX **res反映的是未来一段时间的VIX的期望值，可以是短期的1个月或中期的半年。这些Futures其实跟VIX指数期权（也有1，2个月或半年的）的定价是一致的。VIX **res有延期（contango）损耗。这是为什么呢？因为随着时间的流逝，机构会将VIX **res定约，换成再下个月的定约。这样一卖一买，实际上损耗了时间值。所以实际上每天VIX **res都在contango，而这个速率反映的是最近两个月premium的大小差别。 但是，不要以为VIX **res永远只有延期损耗。有时奇怪的事情可以发生，譬如两个月后的**res可以比一个月后的**res更便宜！虽然极少出现，但是确实发生，我们说的延期损耗实际上变成backwardation增值。为什么呢？这其实反映了市场对VIX的期望值。如果大家认为VIX要涨，VIX **res溢价，就有Contango；如果大家认为VIX反而会跌，VIX **res便宜，就变成backwardation。而大多数时候，溢价的VIX **res是投资者的对冲保险策略。 美股ETF攻略, 一个美股账户投资全球金融市场,点击链接 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指数和VXX 和 VIX 区别-美股做空的秘密","htmlText":"最近好像大家对恐慌指数的ETF很感兴趣，转载个写得很详细的帖子，作者Futurewin （1）VIX，VIX Futures VIX是衡量市场波动率的指数。它是一个导出指数derivative，根据S&amp;P 500 指数后面30天的期权价格，经过换算而得出。VIX也经常被称为恐慌指数，因为市场的 大幅波动，是不确定性的表现，而对投资者产生畏惧心理。当然，理论上牛市也可以有较高的VIX指数。 VIX指数本身是不可交易的，所以很多机构推出了一些机制（所以是derivative of derivative），这些包括VIX **res定约，VIX指数期权，和基本的VIX **res交易基金。这里VIX **res反映的是未来一段时间的VIX的期望值，可以是短期的1个月或中期的半年。这些Futures其实跟VIX指数期权（也有1，2个月或半年的）的定价是一致的。VIX **res有延期（contango）损耗。这是为什么呢？因为随着时间的流逝，机构会将VIX **res定约，换成再下个月的定约。这样一卖一买，实际上损耗了时间值。所以实际上每天VIX **res都在contango，而这个速率反映的是最近两个月premium的大小差别。 但是，不要以为VIX **res永远只有延期损耗。有时奇怪的事情可以发生，譬如两个月后的**res可以比一个月后的**res更便宜！虽然极少出现，但是确实发生，我们说的延期损耗实际上变成backwardation增值。为什么呢？这其实反映了市场对VIX的期望值。如果大家认为VIX要涨，VIX **res溢价，就有Contango；如果大家认为VIX反而会跌，VIX **res便宜，就变成backwardation。而大多数时候，溢价的VIX **res是投资者的对冲保险策略。 美股ETF攻略, 一个美股账户投资全球金融市场,点击链接 【汇总全部","listText":"最近好像大家对恐慌指数的ETF很感兴趣，转载个写得很详细的帖子，作者Futurewin （1）VIX，VIX Futures VIX是衡量市场波动率的指数。它是一个导出指数derivative，根据S&amp;P 500 指数后面30天的期权价格，经过换算而得出。VIX也经常被称为恐慌指数，因为市场的 大幅波动，是不确定性的表现，而对投资者产生畏惧心理。当然，理论上牛市也可以有较高的VIX指数。 VIX指数本身是不可交易的，所以很多机构推出了一些机制（所以是derivative of derivative），这些包括VIX **res定约，VIX指数期权，和基本的VIX **res交易基金。这里VIX **res反映的是未来一段时间的VIX的期望值，可以是短期的1个月或中期的半年。这些Futures其实跟VIX指数期权（也有1，2个月或半年的）的定价是一致的。VIX **res有延期（contango）损耗。这是为什么呢？因为随着时间的流逝，机构会将VIX **res定约，换成再下个月的定约。这样一卖一买，实际上损耗了时间值。所以实际上每天VIX **res都在contango，而这个速率反映的是最近两个月premium的大小差别。 但是，不要以为VIX **res永远只有延期损耗。有时奇怪的事情可以发生，譬如两个月后的**res可以比一个月后的**res更便宜！虽然极少出现，但是确实发生，我们说的延期损耗实际上变成backwardation增值。为什么呢？这其实反映了市场对VIX的期望值。如果大家认为VIX要涨，VIX **res溢价，就有Contango；如果大家认为VIX反而会跌，VIX **res便宜，就变成backwardation。而大多数时候，溢价的VIX **res是投资者的对冲保险策略。 美股ETF攻略, 一个美股账户投资全球金融市场,点击链接 【汇总全部","text":"最近好像大家对恐慌指数的ETF很感兴趣，转载个写得很详细的帖子，作者Futurewin （1）VIX，VIX Futures VIX是衡量市场波动率的指数。它是一个导出指数derivative，根据S&P 500 指数后面30天的期权价格，经过换算而得出。VIX也经常被称为恐慌指数，因为市场的 大幅波动，是不确定性的表现，而对投资者产生畏惧心理。当然，理论上牛市也可以有较高的VIX指数。 VIX指数本身是不可交易的，所以很多机构推出了一些机制（所以是derivative of derivative），这些包括VIX **res定约，VIX指数期权，和基本的VIX **res交易基金。这里VIX **res反映的是未来一段时间的VIX的期望值，可以是短期的1个月或中期的半年。这些Futures其实跟VIX指数期权（也有1，2个月或半年的）的定价是一致的。VIX **res有延期（contango）损耗。这是为什么呢？因为随着时间的流逝，机构会将VIX **res定约，换成再下个月的定约。这样一卖一买，实际上损耗了时间值。所以实际上每天VIX **res都在contango，而这个速率反映的是最近两个月premium的大小差别。 但是，不要以为VIX **res永远只有延期损耗。有时奇怪的事情可以发生，譬如两个月后的**res可以比一个月后的**res更便宜！虽然极少出现，但是确实发生，我们说的延期损耗实际上变成backwardation增值。为什么呢？这其实反映了市场对VIX的期望值。如果大家认为VIX要涨，VIX **res溢价，就有Contango；如果大家认为VIX反而会跌，VIX **res便宜，就变成backwardation。而大多数时候，溢价的VIX **res是投资者的对冲保险策略。 美股ETF攻略, 一个美股账户投资全球金融市场,点击链接 【汇总全部","images":[],"top":1,"highlighted":2,"essential":2,"paper":2,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/7125","isVote":1,"tweetType":1,"viewCount":0,"authorTweetTopStatus":1,"verified":1,"comments":[],"imageCount":0,"langContent":"CN","totalScore":0},"isVote":1,"tweetType":1,"viewCount":955,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"CN","totalScore":0}],"lives":[]}